The Opening Range Breakout

Opening Range Breakout Strategy
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The Opening Range is the range obtained from the highest and lowest price of a security during the first minutes of daily trading activity. With 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:

More recently, many traders have moved to shorter Opening Range periods, such as 1, 5 or 15 minutes. One may also apply additional conditions to determine “real” opening range breakouts. For example, Mark Fischer worked 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

The Opening Range is TIME based

If you trade with range, renko, volume or tick charts, we recommend using the Opening Range indicator from our premium suite. Specifically, these chart types will frequently display incorrect opening range levels when used with indicators that do not have a multi-timeframe feature. The premium version however, adds a secondary minute bar series to the chart, solely dedicated to establishing the opening range. Accordingly, the premium Opening Range indicator will plot accurate breakout levels, even if the primary bar series is not time based.

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.

The Opening Range period is defined via the indicator dialogue box. You may furthermore display the regular / custom open, as well as the range of the first minute of trading. The image above displays a 5 min. opening range in bluem whereas the first minute’s range plots in red.

Next, you may also define profit targets by using Extension Bands, such as 50%, 100% and 200%. The Extension Bands can be based on the pre-session range, or the specified opening range.

Finally, the premium version includes a separate indicator designed to calculate the opening range in seconds, as opposed to minutes.

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. You may also use the premium version may 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

Widely publicized 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 the NinjaTrader Indicators library version from the below link (membership required):


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