Augubhai's ORB System

[lasty66]

@Lasty66,

Actually you need to make quite a few changes in order to acomodate above lines. Let me first build this to my satisfcation & I'll share with all.

hi Amit,
will eagerly wait for ur updates :thumb:

Thanks

 

[augubhai]

I will post paper trades of this strategy EOD everyday. I have day traded this strategy with real money for 3 years, while also working at an office. This day trading strategy is simple enough to not require you to spend a lot of time checking prices or charts, and need not disturb your other commitments.

Currently, I am not using this strategy, since I am focusing on some other strategies. I will try to post paper trades based on charts at the end of day using the free charts at bazaartrend dot com. The data is not very accurate, but I will go with those charts for posting the daily results.

Data accuracy is a key requirement for this system, especially the opening range high and low. Some of the paper trades that I post may not be accurate, but will just give you a general idea of how to use this system, and modify it on your own.

Today has not been a good day for this strategy so far, but I will try to post paper trades from today itself.

 

[augubhai]

I will take the opening range as the initial 5 minutes. I have noticed that early entry works out better for this strategy.

I will try to post paper trades for 4 variations of this strategy. The (mechanical) rules for the variations as follows:

Variation 1 (V1 - plain version):

• Enter long on touch/break of the high of the first 5 minutes. (Enter short on touch/break of the low of the first 5 minutes.).
• Exit at the end of day.

Variation 2 (V2 - with SL):

• Enter long on touch/break of the high of the first 5 minutes. (Enter short on touch/break of the low of the first 5 minutes.).
• Place stop loss 0.6% below the long entry point. (Place stop loss 0.6% above the short entry point.)
• Exit at the end of day, if position still open.

Variation 3 (V3 - with initial and trailing Stop losses):

• Enter long on touch/break of the high of the first 5 minutes. (Enter short on touch/break of the low of the first 5 minutes.).
• Place initial stop loss 0.6% below the long entry point. (Place initial stop loss 0.6% above the short entry point.)
• Trail stop loss 0.8% below the long entry point. (Trail stop loss 0.8% above the short entry point.)
• Exit at the end of day, if position still open.

Variation 4 (V4 - SAR method):

• Enter long on touch/break of the high of the first 5 minutes. (Enter short on touch/break of the low of the first 5 minutes.).
• Place initial SAR stop loss 0.6% below the long entry point. (Place initial SAR stop loss 0.6% above the short entry point.)
• Trail SAR stop loss 0.8% below the long entry point. (Trail SAR stop loss 0.8% above the short entry point.)
• Exit at the end of day, if position still open.

Additional notes:

• For the first entry, place your entry SL at exactly the high/low of the day. No buffer needed. Enter as soon as the high or low of the 5 minutes opening range is touched.
• For V1, V2 and V3 - only 1 entry per day. If you have already gone long once, do not short even when low of day is broken. And vice versa.
• Exit all open positions at the end of the day. Exit as late as possible. I generally exit at the last minute. Usually I find that on most days there is a directional move at the end of the day - enough to make a difference to the profitability of this system.
• This system is given to extreme drawdowns. I have had 2-3 months of continuous losses. Take care not to risk more than 1% of your equity on any trade.
• Future results need not match past performances. In the past, I have found the riskiest variation (V1) to be the best, but it is definitely not advisable to risk trading V1.
• I have only traded V2 and V3 because it suits my personality. I have also traded some other variations that i have not listed here. Choose whatever variation works best for you.

 

[augubhai]

Here is the chart from bazaartrend.... Data is really bad... I think this is the index and not the future.

For V4, I have just restricted to 3 trades, that's what I had backtested with earlier. No point continuing to trade V4 on whipsawing days....

V1:
Short @ 5109, Exit EOD @ 5084.9
1 trade, 24.1 points, 0.47% gain

V2:
Short @ 5109, Exit at SL @ 5139.7
1 trade, -30.7 points, -0.60% loss

V3:
Short @ 5109, Exit at SL @ 5139.7
1 trade, -30.7 points, -0.60% loss

V4:
Short @ 5109, SAR to long @ 5139.7, SAR to short @ 5108.85, Exit at SL @ 5111
3 trades, -63.7 points, -1.25% loss

The % profit/loss is calculated on the initial entry. Costs, slippages and brokerages need to be deducted. For NF, slippages are usually less than 1 point per trade.

 

[rajsumi121]

Deat Augubhai .... we can try with combination of orb ( 15 minute ) with open=high/low ... if open=low is same and able to sustain in 15 minute trading then buy when high ( 15 min ) break ... & sell when open=high is same .

 

[rajsumi121]

Deat Augubhai .... we can try with combination of orb ( 15 minute ) with open=high/low ... if open=low is same and able to sustain in 15 minute trading then buy when high ( 15 min ) break ... & sell when open=high is same .

exit= end of day as you said .

 

[augubhai]

To make the paper trades somewhat more accurate, i will use the PIB charts to show the trades. Also, I will try to note down the high and low at 9:20 AM and show the first trade based on that. Today's high and low for NF was 5055 and 5037.70, and the first trade is short.

I always say "I will try to" for everything, since I am not trading live with this method.

Also, the Zerodha servers are down, so am unable to do any trades at the open today.

 

[augubhai]

Deat Augubhai .... we can try with combination of orb ( 15 minute ) with open=high/low ... if open=low is same and able to sustain in 15 minute trading then buy when high ( 15 min ) break ... & sell when open=high is same .

Hi Raj, that is a good idea, and may probably filter out some bad days. I do not have an idea since i have not tried it.

 

[augubhai]

Today's trade:

V1:
Short @ 5137.7, Exit EOD @ 5040
1 trade, -2.3 points, 0.05% loss
Cumulative: 2 trades, 0.42% gain

V2:
Short @ 5137.7, Exit EOD @ 5040
1 trade, -2.3 points, 0.05% loss
2 trades, -0.65% loss

V3:
Short @ 5137.7, Exit EOD @ 5040
1 trade, -2.3 points, 0.05% loss
2 trades, -0.65% loss

V4:
Short @ 5137.7, Exit EOD @ 5040
1 trade, -2.3 points, 0.05% loss
4 trades, -1.3% loss

The % profit/loss is calculated on the initial entry. Costs, slippages and brokerages need to be deducted. For NF, slippages are usually less than 1 point per trade.

 

[myamit]

Friends,

I've made some changes to original formula (logic) & feel this is good system for somebody who does not have time to be in front of computer all the time.

I've tested this system for last 13 months (16-Aug-2010 to 16-Sep-11). System generated 246 trades with exactly 50% success rate & making almost 200% net profit. Please review stats attached.

View attachment 16977