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Orange County, CA
Posts: 16 since Feb 2013
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Orb: opening range breakout by Toby Crabel
ORB: An Opening Range Breakout (hereafter called ORB) is a trade taken at a predetermined
amount above or below the opening range. When the predetermined amount (the stretch) is
computed a buy stop is placed that amount above the high of the opening range or a sell stop
is placed the same amount below the low of the opening range.
STRETCH: the stretch is determined by looking at the previous ten days and averaging the sum of the
differences between the open for each day and the closest extreme to the open on each day.
In Easy Language format:
Stretch= Round(Average(minlist(H-O, O-L),10));
EARLY ENTRY: an EE (Early Entry) is defined as a large price movement in one direction whithin the
first five minutes after the open of the daily session. This is an ideal price action when using an
ORB entry. The open should act as one extreme. There are two kinds of EE:
EE1: the first five minutes unit has a larger range than normal (norm is roughly defined as the
average of the preceding ten days’first five minutes ranges, i.e. you calculate the average
range of the first 5 minutes bars of the last 10 days). Open of the day is on one extreme of the
five minutes bar and the close of the five minute bar is on the opposite extreme (i.e. for long
positions you have the open which is placed let’s say in the first 5% of the range and the close
which is set in the last 5% of the range). The second five minutes shows and equal thrust in
the direction of the first five minute period (i.e for long position it is a positive bar which has the
open which is placed let’s say in the first 5% of the range and the close which is set in the last
5% of the range). For short positions you have negative bars.
EE2: is extremely powerful and is characterized by an excessively large range in the first five
minutes, quite possibly bigger than the previous twenty day’s fist five minute periods, i.e. you
calculate the average range of the first 5 minutes bars of the last 20 days.
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