Archived: Opening Range Breakout

[markos]

Two successful ORB traders that I have spoken with only trade /es or /ym with the ORB. But, to each their own.

 

[pet76]

@BenTen well what mean when i find PC

 

[BenTen]

@pet76 Previous Close

 

[markos]

# Mobius from TSL April, 2019
# Opening Range Breakout - UP 
# Highest and Best use for this scan is as a Dynamic WatchList 
# Scan Resets Every Day
 
# Set Aggregation Period to 5 minutes or less  
# Mobius 
# Scan 
 
def Active = if SecondsFromTime(0930) > 0 and 

                SecondsTillTime(0945) >= 0 

             then 1 

             else 0; 

def ActiveHigh = if Active and !Active[1] 

                 then high 

                 else if Active and 

                         high > ActiveHigh[1] 

                       then high 

                       else ActiveHigh[1]; 

plot Breakout = if !Active and close > ActiveHigh 

                then 1 

                else 0;

 

[pet76]

@BenTen thank alot for help with this indicator i starded with small %% ami winning 200%

 

[Shaishen]

Found this forum a few days ago, very impressive.

ORB and modifications like Fisher ACD are apparently methods applied by the "pros" in futures trading.



I would like to run a few simple backtests on TOS which would require to add buy/sell orders to create a strategy. I searched the forum but could not find anything.

My coding skills are rather basic - I tried to use "AddOrder" functions but keep getting errors.

It would be interesting to test 3 lots Buy/Sell at BO, take 1st profit at size of BO-range and 2nd traget 1.5 BO-range. Ideally the 3rd target protected by trailing stop.

However also without the trailing stop option backtesting with 2 fixed targets should yield something to work with.

Stop Loss for all 3 (rsp 2) lots should be the "other side" of the BO range.

Thank you for your attention

 

[BenTen]

@Shaishen Hey, welcome 😀 It's interesting that you're looking to add auto buy and sell feature into the ORB indicator. That is something we're working on behind the scenes at the moment as well. I hope to release it soon so the members can play around it with. Another point to note is that there is no partial profit taking in ToS' buy and sell functions yet.

AddOrder(OrderType.BUY_TO_OPEN

and

close crosses above OpenRangeHigh

should help you get started in the meantime.

 

[Vitesse]

Hi Ben, just found your site. Wonderful work here.



Looking at your indicator, is it possible to

customize the OR period to different time frames and keeping that OR period whilst looking at another time frames. Eg, changing the OR period to 3min but in a 30min chart?

Thank you.

 

[BenTen]

@Vitesse Glad to have you 😀 The ORB should work on any timeframes.

 

[Shaishen]

@BenTen Thank you for your reply. Your work behind the scenes sounds exciting.

No scale out function yet in TOS - I overlooked that.

Thank you for the code snippet - order entries are now visible on the chart - and the error code is gone 😃

.

 

[Vitesse]

@BenTen

Thank you for your reply. I do understand that it works for anytime frame but when you change the time frame, the OR changes together. Is it possible to set a fixed OR time regardless of the chart time frame used? Like looking at a 30 min chart but with OR set in 5 min range?

 

[BenTen]

@Vitesse Sure, in your indicator's setting there is an option called _OR end_ and it's set to _1000.0_. You can reduce or increase it.



For example, the default is 30 min breakout (market open at 9:30 EST). If you decrease the input to 945.0 then it becomes a 15 min opening range breakout. Hope that helps.

 

[San]

@BenTen,

How do I see Htarget/Ltarge line for last 10 days. ( Changed setting show today only option set NO)

 

[BenTen]

@San I don't think you can do that at the moment.

 

[john3]

@BenTen What are those yellow price boxes? What indicator generates them?

https://www.screencast.com/t/M9up1k0uh8d1

 

[BenTen]

@john3 That's the Supertrend indicator. Already linked it in the original post above.

 

[homestew]

Hi,

I'm wondering what it would take to get this converted so I can use it on a 15-min timeframe? thanks much for the writeup!

 

[BenTen]

@homestew Try this version here or change the ORBend time.

 

[agorena123]

I trade ORB and this is fantastic. I'm having the yellow, green and red dashed lines plot ahead of current day. I have the settings as you posted so not sure what may be going wrong.

 

[BenTen]

@agorena123 Since you have expansion on it might have been some sort of predicting feature. Im not sure.