Tony Crabel's Opening Range Formula

[Soultrader 12]

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.

[Bollis 10]

This is good strategy, Do you know if there is some AFL for Amibroker that implements these rules?

 

Br

[thrunner 10]

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

[bakrob99 11]

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.

[fivev 10]

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

 

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

 

Plotted on a 30min chart . . .

 

. . . 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 ?

 

FiveV

[Xuanxue 10]

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;

Edited May 13, 2009 by Xuanxue

[BlowFish 10]

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.

[fivev 10]

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

[BlowFish 10]

That is because they are not used by Crabel (as far as I recall). XuanXue introduced another idea which looks to be based on Fischers work.

[zdo 20]

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...

[Xuanxue 10]

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 May 15, 2009 by Xuanxue

[Xuanxue 10]

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 May 15, 2009 by Xuanxue

[BlowFish 10]

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.

[burnsy 10]

anyone still searching for tony crabel's ORM afl?

i have one on hand

[kirthi1987 10]

anyone still searching for tony crabel's ORM afl?

i have one on hand

 

can u shre tony crabel's orm afl pls.........

[lynx23 10]

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?

[vegas_trader 10]

Here is some Tony Crabel work

CRABEL8.PDF

[thalestrader 14]

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