ORB strategy on S&P100 with TradeStation

After weeks spent in programming Excel to simulate ORB strategies, I realized that a few strings code with TradeStation (like the one attached) was a a fairly better way to do the same analysis: that's life!.





Anyway, TradeSation confirms what discussed in the previous post: S&P seems to have a long bias after a daily expansion, and a short bias after a daily compression.


























Let's try adding NR4 and WR4 filters and see what happens:

Long performances improve after a WR4 day and Short performace improves after a NR4.

It starts to be interesting, does it?