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opening range play
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opening range play

  #1 (permalink)
Elite Member
Lexington Park, MD
 
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Platform: mbt desktop pro
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opening range play

I have been looking at the 1st Print of the 1ST 5min candlestick for pit open of CL (evalauting the 9:05 candlestick-- EST in relation to price action) as far as pit open is concerned, in regards to this strategy:

http://www.trading-naked.com/library/%5BTrading%5D-Stocks-&-Commodities-Toby-Crabel-ORB-articles.pdf

Just curious if anyone has any thoughts...experience or methodology they want to share...?

 
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  #3 (permalink)
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Toby Crabel and Mark Fisher are both legendary for their trading methods based on opening range breakouts.

However, both look at the larger picture and see the opening range in the context of the price action of the prior days.

For more information on their methods:

Toby Crabel: Day Trading With Short Term Price Patterns and Opening Range Breakout
Mark Fisher: The Logical Trader


In this forum there is an extensive thread on the ACD method by Mark Fisher, see here

https://futures.io/traders-hideout/6742-acd-trading-mark-fisher.html

Mark Fisher uses a longer than 5-minute range to determine the volatility of the current day.


I personally do not use the volatility of the beginning session, but judge price action against the average daily volatility of the preceding 10 or 20 days. The noise or insignicificant price action is determined as the average of the insignificant moves from the open where

noise = insignifcant move = MIN ( High - Open, Open - Low)

that is the smaller of the distance from open to high and from open to low.

Below is a chart from yesterday's London session for EURUSD. The noise bands are based on the volatility of the prior 10 and 20 days. The average size of the failed moves from the open during the London session was 9.5 pips over 10 days and 13 pips over 20 days. I average those values to 11 pips and consider that any move of 11 pips from the open is not significant, but just caused by noise traders.

After a breakout from the noise bands, I enter long on a retracment back to the noise bands or the mid band, if the breakout is confirmed.

My targets are based on the average daily range of the London session. The target band is calculated by adding the average daily range of 64 pips to the current low or subtracting it from the current high. Yesterday's range of the London session was higher than the average 64 pips and attained 110 pips.

The chart from the New York session below shows a breakout to the downside, which in fact was just a retracement from the London move. For that reason it ultimatley failed and EURUSD broke out to the upsiide later during the day. The average daily session range of the New York session is 67 pips, which is only slightly higher than the 64 pips of the London session. Yesterday's range attained 96 pips during the New York session, still higher than average.

The indicator on the chart is a successor to the SessionNoiseBands and SessionVolatilityBands and will be shortly available.

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  #4 (permalink)
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Alternative Method to Establish Targets

Instead of the daily range of the underlying session, the target can be based on the average of the larger daily moves from the open:

MAX (High - Open, Open - Low)

This method produces a symmetrical range around the open for both noise bands and target bands.

At least yesterday this approach to establish targets was superior to the targets based on the daily range.


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  #5 (permalink)
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Noise Bands and Mid Band

Fatails-

You refer to the midband. Is that just the midpoint between the 2 noise bands?

Thanks, Andy



Fat Tails View Post
Toby Crabel and Mark Fisher are both legendary for their trading methods based on opening range breakouts.

However, both look at the larger picture and see the opening range in the context of the price action of the prior days.

For more information on their methods:

Toby Crabel: Day Trading With Short Term Price Patterns and Opening Range Breakout
Mark Fisher: The Logical Trader


In this forum there is an extensive thread on the ACD method by Mark Fisher, see here

https://futures.io/traders-hideout/6742-acd-trading-mark-fisher.html

Mark Fisher uses a longer than 5-minute range to determine the volatility of the current day.


I personally do not use the volatility of the beginning session, but judge price action against the average daily volatility of the preceding 10 or 20 days. The noise or insignicificant price action is determined as the average of the insignificant moves from the open where

noise = insignifcant move = MIN ( High - Open, Open - Low)

that is the smaller of the distance from open to high and from open to low.

Below is a chart from yesterday's London session for EURUSD. The noise bands are based on the volatility of the prior 10 and 20 days. The average size of the failed moves from the open during the London session was 9.5 pips over 10 days and 13 pips over 20 days. I average those values to 11 pips and consider that any move of 11 pips from the open is not significant, but just caused by noise traders.

After a breakout from the noise bands, I enter long on a retracment back to the noise bands or the mid band, if the breakout is confirmed.

My targets are based on the average daily range of the London session. The target band is calculated by adding the average daily range of 64 pips to the current low or subtracting it from the current high. Yesterday's range of the London session was higher than the average 64 pips and attained 110 pips.

The chart from the New York session below shows a breakout to the downside, which in fact was just a retracement from the London move. For that reason it ultimatley failed and EURUSD broke out to the upsiide later during the day. The average daily session range of the New York session is 67 pips, which is only slightly higher than the 64 pips of the London session. Yesterday's range attained 96 pips during the New York session, still higher than average.

The indicator on the chart is a successor to the SessionNoiseBands and SessionVolatilityBands and will be shortly available.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


 
  #6 (permalink)
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wireford View Post
Fatails-

You refer to the midband. Is that just the midpoint between the 2 noise bands?

Thanks, Andy

@wireford: Sorry I have been writing too quickly. I was indeed referring to the midpoint between the two noise bands. The midband is the open of the current session, as the noise bands are symmetrical bands around the current open.

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  #7 (permalink)
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Midband of Noise Bands

The always lucid and articulate, Harry. Your apology is not accepted due to the fact you are allowed only 2

errors per year which has never been exceeded. Love your Noise Bands. Ich danke schon.

Andy from Chicago

 
  #8 (permalink)
Trading Apprentice
Chicago, IL
 
Futures Experience: Intermediate
Platform: NinjaTrader
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K.I.S.S


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