One hour breakout strategy

Maybe of interest to a few.... have no idea about Amibroker..in case of any error, I shall not be of any help whatsoever

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// Open Range Breakout AFL
// Current ORB level time is set as 9.30 a.m. which can be easily changed
SetBarsRequired(1000,0);
ORBtype=ParamList("ORB Single or Two levels?","Single|Two");
Style=ParamList("Plot Bars or Candle","Bars|Candle");
BarColor = IIf(Close > Open, colorGreen, colorRed);
SetBarFillColor(BarColor);
if(style=="Bars")Cstyle=styleBar;
else Cstyle=styleCandle;
Plot(C,"Close",colorWhite,Cstyle);
timesetting=093000;
tn=TimeNum();
Datey=DateNum();
fastprice=lev=0;
avp=(O+C)/2;
r2=s2=ar1=ar2=ar3=bs1=bs2=bs3=0;
fastbuy=fastsell=0;
gapzz=10;
Lastsig=Buycond=Shortcond=dayopen=dayclose=dayhigh=daylow=0;
for (i=2;i<BarCount;i++)
{

//PlotText(WriteVal(1,1.0),i,H+15,colorWhite);

//day high low logic
if (Datey!=Datey[i-1])
{
Dayopen=O;
Dayclose=C;
Buycond=Shortcond=lastsig=0;
ar1=ar2=ar3=bs1=bs2=bs3=0;
fastprice=lev=0;
}
if (Datey==Datey[i-1])
{
Dayopen=Dayopen[i-1];
Dayclose=Dayclose[i-1];
Dayhigh=Dayhigh[i-1];
Daylow=Daylow[i-1];
}
if (H>Dayhigh)Dayhigh=H;
if (Daylow==0)Daylow=L;
if (L<Daylow)Daylow=L;
// day high low logic end
//PlotText(WriteVal(i,1.0),i,H+10,colorWhite);

if (tn<timesetting )
{
//PlotText(WriteVal(1,1.0),i,H+10,colorWhite);

r2=Dayhigh;
s2=Daylow;
if (ORbtype=="Single")fastprice=r2=s2=(Dayhigh+Daylow)/2;
}
else
{
//PlotText(WriteVal(1,1.0),i,H+10,colorWhite);

r2=r2[i-1];
s2=s2[i-1];
}
Lev=0;
if (ORbtype=="Single")
{
fastprice=r2;
if (avp>r2)Lev=1;
if (avp<s2)Lev=8;

}
else
{
if (avp>r2){fastprice=r2;Lev=1;}
if (avp<s2){fastprice=s2;Lev=8;}
if (avp<r2 AND avp>s2 AND avp>(r2+s2)/2){fastprice=r2;}
if (avp<r2 AND avp>s2 AND avp<(r2+s2)/2){fastprice=s2;}
}

if (Lev==1)
{
ar1=avp-r2;ar2=avp[i-1]-r2;ar3=avp[i-2]-r2;
//passthrough
if (avp>r2 AND avp[i-1]<r2)Buycond=1;
//kiss and go above
if (ar2<gapzz AND ar1>ar2 AND ar3>ar2) Buycond=1;
}
if (Lev==8)
{
bs1=s2-avp;bs2=s2-avp[i-1];bs3=s2-avp[i-2];
//pass through
if (avp[i-1]>s2 AND avp<s2)Shortcond=1;
//kiss and go
if (bs2<gapzz AND bs1>bs2 AND bs3>bs2) Shortcond=1;
}
if (Lev==1 AND Buycond==1 AND Lastsig!=1)
{
fastbuy=1;
Lastsig=1;
Buycond=shortcond=0;
}
if (Lev==8 AND Shortcond==1 AND Lastsig!=-1)
{
fastsell=1;
Lastsig=-1;
Buycond=shortcond=0;
}
}
shape = fastBuy * shapeUpArrow + fastSell * shapeDownArrow;
PlotShapes( shape, IIf( fastBuy, colorLime, colorRed ), 0, IIf( fastBuy, Low, High));
if (ORbtype=="Single")
{
Plot(r2,"R2",colorYellow,styleLine|styleDashed|styleNoTitle);
}
else
{
Plot(r2,"R2",colorYellow,styleLine|styleDashed|styleNoTitle);
Plot(s2,"S2",colorRed,styleLine|styleDashed|styleNoTitle);
}

Invariably,this strategy will give profit.
For targets,use Fib levels with First One hr H/L.

My S/L would be 50% retracement/pull back with a small cushion.

Hi VIKAS,

what is your target for that One hour breakout strategy any fixed target or should book profit at end of day ?

Dear friend

all level are sbin future ,, i use sharekhan tradetiger,,

on 27th sep LTP is 2266.05

plss read the DATA as per these headings..

date 10am(H/L) L/S SL DAYS(H/L) LTP P/L

I THINK THERE IS NO CONFUSION NOW.....


VIKAS 21

Dear friend

at present i am trading this strategy with target at endof the day price...

reason is that if market is trending we can extract full juice of it.... and if market reverses we will have maximum 20point SL,.

I have also tried it with 20 point sl and 20 point target,, but results are better with target at end of day.....

we can also try with 2 or 3 lots,, profit booking with 10,20,30 points....


also u can exit your position if your opening price of the day is breached....


VIKAS 21

No confusion now! It was due to mismatch in Closing rates. Now the matter is clear ! You had mentioned the data of SBI Oct futures on the 27th Sep which was incidentally also the last day of Sep series. I was comparing your rates with Sep series hence the confusion!

One more small point : For first hour, are you taking 10 AM high/low or 10:15 AM high/low?

Vikas, You have not analysed current month Futures, but have analysed "Next month" futures of SBIN ! Is it intentional or an inadverent error? Do you suggest to trade Next month futures instead of current month futures in this Strategy?

Have you tried this with any other stock futures or Nifty futures? Have you experimented whether some stock futures are more well suited than others for this strategy.Also, do you enter at the break of high low of hourly bar, or do you keep some filter?
I traded Nifty with this strategy for around two months early last year and from the data I collected I found that I gained maximum when I kept a profit target of 75% of the opening range with a SL of 50% of the range.
Thanks,
Amit

Hi Vikas,

I had checked a similar strategy some years back. I had dowloaded free data from Investbulls, and created a perl script to backtest.

The best result was with the following parameters:
- Enter on break of the 1 minute Opening Range, with no buffer.
- Close position EOD (3:29 PM)
- No Stop Loss (Need guts, but there is a statistical edge to die for)
- Only one trade per day. Better to avoid trade if the Opening Range is not broken for a long time - maybe a cut-off time at 11 AM.

In those days, the 1 minute bar was larger and significant - I think because there was no pre-open. The only drawback of this system is extended drawdown phases. (For a person like me, who keeps increasing position size at the slightest profit, these drawdowns were serious)

I devised a strategy out of it, and traded intraday profitably for 9 consecutive months using ICICI Direct, while working full time at an office, and hardly checking quotes. I have posted that system in the first couple of pages of this thread http://www.traderji.com/amibroker/52959-augubhais-orb-system.html

I am given to system hopping, and since then I have on-and-off traded different variations of ORB profitably. The latest I tried was between April-Aug this year - ORB with a TSL. The system worked well until June 20. July-August were bad. I notice that it is doing well again from October.
I had posted my trades - Apr-Jun - here http://www.traderji.com/trading-dia...ts-risk-free-takes-no-time-44.html#post694267. The Apr-Jun trades were mostly done on mobile from office, checking quotes very rarely. Some of the losing July-Aug trades (watching live charts) are posted in my diary.