Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

Soultrader

Tony Crabel's Opening Range Formula

Recommended Posts

This information is only available in Tony Crabel's, "Day Trading With Short Term Price Patterns and Opening Range Breakout". This is a mathematical formula used to play the opening range breakout. If you are unfamiliar with this method it may sound complicated but bear with me.

 

First Step: you get the (High - Open) and the (Open - Low)

 

For example: Let's take the S&P 500 emini contract

 

High: 1294

Low: 1281.5

Open: 1290.50

 

(High - Open) = 3.5

(Open - Low) = 9

 

2nd Step: You take the minimum of the two numbers. In this example the minimum would be 3.5.

 

3rd Step: Add the minimum for the last 10 trading days and divide it by 10. So you would add 3.5 to the minimum of the previous 9 days. In total you will have 10 numbers. Divide that by 10 to get the average.

 

4th Step: For example, let's say you get a 10 day average of 2.5. You simply play the breakout of the opening range. If prices open up at 1293, you would buy a breakout above 1295.5 and short a breakdown below 1290.50.

 

Simple and easy. I have not tested this to work but I know this was a famous opening break method amongst the professionals for many years. Alot of traders still use this method. Some may chose to take the 10 day average minimum and multiply it by 1.1 or 1.2 to make slight adjustments to the markets they are trading. Hope it helps. :)

Share this post


Link to post
Share on other sites

The title of this thread looked funny until you realized that Crabel's first name is Toby and not Tony.

 

The practice of opening range breakout (ORB) has changed since Crabel's book came out and some would say it is not working - although some say it could work if one modified the concept of ORB and optimal entry points. In any case, the Amibroker file you are likely to come across will not be profitable as is, unless you understand how Crabel came up with the ORB concept - Steenbarger has some good articles on this.

 

Subsequent to Crabel, Clayburg has done some work on ORB and called it Day Directional Filter (DDF). Some would say that doesn't work either as Clayburg seems to be curve fitting his strategy constantly to make it appear better than it is.

 

The attached file is such an example of DDF for Amibroker and the dll file has to be installed in the Amibroker plugin folder.

AFL Zip.rar

Share this post


Link to post
Share on other sites

Personally, I don't like the ORB concept as it ends up being a "Buy the Highs, or Sell the Lows" too often for my liking. It's great of you can support it with a trend day confirmation, easier said than done. But if the TRIN and TICKS suggest it's a possible trendday forming, then look at the ORB as potential support for an entry which you would want to hold for a longer than normal time, to the Close if possible.

 

I guess I should add that my suggestion is only meant for the Stock Index Futures. Other markets I'm sure have different conditions which may very well support a more generous use of the ORB strategy.

Share this post


Link to post
Share on other sites

Got interested in this . . . as an All.Data.Everywhere. project . . .

 

Here is the last 10 sessions of Data on the ES . . .

attachment.php?attachmentid=10558&stc=1&d=1241910836

 

Plotted on a 30min chart . . .

attachment.php?attachmentid=10559&stc=1&d=1241910836

 

. . . will have to run further tests, but my eyeballs tell me that these ranges are a bit much . . .

 

Have I done the formula for the range calculation correctly ? :confused:

 

FiveV

5aa70ecf85fdf_5-9-20097-11-58PM.png.15a9e0743dd2bb8b36f161c349478419.png

5aa70ecf8b56c_5-9-20097-11-23PM.png.5eb40db88ca861b1f3fead1d4ebfce4c.png

Share this post


Link to post
Share on other sites

Hey there, fivev.

 

The mean pivot is high+low+session close/3

 

The pivot range is found by adding and subtracting to and from the mean pivot the differential of calculating high+low/2 and subtracting the number from the mean pivot.

 

My personal preference is to use data from regular trading hours - a glance at my chart should indicate why.

 

Tommorow's RTH pivot range that's already under attack overnight:

 

Mean pivot: 904.33

 

H+L/2 = 903.12

 

Differential: 1.21

 

Pivot range: 905.54 - 903.12

 

Best to you;

5aa70ed296f25_pivotrange.thumb.png.5ee76eb334ad1636ccad6c71ac1e07f2.png

Edited by Xuanxue

Share this post


Link to post
Share on other sites

There is something appealing about setting your orders at the open and then taking off for the day. Those interested in OR BO's might like these threads on Mark Fishers ACD. I think he uses the pivot mid point range that Xanxue describes.

 

http://www.traderslaboratory.com/forums/f34/acd-method-689.html

http://www.traderslaboratory.com/forums/f34/mark-fishers-acd-trading-method-seminar-3367.html

 

The Rumpled Ones 'milk the cows' is also an opening range break out system.

Share this post


Link to post
Share on other sites

Forgive me . . . but I don't see any references to "pivots" in Soultrader's explanation about how to calculate Toby Crabel's opening range break-out formula . . . .

 

FiveV

Share this post


Link to post
Share on other sites

Big picture – there are 3 breakout “philosophies”

Tight = getting in as early as possible. Usually requires position management.

Medium = going for statistically optimal entries with (usually) no active position management

Wide = only going for ‘outliers’

 

VERY roughly – Mark Fischer’s techniques are an example of Tight, Tony Crabel's work is an example of Medium, and Larry Williams BO strategies are an example of Wide...

Share this post


Link to post
Share on other sites

It is BF. It's taken verbatim from Fisher's Logical Trader. I'ld call it a stretch..to compare what he wrote concerning pivot ranges having anything to do with volatility or even ranges but more as sentiment confirmation working with the ORB A ^s or downs.

 

Without either Crabel or Fisher's ATR formulas, basing trading decisions alone on the only range formula I know that could be deviated that small, accounts will be blown in no time.

 

Any given movement is going to have, a) a mean pivot (high + low/2), a range, (high-low), and what I and most swing or position traders call a range pivot, meaning, a play from a mean pivot to the square of the range accounting for the angle the number resides in relation to 360 degrees, versus where that angle projects 360 degrees..

 

E.G., and bear with me..

 

Take the square root of the range, rounding to the thousandth; multiply it by 180, half of a circle; subtract 60% of the circle from that number, 225; divide the result by 360, it'll give a whole number plus decimals. You only want to work with the decimals, so you eliminate entirely the whole number -- not subtracted, eliminated. Multiply the decimal by 360. That's the degree of the range or mean pivot. What you want to do from there is find out how many points it'll take for an angle to exhaust a full circle. To do that you take the degree, multiply it by 2 and divide by 360; that's your angle qualifer. Add it to itself, then square the sum.

 

896 is a mean pivot from the range in ES 1586.75 & 665.75 (+ /2 ) using a recent example. Its range pivot intraday would be max 18.50 points for a first 3 waves before a decent pullback, and a minimum of 9.25 points -- scale this by 50% and you can pretty much tell not only sentiment at any given time, but have ready-made targets before you pull the trigger.

 

Backtest it. If you don't love life trading whatever trend chart you use and an 8 second chart for unbelievable fills on the right side of the market trading with quants..

 

Get back to me. Let me know.

Edited by Xuanxue

Share this post


Link to post
Share on other sites

So I said max 18.50 points from 896 ES. Where did conservatives short-cover the weekend?

 

76.75, three ticks oversold. lol

 

Gotta love it.

 

Better than Crable or Fisher, with respect to Crable.

Edited by Xuanxue

Share this post


Link to post
Share on other sites

The ACD range 'formula' appeals to me (though never used it as presented). of course after a wide range day that closes at an extreme the zone is going to be way to big to trade as Fisher proposes (maybe he has rules for that I only have a passing familiarity with his work). Having said that the zone between floor pivot (HLC/3) and the mid point HL/2 sounds like a plausible balance area.

Share this post


Link to post
Share on other sites
But if the TRIN and TICKS suggest it's a possible trendday forming, then look at the ORB as potential support for an entry which you would want to hold for a longer than normal time, to the Close if possible.

 

Do you have any suggestions on how to use TRIN and TICK to look for a possible trend day before it starts?

Share this post


Link to post
Share on other sites

I read so many posts where folks deny the existence of gaps - if you read the gap out of price action, then presumably there is no open/close. I would imagine that those who refuse to cede gaps their due would therefore not pay attention at all to the concept of opening range, correct? I am just asking, not criticizing one way or the other (though I do believe in gaps).

 

Best Wishes,

 

Thales

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • NFLX Netflix stock watch, local support and resistance areas at 838.12 and 880.5 at https://stockconsultant.com/?NFLX
    • NFLX Netflix stock watch, local support and resistance areas at 838.12 and 880.5 at https://stockconsultant.com/?NFLX
    • Hello citizens of the U.S. The hundred year trade war has leaked over into a trading war. Your equity holdings are under attack by huge sovereign funds shorting relentlessly... running basically the opposite of  PPT operations.  As an American you are blessed to be totally responsible for your own assets - the govt won’t and can’t take care of you, your lame ass whuss ‘retail’ fund managers go catatonic  and can't / won’t help you, etc etc.... If you’re going to hold your positions, it’s on you to hedge your holdings.   Don’t blame Trump, don’t blame the system, don’t even blame the ‘enemies’ - ie don’t blame period.  Just occupy the freedom and responsibility you have and act.  The only mistake ‘Trump’ made so far was not to warn you more explicitly and remind you of your options to hedge weeks ago.   FWIW when Trump got elected... I also failed to explicitly remind you... just sayin’
    • Date: 7th April 2025.   Asian Markets Plunge as US-China Trade War Escalates; Wall Street Futures Signal Further Turmoil.   Global financial markets extended last week’s massive sell-off as tensions between the US and its major trading partners deepened, rattling investors and prompting sharp declines across equities, commodities, and currencies. The fallout from President Trump’s sweeping new tariff measures continued to spread, raising fears of a full-blown trade war and economic recession.   Asian stock markets plunged on Monday, extending a global market rout fueled by rising tensions between the US and China. The latest wave of aggressive tariffs and retaliatory measures has unnerved investors worldwide, triggering sharp sell-offs across the Asia-Pacific region.   Asian equities led the global rout on Monday, with dramatic losses seen across the region. Japan’s Nikkei 225 index tumbled more than 8% shortly after the open, while the broader Topix fell over 6.5%, recovering only slightly from steeper losses. In mainland China, the Shanghai Composite sank 6.7%, and the blue-chip CSI300 dropped 7.5% as markets reopened following a public holiday. Hong Kong’s Hang Seng Index opened more than 9% lower, reflecting deep concerns about escalating trade tensions.           South Korea’s Kospi dropped 4.8%, triggering a circuit breaker designed to curb panic selling. Taiwan’s Taiex index collapsed by nearly 10%, with major tech exporters like TSMC and Foxconn hitting circuit breaker limits after each fell close to 10%. Meanwhile, Australia’s ASX 200 shed as much as 6.3%, and New Zealand’s NZX 50 lost over 3.5%.   Despite the escalation, Beijing has adopted a measured tone. Chinese officials urged investors not to panic and assured markets that the country has the tools to mitigate economic shocks. At the same time, they left the door open for renewed trade talks, though no specific timeline has been set.   US Stock Futures Plunge Ahead of Monday Open   US stock futures pointed to another brutal day on Wall Street. Futures tied to the S&P 500 dropped over 3%, Nasdaq futures sank 4%, and Dow Jones futures lost 2.5%—equivalent to nearly 1,000 points. The Nasdaq Composite officially entered a bear market on Friday, down more than 20% from its recent highs, while the S&P 500 is nearing bear territory. The Dow closed last week in correction. Oil prices followed suit, with WTI crude dropping over 4% to $59.49 per barrel—its lowest since April 2021.   Wall Street closed last week in disarray, erasing more than $5 trillion in value amid fears of an all-out trade war. The Nasdaq Composite officially entered a bear market on Friday, sinking more than 20% from its recent peak. The S&P 500 is approaching bear territory, and the Dow Jones Industrial Average has slipped firmly into correction territory.   German Banks Hit Hard Amid Escalating Trade Tensions   German banking stocks were among the worst hit in Europe. Shares of Commerzbank and Deutsche Bank plunged between 9.5% and 10.3% during early Frankfurt trading, compounding Friday’s steep losses. Fears over a global trade war and looming recession are severely impacting the financial sector, particularly export-driven economies like Germany.   Eurozone Growth at Risk   Eurozone officials are bracing for economic fallout, with Greek central bank governor Yannis Stournaras warning that Trump’s tariff policy could reduce eurozone GDP by up to 1%. The EU is preparing retaliatory tariffs on $28 billion worth of American goods—ranging from steel and aluminium to consumer products like dental floss and luxury jewellery.   Starting Wednesday, the US is expected to impose 25% tariffs on key EU exports, with Brussels ready to respond with its own 20% levies on nearly all remaining American imports.   UK Faces £22 Billion Economic Blow   In the UK, fresh research from KPMG revealed that the British economy could shrink by £21.6 billion by 2027 due to US-imposed tariffs. The analysis points to a 0.8% dip in economic output over the next two years, undermining Chancellor Rachel Reeves’ growth agenda. The report also warned of additional fiscal pressure that may lead to future tax increases and public spending cuts.   Wall Street Braces for Recession   Goldman Sachs revised its US recession probability to 45% within the next year, citing tighter financial conditions and rising policy uncertainty. This marks a sharp jump from the 35% risk estimated just last month—and more than double January’s 20% projection. J.P. Morgan issued a bleaker outlook, now forecasting a 60% chance of recession both in the US and globally.   Global Leaders Respond as Trade Tensions Deepen   The dramatic market sell-off was triggered by China’s sweeping retaliation to a new round of US tariffs, which included a 34% levy on all American imports. Beijing’s state-run People’s Daily released a defiant statement, asserting that China has the tools and resilience to withstand economic pressure from Washington. ‘We’ve built up experience after years of trade conflict and are prepared with a full arsenal of countermeasures,’ it stated.   Around the world, policymakers are responding to the growing threat of a trade-led economic slowdown. Japanese Prime Minister Shigeru Ishiba announced plans to appeal directly to Washington and push for tariff relief, following the US administration’s decision to impose a blanket 24% tariff on Japanese imports. He aims to visit the US soon to present Japan’s case as a fair trade partner.   In Taiwan, President Lai Ching-te said his administration would work closely with Washington to remove trade barriers and increase purchases of American goods in an effort to reduce the bilateral trade deficit. The island's defence ministry has also submitted a new list of US military procurements to highlight its strategic partnership.   Economists and strategists are warning of deeper economic consequences. Ronald Temple, chief market strategist at Lazard, said the scale and speed of these tariffs could result in far more severe damage than previously anticipated. ‘This isn’t just a bilateral conflict anymore — more countries are likely to respond in the coming weeks,’ he noted.   Analysts at Barclays cautioned that smaller Asian economies, such as Singapore and South Korea, may face challenges in negotiating with Washington and are already adjusting their economic growth forecasts downward in response to the unfolding trade crisis.           Oil Prices Sink on Demand Concerns   Crude oil continued its sharp slide on Monday, driven by recession fears and weakened global demand. Brent fell 3.9% to $63.04 a barrel, while WTI plunged over 4% to $59.49—both benchmarks marking weekly losses exceeding 10%. Analysts say inflationary pressures and slowing economic activity may drag demand down, even though energy imports were excluded from the latest round of tariffs.   Vandana Hari of Vanda Insights noted, ‘The market is struggling to find a bottom. Until there’s a clear signal from Trump that calms recession fears, crude prices will remain under pressure.’   OPEC+ Adds Further Pressure with Output Hike   Bearish sentiment intensified after OPEC+ announced it would boost production by 411,000 barrels per day in May, far surpassing the expected 135,000 bpd. The alliance called on overproducing nations to submit compensation plans by April 15. Analysts fear this surprise move could undo years of supply discipline and weigh further on already fragile oil markets.   Global political risks also flared over the weekend. Iran rejected US proposals for direct nuclear negotiations and warned of potential military action. Meanwhile, Russia claimed fresh territorial gains in Ukraine’s Sumy region and ramped up attacks on surrounding areas—further darkening the outlook for markets.   Always trade with strict risk management. Your capital is the single most important aspect of your trading business.   Please note that times displayed based on local time zone and are from time of writing this report.   Click HERE to access the full HFM Economic calendar.   Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding of how markets work. Click HERE to register for FREE!   Click HERE to READ more Market news.   Andria Pichidi HFMarkets   Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in Leveraged Products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
    • AMZN Amazon stock watch, good buying (+313%) toi hold onto the 173.32 support area at https://stockconsultant.com/?AMZN
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.