Can an opening range be used to determine type of day? - Traders Hideout | futures io social day trading
futures io futures trading


Can an opening range be used to determine type of day?
Updated: Views / Replies:6,789 / 23
Created: by Big Mike Attachments:3

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 3  
 
Thread Tools Search this Thread
 

Can an opening range be used to determine type of day?

  #1 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,215 received

Can an opening range be used to determine type of day?

Question:

Can you use the opening range of an instrument to predict with any efficiency the type of day that may result?

For instance, if you look at the first hour of the pit session in CL, and you look to see if the close of the bar after 1 hour is higher than the opening session price, can you make any predictions that the day will be an up day? Another example, if you examine the actual range (ticks) of the opening range, can you make any prediction as to whether or not there will be a volatile or range-bound day?

There is another thread here that talks about Opening Range Projections, but that is more of a support/resistance/fib indicator and not what I am looking for. I'm trying to formulate a statistical spreadsheet to see if its possible to make predictions that the day will close higher/low, be volatile or range bound, based on an opening range.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,599 received
Forum Reputation: Legendary

Some unfiltered thoughts on opening range breakouts


Mike,

I am currently working on this. Actually planning to develop a trading system around this. Here are some unfiltered thoughts. Will come back when it is better structured.

Low risk conditions

Like to enter trades during of after low volatility. Consider a trade like an option, where part of the fee is not payed upfront but comes as the risk that the trade turns sour. If volatiliy is low, I can use narrower stops and reduce my risk.

Box-in-a-box or Martryoshka setup

I love two types of setups. Breakouts from trading ranges and 2B (or turtle soup) setups. Both work best as Martryoshka setups. If a breakout from a smaller timeframe consolidation triggers a breakout from a larger timeframe consolidation, this should work like an avalanche and you have made it. For 2B setups, I look for a small divergence within a larger divergence, or to use the terminology of Al Brooks, I look for a second entry within a larger timeframe second entry or a bear flag. Applied to my opening range breakout concept, this means that I would prefer that the prior day had rather low volatility and not high volatility. A wide ranging day might be followed by a balancing day, which confirms the newly established price level or a retracement which is needed to confirm the move. A typical example of a Matryoshka setup is the cup-and-handle pattern. So one of the criteria for trading opening range breakouts is the volatility prior to the setup, in particular the night session range and/or European session range from 3:00 to 6:00 AM ET and, of course, the range of the prior day.

Analysis of hourly expected volatility

Human behaviour divides the day into different volatility zones. This can be measured via the hourly range. The attractivity of the opening range breakout is, that it precedes herding. The herding generates positive feedback loops and increased volatility that can be exploited. For index futures the same applies to the afternoon after the typical fake move that occurs around 2:30 PM ET. Currency futures do not follow the same cycle, but only show increased volatility in the US morning, particularly when New York and London overlap into the London close. I have not examined this for CL, but believe that the morning of the RTH session shows the highest volatility.

Analysis of volume

Volume shows interest and should be analyzed for the per-opening period and the opening range period as well. This is certainly tricky, as what counts is relative volume, relative to the news, relative to the typical day-of-week volume, relative to the volume of the prior day, etc. I have not found something simple here so far, but I am quite convinced that it has an impact.

Sentiment and Expectations

The analysis needs to integrate sentiment indicators. Thinking about modified put/call ratios like the ISEE indicator. If a breakout occurs, it is best, if the majority of the traders are trapped. Expectations are dependent on expected news releases. I think this is one of the most difficult, but most important subjects to integrate.

Filter

Using a trend filter based on the work of Sylvain Vervoort. Second filter based on linear regression.

Rejection of the opposite scenario

In any case I need two valid scenarios - one up and one down. Prior to any brekaout the opposite scenario should have clearly been rejected by price action. The best possible reaction would be a bull and a bear trap.

Breakout point, target and stop-loss

I think that the stop-loss does not need to be on the other side of the trading range. If the tiing for the breakout is right, a stop-loss could be set at a 75% position within the trading range. If price move considerably below the 50% line of the trading range, the breakout scenario would be no longer valid. The breakout point will be different for every instrument. This needs to be empirically tested.

Timeframe

I think it is possible to trade a 5 min, a 15 min, a 30 min, and a 60 min opening range. For currencies the longer end looks better, but for index futures, trades can be based on the breakout of a 5 min bar as well.

An old concept revisited, can it be adapted to the current markets?

Trading the opening range breakout is an old concept, so it will not easily work. I think that it has a solid kernel but needs to be adapted to ever changing market conditions. The solid kernel is the risk side and the fact that it is based on repetitive human behaviour.

Still reading the book of Toby Crabel, who has done some serious statistical analysis, probably no longer valid today. I also plan to have a look into the book by Mark Fisher "The Logical Trader Applying a Method to the Madness". Do you know this book? Also I have found a link to a free download (just some basics), which is here:

http://files.meetup.com/81452/Trading%20The%2010%20Oclock%20Bulls.pdf

Extension of the concept

For index futures you can trade the increase of volatility after the noon break in a similar way. This is not possible for currency futures as volatility typically declines after the London close. I have not have had a look at houlry volatility of crude so far.

Indicators

Just coding an indicator that displays opening range for different instruments, based on RTH session open and the choice of a period for the opening range. Also want to integrate prior ranges, such as European session, night session and prior day.


Now to answer your question (in the end)

I think if you take the opening range, the range of the prior day(s), sentiment, expected news, a trend filter, volume of pre-opening period, volume of opening range, a prediction should be possible with a probability allowing for a profitable setup....


Last edited by Fat Tails; August 1st, 2010 at 05:10 PM.
Reply With Quote
The following 11 users say Thank You to Fat Tails for this post:
 
  #4 (permalink)
 Vendor: www.edevaay.com 
Al,India
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: RKG
Favorite Futures: NiftyFuture
 
devdas's Avatar
 
Posts: 1,547 since Feb 2010
Thanks: 1,460 given, 1,661 received

Directional Day Filter, approach by Dr John Clayburg might be worth look in this context.

http://www.clayburg.com/ddf_home.htm

Reply With Quote
The following user says Thank You to devdas for this post:
 
  #5 (permalink)
Just starting out...
India
 
Futures Experience: Intermediate
Platform: MarketDelta, NinjaTrader
Broker/Data: eSignal
 
Posts: 8 since Dec 2009
Thanks: 6 given, 4 received

Opening range can give clue to the developing day type like a Large initial balance has little chace to end up as a trend day. But I feel more important is the horizontal development

Reply With Quote
 
  #6 (permalink)
Elite Member
San Francisco Bay Area
 
Futures Experience: Intermediate
Platform: NT,TOS,IB
Favorite Futures: ES,CL,TF
 
Posts: 278 since Jun 2010
Thanks: 154 given, 267 received

FatTails:

Marc Fisher's ABC system (A-Up etc.) is a useful tool. He has a number of ideas which can help frame the price action and can also be automated.

One problem though is that in the current market many big moves tend to happen overnight. So this whole concept of opening range etc. is becoming meaningless.

Today we had a +25 day in ES but the intraday range was much smaller and the day was pretty much done by 10:15 AM. All your opening range techniques could be thrown out of the window as you waited for the paint to dry.

I think these techniques will still work on individual stocks and perhaps CL.

You are very lucky to be in Europe in the current market environment since you can trade multiple markets and catch most of the moves.

Reply With Quote
The following user says Thank You to aviat72 for this post:
 
  #7 (permalink)
Elite Member
San Francisco Bay Area
 
Futures Experience: Intermediate
Platform: NT,TOS,IB
Favorite Futures: ES,CL,TF
 
Posts: 278 since Jun 2010
Thanks: 154 given, 267 received

BigMike:

In general trend days will be followed by a day of consolidation where especially in the AM session price is unlikely to make a significant range extension. This is the LBR Z-day concept.

I also would like to incorporate the overnight trading range as one of the parameters to frame the day's action, especially for CL which can make big moves pre-pit.

Reply With Quote
 
  #8 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,599 received
Forum Reputation: Legendary

This really depends on the instrument! Have a look at 6E: the large moves occur after the New York open.

Expect an average two-hourly range of over 70 pips between 8:00 and 12:00 AM ET. See chart of today below.


aviat72 View Post
You are very lucky to be in Europe in the current market environment since you can trade multiple markets and catch most of the moves.


Attached Thumbnails
Can an opening range be used to determine type of day?-6e-09-10-15-min-02_08_2010.jpg  
Reply With Quote
The following 2 users say Thank You to Fat Tails for this post:
 
  #9 (permalink)
Elite Member
San Francisco Bay Area
 
Futures Experience: Intermediate
Platform: NT,TOS,IB
Favorite Futures: ES,CL,TF
 
Posts: 278 since Jun 2010
Thanks: 154 given, 267 received


Fat Tails View Post
This really depends on the instrument! Have a look at 6E: the large moves occur after the New York open.

Expect an average two-hourly range of over 70 pips between 8:00 and 12:00 AM ET. See chart of today below.

Well 8:00 AM Eastern is 5:00AM for me; still too early!

BTW, your post above provides a form of context for a trade. One of the most important aspects for the a trade is the context and for me the holy grail is to measure the context for the trade using a program. I had opened a thread earlier on this but did not get too many responses.

Reply With Quote
 
  #10 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,599 received
Forum Reputation: Legendary


Come on. 5:00 AM is perfect. You have made your day at 8:00 AM and then have your breakfast and go golfing or surfing.


aviat72 View Post
Well 8:00 AM Eastern is 5:00AM for me; still too early!

BTW, your post above provides a form of context for a trade. One of the most important aspects for the a trade is the context and for me the holy grail is to measure the context for the trade using a program. I had opened a thread earlier on this but did not get too many responses.


Reply With Quote
The following 2 users say Thank You to Fat Tails for this post:

Reply



futures io > > > Can an opening range be used to determine type of day?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Opening Range Breakout (EasyLanguage, automated) Big Mike Elite EasyLanguage Automated Trading 48 October 4th, 2016 06:49 PM
Opening Range Indicator - small glitch Todd NinjaTrader Programming 27 October 10th, 2014 05:21 PM
ORP (Opening Range Projections) TAJTrades Traders Hideout 13 May 29th, 2011 04:17 AM
Opening Range Play in FGBL max-td Traders Hideout 14 July 31st, 2010 06:49 PM
Opening Range Indicator msocks The Elite Circle 0 September 16th, 2009 12:58 AM


All times are GMT -4. The time now is 01:34 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-11 in 0.19 seconds with 20 queries on phoenix via your IP 54.145.16.43