Opening Range Breakout (ORB) - Intraday Trading System

augubhai

Well-Known Member
#11
I dont understand the point here, as per Aghubai orb method, only one trade per day, if stop loss hit exit, no counter trade where there is a high we might miss a run up on the reverse trade.
OK, here's the thinking behind my method of ORB...

Open the daily chart. How many bars do you see that open at one end and close at the other end? If we capture even some of those bars, could we be in profit?

I traded this mechanically, but if we are smart, we can get better results.
 
#17
the condition that says ema5 should be above/below Opening Range seems stupid to me so did not code it rest are there

replace the buy/sell/short/cover . . . line with . . .

Code:
e20 = EMA(C,20);	e5 = EMA(C,5);
Plot(e20,"E20",colorGreen); 
Plot(e5, "e05",colorBrightGreen,styleDashed); 
LONGFilter  = C > e20 AND e5 > e20;
SELLFilter = C < e20;
SHORTFilter = C < e20 AND e5 < e20;
COVERFilter  = C > e20; 
Buy = LONGFilter  AND (H >= ORBH) AND (BarsSinceNewDay > EntryBarStart) AND (BarsSinceNewDay <= EntryBarEnd) AND ((BarsSinceNewDay < BarsSinceLastEntrySignal) OR BothEntrySignalsNull ); 
Sell = SELLFilter AND (L <= ORBHSL) OR (H >= ORBHTarget) OR (TimeNum() > SquareOffTime-1) AND (BarsSinceNewDay > BarsSinceLastBuySignal); 
Short = SHORTFilter AND (L <= ORBL) AND (BarsSinceNewDay > EntryBarStart) AND (BarsSinceNewDay <= EntryBarEnd) AND ((BarsSinceNewDay < BarsSinceLastEntrySignal) OR BothEntrySignalsNull ); 
Cover = COVERFilter AND (H >= ORBLSL) OR (L <= ORBLTarget) OR (TimeNum() > SquareOffTime-1) AND (BarsSinceNewDay > BarsSinceLastShortSignal);
just added the conditions did not check the performance . . . but serious doubts if this will improve it . . .




:) Happy


I have add this above code with Price..But it giving errors.
Kindly check


hello Cubt,

Above ORB system backtest results are on Nifty???


Thanx you all.
 

jamit_05

Well-Known Member
#19
Cubt,

Could you change the exits in all the buy and sell trades. I mean, how about checking the results for two settings:

1) With all exits to 1R or EOD. And
2) With all exits to 0.50R or EOD.

If it is an intraday method, then expectations should be small.

Eagerly waiting. Hoping that the DD and profits will both comedown proportionally making the system agreeable.
 

rkkarnani

Well-Known Member
#20
Cubt,

Could you change the exits in all the buy and sell trades. I mean, how about checking the results for two settings:

1) With all exits to 1R or EOD. And
2) With all exits to 0.50R or EOD.

If it is an intraday method, then expectations should be small.

Eagerly waiting. Hoping that the DD and profits will both comedown proportionally making the system agreeable.
Nice suggestion ! Also , can we have a coloumn, where we can clock the max points our trade moved before we exited or SL hit.
 

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