Skipping as

TABLE 16-7 Opening Range Breakout, "o Profitable Trades*

•SouTO:TotyCrabel-

FIGUEIE 16-3 (a) Omega TradeStation code for first-hour breakout sjstem. (b) Omega TradeStation code for first-hour breakout indicator.

1 bystem: 1st hour Breakout (adapted from H. McJutt, 1994)

[lOJ MexRarsRack

[*] Generate Realtime Crders

[*] Do not allow multiple ertties ir the same directior

System uses ten minute cars of .&P futures for data 1 ana 60 minute 5 "5 fc- ia

2 [daily data is held in data 3]

vars: SesslFirslBdrDAtetS, dald2, SesslFi rstBarHigh(0, ddta2),

SesslFirstBarLowCO, data2), avedayrange(0,data3); input: RanLn(lD),

avedayrange - @average(high of data3 - low of daTa3), Ranir/ of dataB;

if (time of data2 = SesslFirstBarlime of dflta2) or (date of datfl2 > datcLl] of dald2) then begin SesslFirstBerDate = Date of date2; SesslFirstBarHigh = high of data2; SesslFirstBarLow = Low of data?; end;

If (SesslFirstBarDate = Date of data2) and

(time of data2 < bessltndlime of data2) then begin if CloseCl] < SesslFirstBarhigh then buy at

SesslFirstBarHigh + 20 point stop; If cIcseCl] > SesslFirstBarLow then sell at SesslFirstBarLow - 2D point stop;

end;

if low <= SesblFirblBarHigh - avedayrange then e;(itshort at market; if higti >= SesblFirstBarLowCl] + avedayrange then exitlong at market;

{Indicator: 1st hour BreakouL (adapted from M. McNutt, 1994) I

vars: SesslFirstBarDAteO, data?, Sessl Fi rstBarHi gh( D, oata?), SesslFirstBarLow(0, dataZ), avedayrflnge(0,data3);

avedayrange = @averaqe(high of data3 - low of deta3, ID) of data3;

if (time of data2 = SesslFirstBarlime of data2) or (Date of data? > date[l] of data?) then begin SesslFirstBerDate = date of data?; SesslFirstBarHigh = high of data?; SesslFirstBarLow " low of data?; end;

if (SesslFirstBarDate = date of data?) and

(Time of data? SesslEndTime of data?) tnen begin PlotUSesslFirstBarHigh, "1st Buy"); Plot?(SesslFirstBarLDw,"lbt Sell"); Plot3(SesslFirstBerLow + evedeyrenge,"Buy stop"); PlDt4(Ses5lFirstBdrHigh - avedayrange,Sell stop"); end;

many as 50°o of the trades should not limit your profit potential; you should be able to stand aside and start a without much concem about continuity

Breakout Ranges Based on Time

instead of a breakout that occurs when prices move a fixed number of points away from the opening price, you can establish an opening range based on the first 6C minutes of trading. After this time, a new high or low would be a signal to enter a long or short position. This is a trade-off between avoiding the erratic movements of early trading and missing the beginning of a price move to start early and continue in the same direction

Combined with the first-hour breakout is a calculation of the days trading range to be used for reversing your position or taking profits. The projected range high is calculated as the average daily range added to todays low price after the first hour of trading; the low is that same range calculation subtracted fran the high of the first hour. The Omega Easj Language code for this sjstem involves the use of multiple time frame data and can be found in Figure 16-3a; an indicator that shows the signal on a chart page is given in Figure 16-3b. In the practical application of this method, the firsthour range must be penetrated by at least 2C points for the S&P If the first-hour range is nearly as large as the average ICday range (used for the exit targets), use the anticipated high and low for buy and sell signals, rather than a breakout of the first-hour range. Other ride confrols, such as a frailing stop (in addition to a reversal if the opposite signal is given) and a fixed stop, are also recommended