I believe that you are correct. The ORB is a very high percentage trade as is the push into the close. What I am trying to figure out is if there is a way to identify conditions that occur that we can take into account when it does not work. Perhaps in addition to the 30 minute chart a 20 or 30 range bar chart would be helpful.
Jeff, pic using the FibRatioBandsTgt indicator (from Mike's FibEnvelopeExpansion thread) as opening breakout tester.
Went back a few days - all winners. Default settings, didn't play with a thing. Not 30 minutes, though. Just happened to have 150 tick chart up.
This one has the central MA plotted at the Open price with bands above and below. When a band is penetrated, a target is immediately plotted at the corresponding level on the other side of the open (2 targets, in lighter and darker colors). It does seem like a good one, but it takes nerves. I intend to research this using the 30 minute bands and then a shorter time frame for entries and stops, but holding to the LT target.
Note how as soon as the first target was hit, a second was triggered. And that worked great too. I just realised there is a problem with this chart. Must be no longer the front month. But anyway, the principle is there.
Here's one I made earlier with a 30 min, but Gold. There is one filter I forgot about - a max high/low filter. This one set to 3 so if low is at least the lowest of 3 bars it's okay, otherwise it's ignored. Can be disabled.
Did well -- 2 $1000 trades in a couple of hours with about $50 per contract heat on first, and $150 on second. I am sure many other days would not work out that well. Just happened on this chart the 19th. Indeed, on the 20th it failed, although still about $400 open before coming back up.
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Excellent work cclsys !! I am fascinated by the fib targets....although I am more comfortable with the simple break from the previous high/low at the open. Can you tell me more about gold.....as far as pit open goes.
Right now I look for a breakout on ZN at 5:20 PST (pit open), CL 6:00 PST (pit open) and YM 6:30 PST (cash open)......I think a trader could perfect trading the open on all these markets and then call it a day.
You will notice on that post that I was one of the people who said "thanks" for it. I am not a programmer but.....if we have programmers who are reading this who see the beautiful simplicity of an ORB strategy then perhaps they will take a crack at it.
Last edited by Jeff Castille; November 23rd, 2009 at 12:00 AM.