Yeah, I always enjoy reading books written by (real) traders like Toby. Especially, because he actually shows us how he approaches trading. He gives us a little glimpse of his thought process. (bar patterns, probabilities, the stretch, etc.)
And you know he knows what he's talking about, or he wouldn't have a hundred people working for him, and be managing 3 billion dollars. (That's Billion with a B! lol
Here's a little audio interview I ran across the other night, it's sorta interesting if you want to check it out. He says his company trades 200,000 future contracts a day.
I use to do a breakout trade off the opening swing that worked soso. To get the swing I charted the opening i 133tk and noted the low/high of the first push in on direction and then the low/high in the other (all those market on open orders). I played for 4 pts in the ES and SL was the other side of the swing after the breakout. I actually reversed the postion up to 3 times.
The problem is that these kinds of open-range-breakouts worked great in the past but nowdays get killed by all the algo fading the breakouts. There´s a lot of simple programs out there that just sell new intraday highs or buy new intraday lows playing to pop the stops of intraday traders.
Yeah...another problem is volatility. It works a lot better when the ATR (average true range) is around 80 (ticks) or so (ES), but lately the ATR has been around 40, so that makes it difficult to get a decent risk/reward ratio when your risking 10 ticks.
So, right now, maybe a "5 tick open range play" would be wiser ?
Jugador, CME published Open and Close range is range of 1 minute of pit traded instruments.
I'm watched lately level drawn from close of first 2 minute bar on ZF on 2 minute chart. Then waited for pullback to that level and entered long or short. Sometimes that levels still important through the whole day.
Also I've noted that close of first bar often is first Peak Volume Price level in the day.
Right now trying to optimize that simple strategy and also to incorporate into that and check who it correlates with CME published ranges.
Any comments/corrections/suggestions about that is more then welcome.
P.s. anyway I've noted that there are important price levels around which market plays every day, so I try to find 1-2 or 2-3 of them.
The following user says Thank You to Andrew for this post:
Please clarify what do you mean as Premarket ? Official premarket (don't remember exactly time of that) or overnight globex session ?
I agree with you as also noted at least on ZF that often when market unable to breakout Globex high or low it reverses and goes back.
Only when market breaks and confirms that it goes further beyond high or low, sometimes it's quite good moves