Opening Range Breakout (ORB) - Intraday Trading System

Cubt

Well-Known Member
#52
Sorry guys... it's a long time since i had written that code, and do not remember the scenarios that i had covered. Else, i would have let u know about it earlier.

Just one warning - that afl is not perfect. It's buggy, and there are scenarios where it misbehaves. I remember that i had tried to add TSL to the code, but it did not work correctly. It might make sense to visually sample the results after u run the code.

My original backtest of the ORB system was in perlscript, but I do not have that code now.... it might in some of my old computer backups, though. In those test, I had covered an extensive number of scenarios, including the one being discussed. The results for Nifty (as far as I remember) were:
Best settings: Enter on ORB at the earliest (i had only 5 min data... so 5 min). No SL. Close at EOD (these were the most profitable parameters)
Second Best: Enter ORB at the earliest. On entry update the other order with SL 0.6% from entry. Close EOD if SL not hit.
Third Prize: Enter ORB at the earliest. On entry update the other order with SL 1.4% from entry. Close EOD if SL not hit.

Data for the test was of 2007-08.
Yes Agubhai, you are right. When Stop Loss is not used, it gives max profits. However for certain dates there were no trades even after the break out. That's because u have given some time restriction in the code i guess. Due to which even breakout happens signals not generated for those dates.

As u said earlier, one can trade this method successfully provided we plan enough to face the continues loss at certain stage. And important thing is even if we with stand the continues loss, we need to continue trading with same lot size, if we reduce the lot size after continues loss then it would take double the time recover the loss.

If lot size is same throughout the trading phase, then its a great method with sure profits in the long run.

And i have dropped my plan to capture that 15 points. In the long run it doesn't take me anywhere.

I will continue to trade with Super Trend system and also will start ORB with 1 lot from tomorrow. i.e. Enter after breakout and exit @ EOD price. No Stop Loss.
 

anup

Well-Known Member
#53
Yes Agubhai, you are right. When Stop Loss is not used, it gives max profits. However for certain dates there were no trades even after the break out. That's because u have given some time restriction in the code i guess. Due to which even breakout happens signals not generated for those dates.

As u said earlier, one can trade this method successfully provided we plan enough to face the continues loss at certain stage. And important thing is even if we with stand the continues loss, we need to continue trading with same lot size, if we reduce the lot size after continues loss then it would take double the time recover the loss.

If lot size is same throughout the trading phase, then its a great method with sure profits in the long run.

And i have dropped my plan to capture that 15 points. In the long run it doesn't take me anywhere.

I will continue to trade with Super Trend system and also will start ORB with 1 lot from tomorrow. i.e. Enter after breakout and exit @ EOD price. No Stop Loss.
Keep the trailing stoploss and ride the profit..
 

Cubt

Well-Known Member
#57
There isn't much difference between with stop loss n without stop loss.

With stop loss, it gives 11700 points in 950 trades
Without stop loss, system generates 9500 points in 750 trades.

Back test period is from jan 2008 to sep 2013.
 

Cubt

Well-Known Member
#58
Intially I will start with high/low of range as stop loss but no trailing stop loss, as I cannot monitor the system all the time.

Entry - 5 mins bar range breakout.
Stop loss- high/low of the range
Target-No target
Exit- @ Eod price.

If stop loss hit, not going to reverse the trade. Will just close it. No more trades after stop loss hit.

Will start posting my trades from tomorrow.
 
#59
However for certain dates there were no trades even after the break out. That's because u have given some time restriction in the code i guess. Due to which even breakout happens signals not generated for those dates.
You can adjust the parameter named . . . Entry Time End (Minutes) for that end time . . . .

change it to 360 (upto 3:15) or maybe to 330 ...


:) Happy
 
#60
If u r interested, here is the link to the method that triggered my interest in day trading. Trying to optimize 2652, I ended up with ORB.
http://www.traderji.com/day-trading/25307-best-way-day-trading-2652-theory-trading.html

I never traded the 2652 system myself, but there were a lot of people following it at that time.
Augubhai

Hello, I have seen a lot of posts of yours in the 2652 thread started by Dhiraj.
I have been working on this 2652 system and it has loopholes, which I wanted to share.
I have depicted today's trade scenario (1st Nov 2013 ) for TATA STEEL on NSE (paper trade)

---------------------------------------------
TATA STEEL

Prev. High Prev. Low
338.3 324.15

Diff (Prev. High - Prev. Low) High by 10:30
14.25 340

Low by 10:30 Factor (0.433) * Diff
334.5 6.13

Sell
Sell Buy Stop Loss
333.87 331.87 337.2

BUY
Buy Sell Stop Loss
340.63 343 337.23

I placed both the orders by 10:35 AM(Capital:3,00,000) , the BUY order hit at 340.63(High), so bought 880 shares. At 12:46PM, Stop Loss was triggered and all 880 shares were sold for 337.23, Loss is 2992.
--------------------------------------------------------------
I feel if the constant factor .433 was lesser (like say .233 then values would have been:

BUY
Buy Sell Stop Loss
337.8 339.5 334.

Then I would have bought at 10:39AM (887 shares) and sold at 10:56 AM with a profit of 1507.9

Please do throw some light on this.

Thanks
Ethicaldeal







Result: I placed both the orders by 10:35 AM(Captital:3,00,000) , the BUY order hit at 340.63(High), so bought 880 shares. At 12:46PM, Stop Loss was trigerred and all 880 sgares were sold for 337.23, Loss is 2992.
 

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