Tony Crabel's Opening Range Formula
- Thread starter Bollis
- Start date
I just have one week worth, maybe little more. It's not OHLC just close sampled used a excel web query with 1 min interval. I don't anyone will have any use for 1 min closing prices which aren't accurate. However I can tell you where you can get clean 1 min OHLCV csv data free of cost.
Theres a site investbull.com in the downloads section you will find a zip with intraday data for all scrips in a csv text file.
All you need to do to get it in a single file is extract the data to a folder, open command prompt in the folder and run "copy *.txt newfile.txt". You will get one file will all data appended.
Theres a site investbull.com in the downloads section you will find a zip with intraday data for all scrips in a csv text file.
All you need to do to get it in a single file is extract the data to a folder, open command prompt in the folder and run "copy *.txt newfile.txt". You will get one file will all data appended.
ankit,
Thanks again for sending the data. There is some setup information I need to place in the information screen on Amibroker for the Nifty_F1 data you sent me. I need to know:
Round Lot Size
Margin Deposit
Tick Size
Point Value
Once I get those values I can run some backtests using the data.
I got my code reworked and it slices through the backtest and optimization process very fast now.
This enabled me to finally run an exhaustive analysis on the S&P 500 E-mini futures contract (ES), only to find the ORB's do not work consistently. In fact I found they fail to work for far greater amount of times then when they are profitable. It will likely blowout your account if you were to trade it mechanically for a period of years.
This was a pretty hard blow given all the work I've put into this. At least on ES, ORB's have been on a winning streak for most of this year. In fact, if you had traded them every single day with no filter whatsoever you would have made a massive profit for the first half of 2009.
In my longer term analysis I used 2 years worth of ES data spanning the years 2006 and 2007. I optimized using just about everything imaginable:
Varied the Average Range Min from 8 to 15 days
Varied the profit target using a multiplier from 0.5 to 1.35
Varied the Stop Amount using a multiplier from 0.25 to 1.2
Varied the BreakOut levels, by applying a multiplier from 0.7 to 1.3
I used filters such as ID, NR4, NR7, 2BarNR, 3BarNR, BullHook, BearHook.... (Including various combinations such as ID/NR4, NR4/NR7).
I even tried taking trades on days where the previous 2-3 days had no patterns whatsoever. (that actually worked from 1/1/06 through 6/30/06, and then it blew up during the rest of the in sample period)
I also tested taking trades on a specific day of the week. Found a great combo on the 1/1/06 through 6/30/06 time period. Trade the NR4 and NR7 combo only on Mondays. Worked great until I expanded it to the rest of my in-sample period.
So, while the ORB trades on ES are presently hitting very well, there is no telling when they stop working again. And how is one to know? How do you tell the difference between a short string of losing trades and the end of the run???
Over the previous 12 months I have coded and tested dozens of different trading methodologies and none have proved to work in the long term. It seems to me the only reliable tool to use is the human mind. One that is highly trained and experienced in the market, that knows instinctively when to switch tactics. Anyone know where I can get one of those? My search for a purely mechanical trading system, one which performs consistently over the long term has so far met with no result.
Once I receive the setup data required to test the ORBs on the Nifty futures data I will run it through the same vigorous analysis and let you know my results. But in my opinion, one years worth of data is not enough to prove that the ORBs are here to stay.
Good trading everyone
Dry
Thanks again for sending the data. There is some setup information I need to place in the information screen on Amibroker for the Nifty_F1 data you sent me. I need to know:
Round Lot Size
Margin Deposit
Tick Size
Point Value
Once I get those values I can run some backtests using the data.
I got my code reworked and it slices through the backtest and optimization process very fast now.
This enabled me to finally run an exhaustive analysis on the S&P 500 E-mini futures contract (ES), only to find the ORB's do not work consistently. In fact I found they fail to work for far greater amount of times then when they are profitable. It will likely blowout your account if you were to trade it mechanically for a period of years.
This was a pretty hard blow given all the work I've put into this. At least on ES, ORB's have been on a winning streak for most of this year. In fact, if you had traded them every single day with no filter whatsoever you would have made a massive profit for the first half of 2009.
In my longer term analysis I used 2 years worth of ES data spanning the years 2006 and 2007. I optimized using just about everything imaginable:
Varied the Average Range Min from 8 to 15 days
Varied the profit target using a multiplier from 0.5 to 1.35
Varied the Stop Amount using a multiplier from 0.25 to 1.2
Varied the BreakOut levels, by applying a multiplier from 0.7 to 1.3
I used filters such as ID, NR4, NR7, 2BarNR, 3BarNR, BullHook, BearHook.... (Including various combinations such as ID/NR4, NR4/NR7).
I even tried taking trades on days where the previous 2-3 days had no patterns whatsoever. (that actually worked from 1/1/06 through 6/30/06, and then it blew up during the rest of the in sample period)
I also tested taking trades on a specific day of the week. Found a great combo on the 1/1/06 through 6/30/06 time period. Trade the NR4 and NR7 combo only on Mondays. Worked great until I expanded it to the rest of my in-sample period.
So, while the ORB trades on ES are presently hitting very well, there is no telling when they stop working again. And how is one to know? How do you tell the difference between a short string of losing trades and the end of the run???
Over the previous 12 months I have coded and tested dozens of different trading methodologies and none have proved to work in the long term. It seems to me the only reliable tool to use is the human mind. One that is highly trained and experienced in the market, that knows instinctively when to switch tactics. Anyone know where I can get one of those? My search for a purely mechanical trading system, one which performs consistently over the long term has so far met with no result.
Once I receive the setup data required to test the ORBs on the Nifty futures data I will run it through the same vigorous analysis and let you know my results. But in my opinion, one years worth of data is not enough to prove that the ORBs are here to stay.
Good trading everyone
Dry
Sorry for the delay DH.
Lot Size is 50
Margin deposit is generally 15-16% of contract value. So if NF is at 4500 and lot size is 50
Margin=15% of (50 * 4500)
Tick Size...Well it is pretty differnt from the way EMINI or ES etc are traded... 1 point here has 20 ticks... We move like this:
4500.00
4500.05
4500.10
4500.15 and so on...
And thus 1 tick value wil be 0.05*50 = 2.5 INR
I hope this helps.
Happy Trading
Lot Size is 50
Margin deposit is generally 15-16% of contract value. So if NF is at 4500 and lot size is 50
Margin=15% of (50 * 4500)
Tick Size...Well it is pretty differnt from the way EMINI or ES etc are traded... 1 point here has 20 ticks... We move like this:
4500.00
4500.05
4500.10
4500.15 and so on...
And thus 1 tick value wil be 0.05*50 = 2.5 INR
I hope this helps.
Happy Trading
Well I was just getting around to dropping these numbers into AB and getting started on some backtesting of the Nifty Futures data you sent. As I was scrolling through the chart getting a feel for the price action I ran across an anomaly. On 5/18/09 the price jumps from 3685.20, all the way up to 4370. There are only 4 one minute bars of data for the 18th of May. Is this a result of the contract rolling over to the new front month? If so than I will break my backtests into smaller pieces so they don't overlap any contract rollovers. For that I will need to know the rollover dates that are present in the data you sent.
Looking forward to getting started on this.
Dry
Looking forward to getting started on this.
Dry
Well I was just getting around to dropping these numbers into AB and getting started on some backtesting of the Nifty Futures data you sent. As I was scrolling through the chart getting a feel for the price action I ran across an anomaly. On 5/18/09 the price jumps from 3685.20, all the way up to 4370. There are only 4 one minute bars of data for the 18th of May. Is this a result of the contract rolling over to the new front month? If so than I will break my backtests into smaller pieces so they don't overlap any contract rollovers. For that I will need to know the rollover dates that are present in the data you sent.
Looking forward to getting started on this.
Dry
Looking forward to getting started on this.
Dry
That day was only 40 secs of trading on indian exchanges. we opened gap up 15% then trading was halted for 2hrs and then we gapped up to 20% so trading was halted for the rest of the day.
So 4 1 min bars seem right. Actually it would be 2 of 20secs each of trading
Well I was just getting around to dropping these numbers into AB and getting started on some backtesting of the Nifty Futures data you sent. As I was scrolling through the chart getting a feel for the price action I ran across an anomaly. On 5/18/09 the price jumps from 3685.20, all the way up to 4370. There are only 4 one minute bars of data for the 18th of May. Is this a result of the contract rolling over to the new front month? If so than I will break my backtests into smaller pieces so they don't overlap any contract rollovers. For that I will need to know the rollover dates that are present in the data you sent.
Looking forward to getting started on this.
Dry
Looking forward to getting started on this.
Dry
That was one different day in India. That weekend, the general elections of indian govt were announced and on Monday morning, when market opened, it was locked at upper circuit for almost the entire day and trading was frozen. Contract roll overs dont cause any such movements in the market. We have future contracts of 1M, 2M and 3M(month) trading and 1M is generally most liquid of it. The data that I have sent you is 1M data, that is the day the current month futures expire, it automatically switches to next month futures the next day. The contract roll over takes place on last thursday of the month.
I hope this answers your query.
I am seeing some strange things in this data. For a period of 9 days from 9/25/09 through 10/8/09 the trading does not stop at 3:30 as usual and instead continues on until 4:15.
Not sure what to make of it. The impact on the results should be minimal but figured I would ask about this just in case.
Also, I think I have things dialed in but before getting to deep into this I wanted to post the initial backtest result from my first run. Please check this over to make sure it is using the correct number of contracts for a start equity of 286,500.00 INR. Also let me know if the profit/loss amounts and percentages are correct given the entry and exit points. Once I get confirmation these values are correct I will start working on the optimization.
I ran out of room to post attachments directly so here's a link to the document:
Link to backtest
Good trading.
Dry
Not sure what to make of it. The impact on the results should be minimal but figured I would ask about this just in case.
Also, I think I have things dialed in but before getting to deep into this I wanted to post the initial backtest result from my first run. Please check this over to make sure it is using the correct number of contracts for a start equity of 286,500.00 INR. Also let me know if the profit/loss amounts and percentages are correct given the entry and exit points. Once I get confirmation these values are correct I will start working on the optimization.
I ran out of room to post attachments directly so here's a link to the document:
Link to backtest
Good trading.
Dry
I am seeing some strange things in this data. For a period of 9 days from 9/25/09 through 10/8/09 the trading does not stop at 3:30 as usual and instead continues on until 4:15.
Not sure what to make of it. The impact on the results should be minimal but figured I would ask about this just in case.
Also, I think I have things dialed in but before getting to deep into this I wanted to post the initial backtest result from my first run. Please check this over to make sure it is using the correct number of contracts for a start equity of 286,500.00 INR. Also let me know if the profit/loss amounts and percentages are correct given the entry and exit points. Once I get confirmation these values are correct I will start working on the optimization.
I ran out of room to post attachments directly so here's a link to the document:
Link to backtest
Good trading.
Dry
Not sure what to make of it. The impact on the results should be minimal but figured I would ask about this just in case.
Also, I think I have things dialed in but before getting to deep into this I wanted to post the initial backtest result from my first run. Please check this over to make sure it is using the correct number of contracts for a start equity of 286,500.00 INR. Also let me know if the profit/loss amounts and percentages are correct given the entry and exit points. Once I get confirmation these values are correct I will start working on the optimization.
I ran out of room to post attachments directly so here's a link to the document:
Link to backtest
Good trading.
Dry
As told to you earlier, the margin requirements are about 17% of the contract value.
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