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I think you nailed it @Grantx, with your line about answering my question with numbers. Ever since you've posted this I've been thinking about how to formulate an OR study. Probably overthinking it actually. Ha! I have a few simple ideas for a statistical study in mind, but have procrastinated starting one. That's hard work, man! I just need to commit to setting aside a little bit of time a week, and then be patient (and diligent) with it.
The OR is very relevant. But like everything in trading, nothing works all the time in all markets.
I use the Premium Lizard Trader OR tools, this provides me with overnight/session ranges, and the RTH ranges. These levels, along with yLOD, y-HOD, pivots, and y-fibs are all noticed by price. Again, the levels are not always respected by price, but more often than not you see attention.
Mpst of the time, if price makes a new low or high early in the RTH, then later the price will go to these levels again, like any previous level, price respects it. I use this for entries and exits for my scalps or a place where I scale in or out.
Often on a strong move up or down, I will see a measured move (price moves a distance equal to the OR from the top or bottom of the range) as a target for an exit. I have noticed on many occasions when price reaches the measured move level it reacts.
The Liazard Trader indicators do all this for me automatically each day. Here is a snip from a chart of ES, see how price reacts at the levels.
But the main point is, OR is just another display of what price is doing, not a magic genie.
As with everything in trading OR is subjective, just like S&R, trend lines, ...
Everyone will be using it differently, for one trader the opening range is the first 5 minutes, for another the first 15 minutes, another one looks at the first 30 minutes and yet someone else will do something completely different.
I personally see the first 30 minutes as the opening range and the high/low from this range can be very important during the rest of the day. Yesterday is a perfect example, we tried breaking out of the OR multiple times and failed each time, market internals clearly confirmed a falls breakout 2 of the 3 times.
If these levels line up with overnight highs or lows, yesterdays session highs or lows, VWAP, trendlines, ... it makes them even stronger.
This screenshot shows the entire US session, the grey area is the fist 30 minutes of the session.
I vote for keeping the Opening Range idea and I would not like to see it "shelved in the antique store of Dated Trading Ideas."
How you define the Opening Range depends a lot on what "you" see as relevant when you sit down in front of your chart(s).
Personally, I like to use an Initial Price Pivot to mark the boundaries of the Opening (Range) but that's just my preference.
The Price Pivot concept is simple, in that you're looking for a bar to close above a prior bar's high to find the Initial Pivot Low,
and you're looking for a bar to close below a prior bar's low to find the Initial Pivot High.
(The dots you see plotted along the lines indicate the bar that met those criteria.)
ZB (06-20) Initial Pivots for London and CBOT 2020-04-17_6-50-ET
The fact that these two things can't happen until the buyers or the sellers have shown enough of an interest to push the price
far enough in one direction or the other to create an initial pivot, is a dynamic that I can relate to.
CL (06-20) Initial Pivots for London and NYMEX 2020-04-17_8-02-ET
Using the Initial Pivot approach is different that using the range of a 5 minute bar or the range of the first hour of trading,
GC (06-20) Initial Pivots 2020-04-17_6-48-ET
But that's just my preference.
With a little research, you can find your own way of discerning what the "OR" means to your trading.
Good Luck,
Trade well.
R.I.P. John Bottomley (Botts), 1956-2022.
Please visit this thread for more information.
Thanks, @TopGunNote. If I were to use OR, this is probably how I would do it -- wait for a clear high and a clear low, early within the session so it truly reflects an "initial" assessment by traders of a significant range, and use that. Therefore you're not stuck with a relatively arbitrary time period, but can use price action to help you.
The downside is that it's more work, takes some subjective judgment, and of course there may not be a clear hi/lo pivot, just a trend. But then, there isn't an opening "range" either.
It has tended to work OK when I've tried it, but so has the fixed-period version. I'm not using either now, because I already put too much on my charts.
Bob.
When one door closes, another opens.
-- Cervantes, Don Quixote
