The opening range breakout is appropriate for the futures and stocks
markets. It could be used in the forex market too, but with lower rate of
efficiency. The logic behind this strategy is simple. The first few minutes
after the market is open traders are looking for direction. After they find it
they break the opening range. With this strategy we try to catch the first
immediate move after the breakout. For better results we can use ORB after a
few days with lowering volatility (ex. After one or more inside days). This
strategy could be used for fine tuning of entries for other strategies. For
example if we have entry signal on a daily chart, we can use the ORB for better
entry price and stop level.
Rules for long position
- Wait at least 1 hour after the market opens. Then mark the high of the
opening range.
- Long position is initiated when the price breaks 2-3 pips above the high
of the opening range. The exact number should be determined by test for any
particular financial instrument. The breakout should appear maximum till
the end of the second trading hour.
- Close the position at the end of the trading session.
- You can set additional Take Profit and Stop Loss orders according
to your Money management rules.
Rules for short position
- Wait at least 1 hour after the market opens. Then mark the low of the
opening range.
- Short position is initiated when the price breaks 2-3 pips below the high
of the opening range. The breakout should appear maximum till the end of
the second trading hour.
- Close the position at the end of the trading session.
- You can set additional Take Profit and Stop Loss orders according
to your Money management rules.
Testing with Forex Strategy Builder
We will use FTSE 1Hour chart.
According to the time zone of the historical data - the trading session starts
at 10:00. So, we find the High and the Low range of the first bar. We enter
the market if the price breaks out these limits during the second trading
hour. We exit the market at the end of the trading session.
If you want, you can set several pips shift above / below the opening
range.
Charts
Indicator chart
Indicator Slots
Strategy Properties
| Same direction signal | - Nothing |
| Opposite direction signal | - Nothing |
| Permanent Stop Loss | - 150 Pips |
Opening Point of the Position
Hourly High Low
Enter long at the hourly High
| Base price | - High and Low |
| Start hour (incl.) | - 10 |
| End hour (excl.) | - 11 |
| Vertical shift | - 0 |
Opening Logic Condition
Entry Time
Enter the market between the specified hours
| From hour (incl.) | - 11 |
| From min (incl.) | - 0 |
| Until hour (excl.) | - 12 |
| Until min( excl.) | - 0 |
Closing Point of the Position
Day Closing
Exit the market at the end of the day
http://forexsb.com/strategies/opening-range-breakout.html
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