ORB strategy on S&P100

Just a couple of words on how ORB tester works:

Let's say we want to simply enter long s&p100 (or short) any day on open and to exit on close;

well this is the report ORB tester produces:













It's just a theoretical strategy and obviously the long and short performance are specular.

Now let's say we want to go long any day price breaks up the daily open + stretch (please have a look to Crabel's book!) and go short if price breaks down the daily open -stretch.









Both long and short side of the strategy are positive but, even the 2 equity lines looks good, the performances are very volatile.

Let's add a NR filter, that's to say we trade only after a day with the range smaller than the previous day.












Long trade performances are worse, short trade performances improve. That's amasing!

Let's try to remove the NR filter and add a WR one, that's to say we trade only after a day with the range bigger than the previous day.

Well, long trade side now improves, short trade side doesn't.

Here you find a recap of what we have tested.








It seems that long ORB strategies like expansion and short ones like compression: does it make sense?
If you consider that stretch calculation depends on the previuos daily ranges as well, maybe could make sense, even it is not exaclty what Crabel says.

Anyway, we will try to make some additional tests.

Comments are welcome!