Comments on: Open Range Breakout Daytrading System

By: Kenneth

Kenneth — Fri, 11 Dec 2009 20:05:46 +0000

We will be providing updated system performance report in the future.

You can also download the system provided in the article and run it in NeoTicker to get the latest system performance result.

By: simon

simon — Fri, 11 Dec 2009 02:18:33 +0000

great idea…Is the modified strategy still working?

By: Kenneth

Kenneth — Thu, 17 Apr 2008 20:32:42 +0000

Use “Reference Time” indcator to get high of a specific time range.

Second plot of reftime indicator is the high of the time range.

By: Dor

Dor — Thu, 17 Apr 2008 10:50:31 +0000

I am a novice in programming. Can you tell me why this is used?
$bo_high := if ($switch_time, dailybar.high, $bo_high);

If I change the time to say 10:10 am to 11:00 am to get the opening range, how can I get the high and low of that range in backtest? Wont dailybar.high give the high of the day, instead of the high for the time range? Is there a way to get the high of the time range specified?

Thank you.

By: Lawrence Chan

Lawrence Chan — Fri, 01 Jul 2005 20:39:12 +0000

Open Range Breakout is a widely used concept in systematic daytrading. What we have here is a barebone system, by using data reduction, that evolved into a much improved model that has less drawdown and better overall performance. Everyone can use this as a starting point to further develop their own favour of this system. Not sure if the ideas in the Elitetrader thread can be incorporated into the system presented. It is a good exercise for our users.

By: BKuerbs

BKuerbs — Fri, 01 Jul 2005 17:35:45 +0000

There is a lengthy discussion and an ongoing realtime test of this kind of system at the Elitetrader Board: http://www.elitetrader.com/vb/showthread.php?s=&threadid=44092

As far as I remember they use 9:30 – 11:45 (EST) to get the range and some more conditions. Like do not trade on Thursdays(!) and do not trade when yesterday’s daily range was above its 5-day average.

Regards

Bernd Kuerbs