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London Session - Opening Range Breakout - GBP
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London Session - Opening Range Breakout - GBP

  #1 (permalink)
Elite Member
Munich, Germany
 
Futures Experience: Intermediate
Platform: Investor/RT, Tradesignal
Favorite Futures: CME/GE (Eurodollar), CBOT/ZB, EUREX/FGBL + Currencies (CME/IMM, FX/Spot)
 
Posts: 14 since Oct 2011
Thanks: 2 given, 4 received

London Session - Opening Range Breakout - GBP

It's all in the name:

London Session - Opening Range Breakout - GBP


And the "System" is as simple as it gets:

Identify your range. Trade the breakouts. Manage your risk. Don't do stupid things.


Simple? Yes. Easy? We will see.

(more to come)


Last edited by PragmaticQuant; July 4th, 2015 at 01:10 AM.
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  #2 (permalink)
Quick Summary
Quick Summary Post

This was abandoned for quite some while. Will be restarted for the "FIO Journal Challenge - April 2016 " on 2016-04-01.


Last edited by PragmaticQuant; March 28th, 2016 at 03:55 PM.
 
  #3 (permalink)
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Futures Experience: Intermediate
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Posts: 14 since Oct 2011
Thanks: 2 given, 4 received

Day 1 - Wed, 01 Jul 2015


LON

Mechanical Breakout System

w/ reduced risk/exposure (aka position size)

Upside (false) breakout: -30 (pips/ticks)
Downside breakout: +16
Net: -14

The system was allowed to trade unattended into the UK news. Stopping the system or managing the trade (break even/trailing stop) could have limited the first loss.

NY

Half hour of scalping in the NY Session (10 Trades) regained the losses and added some small gains.


EOD: +16





Attached a 15m and 4t renko chart. The renko shows very nice "trading time" vs. "chronological" time. The Breakout Indicator gives some comfort, but you could do this with 2 lines. Everything else is just eye candy. Almost :-)

Attached Thumbnails
London Session - Opening Range Breakout - GBP-gbp-20150701.png   London Session - Opening Range Breakout - GBP-gbp-20150701-2.png  

Last edited by PragmaticQuant; July 1st, 2015 at 10:31 PM.
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  #4 (permalink)
Elite Member
Munich, Germany
 
Futures Experience: Intermediate
Platform: Investor/RT, Tradesignal
Favorite Futures: CME/GE (Eurodollar), CBOT/ZB, EUREX/FGBL + Currencies (CME/IMM, FX/Spot)
 
Posts: 14 since Oct 2011
Thanks: 2 given, 4 received

Day 2 - Thu, 02 Jul 2015

LON

Mechanical Breakout System

w/ reduced risk/exposure (aka position size)

Downside breakout: +1
Scale In: -10
Net: -9


Tighter overnight range and slow start of the session after previous day's strong trend. And US NFP ahead.

Market went in a sudden and short lived down spike of 20-25 ticks. This triggered the breakout. But no follow through. A scale in failed. The market went slowly sideways/up after this. Closed both trades after 1/2 hour slow drift upward (+1 / -10) and with UK news ahead. (UK News then resulted in a +25 uptick)


NY

NFP Payrolls. (Showed ~75 ticks volatility, but no directional impulse. Slow afternoon trading with long US Holiday weekend ahead)


EOD P/L: -9

Running P/L: +7

Attached Thumbnails
London Session - Opening Range Breakout - GBP-gbp-20150702.png   London Session - Opening Range Breakout - GBP-gbp-20150702-2.png  
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  #5 (permalink)
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Thanks: 2 given, 4 received

Day 3 - Fri, 03 Jul 2015

LON

No Opening Range Breakout (ORB) triggered.

The Asia Session High was tested around 0930 (CEST) almost to the tick. With UK News at 1030 CEST the ORB ended at 1025 with no trade triggered.

UK News showed the usual volatile reaction with a new high. A retest of this new high failed later in the morning session.


NY

The market sold off from the NY open to noon. Then with with Europe now closed and US on holidays the last hour showed some volatile "house keeping".



Stats

EOD PL: n/a
EOW PL: +7
Running PL: +7 (unch)

Attached Thumbnails
London Session - Opening Range Breakout - GBP-gbp-20150703-1025.png   London Session - Opening Range Breakout - GBP-gbp-20150703.png   London Session - Opening Range Breakout - GBP-gbp-20150703-2.png  
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  #6 (permalink)
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Futures Experience: Intermediate
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Posts: 14 since Oct 2011
Thanks: 2 given, 4 received

Day 4 - Mon, 06 Jul 2015

LON

Mechanical Breakout System

w/ reduced risk/exposure (aka position size)

Upside breakout: +0

The System was enabled for an early breakout at +5 ticks above/below the asia range. A up breakout was triggered almost immediately. The automatic trade management moved the stop to breakeven after a +20 runup. The target of +30 was not hit. On the deep pullback into the range the trade was stopped out at break even. The market looked quite choppy, so no further ORB attempts.


NY

A scalp in later in the session did not get much momentum and was closed EOD with +5 ticks.




Stats


EOD PL: +5
Running PL: +12

Attached Thumbnails
London Session - Opening Range Breakout - GBP-gbp-20150706.png  

Last edited by PragmaticQuant; July 7th, 2015 at 01:13 AM.
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  #7 (permalink)
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Posts: 14 since Oct 2011
Thanks: 2 given, 4 received

Day 5 - Tue, 07 Jul 2015

LON

Mechanical Breakout System

w/ reduced risk/exposure (aka position size)

Downside breakout: +30


The perfect breakout. Went from the breakout trigger straight to the target. Took no heat.


NY

Several other trades (scalps/position) in the LON/NY Session. Big trend day. But unrelated to the purpose of this journal.


Stats

EOD PL: +30
Running PL: +42

Attached Thumbnails
London Session - Opening Range Breakout - GBP-gbp-20150707.png  
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  #8 (permalink)
Elite Member
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Futures Experience: Intermediate
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Posts: 14 since Oct 2011
Thanks: 2 given, 4 received

Day 6 - Wed, 08 Jul 2015

LON

Mechanical Breakout System

w/ reduced risk/exposure (aka position size)

Downside breakout: +30


The system by default triggers +/- 5 ticks above/below the Asia/Overnight range. So the short upside spike was filtered. The downside breakout triggered. The pullback took ~10 tick heat. The initial risk (SL - Stop Loss) is the other side of the ORB range. The automatic trade management of the system takes the SL to breakeven after +20 ticks. And closes the trade at +30 ticks.


Stats

EOD PL: +30
Running PL: +72

Attached Thumbnails
London Session - Opening Range Breakout - GBP-gbp-20150708.png  
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  #9 (permalink)
Elite Member
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Futures Experience: Intermediate
Platform: Investor/RT, Tradesignal
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Posts: 14 since Oct 2011
Thanks: 2 given, 4 received

Day 7 - Thu, 09 Jul 2015

LON

Mechanical Breakout System

(no actual trade taken- only theoretical results)

Upside breakout: +/-0

Triggered an upside breakout. Reached breakeven, but did not hit target. A pullback into the overnight range stopped the trade at BE.




Stats

EOD PL: +/-0
Running PL: +72 (unch)

Attached Thumbnails
London Session - Opening Range Breakout - GBP-gbp-20150709.png  
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  #10 (permalink)
Elite Member
Munich, Germany
 
Futures Experience: Intermediate
Platform: Investor/RT, Tradesignal
Favorite Futures: CME/GE (Eurodollar), CBOT/ZB, EUREX/FGBL + Currencies (CME/IMM, FX/Spot)
 
Posts: 14 since Oct 2011
Thanks: 2 given, 4 received

Day 8 - Fri, 10 Jul 2015


LON

Mechanical Breakout System


Upside breakout: +30

Triggered an upside breakout. Hit target after short initial sideways action.


Stats

EOD PL: +30
Running PL: +102

Attached Thumbnails
London Session - Opening Range Breakout - GBP-gbp-20150710.png  

Last edited by PragmaticQuant; July 14th, 2015 at 01:47 AM.
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