Open Range Strategies applied to the main stocks indexes

I tried to backtest some ORB strategie on several stocks market last 9 years EOD data.

In order to have a big picture I selected the following markets:

1. S&P 500
2. DAX
3. JAPAN NIKKEY 225
4. DJ EUR STOCKS 50
5. INDIA BSE30
6. LONDON FTSE-100
7. HONG KONG HSI
8. ITALIAN FTSE-MIB

The trading rules are the following:

1. Enter Long if intraday price breaks up the Day Open + stretch level
2. Enter Short if intraday price breaks down the Day Open - stretch level
3. Exit on the same day close
4. The following daily compression/expansion filters are tested: NR7,NR4,NR, No filter, WR, WR4,WR7.

As you can see it is not exactly a trading system: for example there is no stop loss or target rules; (if you put these intraday rules in a system operating on EOD data the performance results are not reliable), the object of the analysis it just to detect intraday bias of prices related to daily compression/expansion patterns.


Does it make sense?



Have a look to the first analysis, any test is conducted using TradeStation.
















Long trade peformace are reported separately from short ones.

The key performance indicators reported are:

1. Total profit (the trade size is 100.000 $)
2. % Winning Trade
3. Average Trade
4. Average Trade/Dev Std
5. Max DrawDown

In yellow the best performance are highlighted.

...continues in the next post

Eurostoxx 50 - first 20 min Intraday Breakout

Trading rules:

1. wait for 09.20 time then find the previous 20 minutes high,low and range
2. if the 5min close breaks the high + range level goes long
3. if the 5min close breaks the low - range level goes short
4. stoploss = 10 ticks
5. trailingstop= 10 ticks after 20 ticks in gain

6. exit on close

Equity Line and Performance Report

Visual Trader code

Last days trades

Easylanguage: performance results data organizing

Have you never tried to compare different strategy on the same future or the same strategy to several futures os stocks?
Here you find a simple Easylanguage code you can insert in your own code in order to have an automatic .csv file containing the main information on the strategy performances you want to compare.

What you have to do is to copy the output printed in the debug area into an Excel file, to transform the .csv format in Excel format and ... that's it!

The best is to have an Excel file ready with a Pivot Table .

"An Opening Range Breakout is a trade taken at a predetermined amount above or below the opening range. When the predetermined amount (the stretch) is computed, a buy stop is placed that amount above the high of the opening range and a sell stop is placed the same amount below the low of the opening range. The first stop that is traded is the position and the other stop is used as a protective stop".

This is how Toby Crabel, more than 20 years ago, started his book "Day Trading with Short term price patterns and Opening Range Breakout", and this is the basis of several strategies and trading systems I have been testing for a couple of years and that I will try to share with you in this Blog using TradeStation.

If you are a day trader interested in these matters your comments and opinions are welcome.