The Opening Range Breakout

Opening Range Breakout Strategy
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The opening range is the high and low points of the RTH session. For index futures there was a tradition for marking the high and low points during the first 30 minutes. Following this time window, one would take long positions above the opening range and shorts if the market moved below. This would then be characterized as an opening range breakout (a.k.a. ORB trading setup). For more information on the Opening Range indicator, check out this video or continue reading below:

You may furthermore apply additional conditions to determine “real” opening range breakouts. For example, Mark Fischer works with an offset of ticks above/below the breakout level, to confirm the breakout. Others want to see ORB trading setups stay above/below the range level for a certain period of time, for example 20 minutes, in order to confirm the signal. The opening range high/low, and the pre-session high/low levels, may also work as important areas of support/resistance during the day.

Opening Range Breakout Setups a.k.a ORB Trading

Although not specifically mentioned in the video, if using the indicator with volume or tick charts, we strongly recommend setting an appropriate session template, in order to retrieve the correct opening price. Specifically, tick, range and volume charts may not display the opening range breakout levels correctly, if the last bar expands beyond the specified time.

Opening Range Breakout Levels

The premium version adds a secondary minute bar series to the chart, which is used to calculate the opening range. Accordingly, it will plot accurate breakout levels, even if the primary bar series does not contain the necessary information for its calculation.

Furthermore, if using minute charts, you will want to use the premium version if the opening period is not an integer multiple of the bar period. For example: If you trade a 3 min chart and use an opening period of 10 minutes, the opening period is not an integer multiple of the bar period and you will want to use the premium version.

You may define the opening period via the indicator dialogue box. Also, you may display the regular / custom open and the range of the first minute of trading. The premium version also includes a separate indicator designed to calculate the opening range in seconds.

Regular and Pre-Session Trading Hours

In addition, one may display the night session or pre-session range. This refers to the electronic session prior to regular session and is different for each instrument. By default, the indicator pulls the instrument trading times; the regular open and pre-session times from it’s own databank. This applies for the following exchanges: CME, NYMEX, CBOT, EUREX, ICE. The premium version may also be used with e-micros and cryptocurrencies. You may furthermore add your own additional exchange trading hours.

Finally, the premium version comes with a market analyzer column. Specifically, the Market Analyzer returns information on how far prices have moved outside the opening range breakout levels.

Trading Opening Range Breakouts

Well known ORB trading setups were formulated by Toby Crabel and Mark Fisher. Additionally, one may align setups with a mid/higher timeframe trend or momentum bias. You may for example review Heikin Ashi candles, the daily Regression Channel, the TDI indicator or the LBR 3/10 ocscillator. Finally, the Relative volume indicator can help you identify increasing / decreasing volume and filter out noise signals. Relative Volume analysis can help you to filter out breakout scenarios when the cumulated relative volume is above average.

Our Opening Range indicators are available for NinjaTrader 8. To review the features of the library Opening Range indicator vs. the premium version, please refer to this table. You may download our NinjaTrader Indicators library version from the link below: