How to implement ORB Policy

This article mainly shows you "how to achieve ORB strategy", the content is easy to understand, clear, hope to help you solve your doubts, the following let the editor lead you to study and learn "how to achieve ORB strategy" this article.

Brief introduction of ORB Policy

ORB is an acronym for Opening Range Breakout, a trading strategy designed by Toby Crabel.

Using this strategy, the trader sets a long stop above the opening price plus the pull point and a short stop below the opening price minus the pull point. The first stop point triggered is the opening point, and the other stop point is the protective stop point.

Crabel's research shows that the price of a stop touched earlier in the trading session is likely to be profitable at the close. The market movement that starts the trend rapidly in the current trading session can increase significant profits for traders' positions at the close. In short it is a very effective strategy for judging true and false breakthroughs.

The results of the extended Crabel study clearly show that over time, if we do not manage our money well, then the risk will increase and it will become very difficult to reduce the size of our positions in intra-day trading.

Many professional and amateur traders use this strategy to achieve good profit returns. One of the unique qualities of this strategy is that it applies only to intra-day trading. You can use this strategy to open and close positions. Each day, traders can follow their own convenient time window. Some people use this strategy for smaller time ranges and larger trading volumes, while others use larger time ranges but a small amount of trading volume.

Implementation of ORB Strategy

Next, let's implement this strategy on the inventor quantification platform, and let's choose the concise My language to write it.

Strategy name: high success rate ORB trading strategy

Data cycle: daily K

Main picture:

Average, formula: Mac ^ MA (CLOSE,LENGTH); highest price average, formula: MA_ H H ^ ^ MA (HHV (HIGH,LENGTH), LENGTH); lowest price average, formula: MA_ LL ^ MA (LLV (LOW,LENGTH), LENGTH); upper rail, formula: UPBAND ^ O _ TODAY+BAND; lower rail, formula: Downand ^ O _ TODAY-BAND

Secondary picture:

None

Code:

NN:=BARSLAST (DATEREF (DATE,1)) + 1): HHV (NN,NN+62); O_TODAY:=VALUEWHEN (NN=1,OPEN); H_TODAY:=HHV (HIGH,NN); L_TODAY:=LLV (LOW,NN); H_YESTERDAY:=REF (Henday Magnum NN); L_YESTERDAY:=REF (Lindaye Magazine NN); C_YESTERDAY:=REF (C Magneto NN); LENGTH:=N_DAY*LENGTH_DAY;DISTANCE:=MA ORB:=MIN (ABS (H_YESTERDAY-C_YESTERDAY), ABS (L_YESTERDAY-C_YESTERDAY)); BAND:=MAX (ORB,DISTANCE*0.1); UPBAND ^ O _ TODAY+BAND; down ^ MA ^ O _ TODAY-BAND; MAC ^ MA (CLOSE,LENGTH); MA_ HH ^ MA (HHV (HIGH,LENGTH), LENGTH); MA_ LL ^ MA (LLV (LOW,LENGTH), LENGTH); BUYPK:=CLOSE > UPBAND AND CLOSE > MAC AND CLOSE > MA_HH;SELLPK:=CLOSE