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Early Morning Open Range Breakout


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Early Morning Open Range Breakout

  #1 (permalink)
 Okuricap 
Hong Kong + China
 
Experience: Advanced
Platform: NinjaTrader
Trading: index futures
Posts: 4 since Sep 2013
Thanks Given: 0
Thanks Received: 1

Hi,

I am working on Ninjascript for trading strategy for first 15~30 mins open range breakout trade for US index futures. So far I've tried NQ and YM and my back test results suggest I can only get win % of around 50% with profit factor of not more than 1.2. If I allow some slippage in my test it seems hardly to make consistent profit. I have been using similar algorithm to trade Asia market and am able to make reasonable profit.

Before drilling down further into this, I just want to know anyone trade the open range breakout for US index futures and making consistent profit? What is the win % and PF? Many thanks.

BRs,

Okuricap

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  #3 (permalink)
sbxems
new york
 
Posts: 10 since Mar 2016
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Curious to know what are your parameters. Stop/target. because that will change your results tremendously. If
You are trying to develop a simple ORB strategy meaning just a break above go long or a break below go short may I suggest looking into 3 to 1 or even greater at this point you should generate some sort of a profit


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  #4 (permalink)
 Okuricap 
Hong Kong + China
 
Experience: Advanced
Platform: NinjaTrader
Trading: index futures
Posts: 4 since Sep 2013
Thanks Given: 0
Thanks Received: 1

I just curious to know for those trading OR breakout, what is the PF of their trades?! Dow is at around 26,000 but daily range is seldom above 400 or 500 ticks. Personally can't find a way to have trade with reasonable PF (say 2.0).

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  #5 (permalink)
 cshrum 
nashville, tn
 
Experience: Intermediate
Platform: Ninja 8
Trading: es
Posts: 107 since Nov 2012
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Having any luck?

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Last Updated on January 6, 2019


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