Fiat - Compressione di volatilità ed entrata ORB

Il titolo Fiat dopo aver disegnato 2 pattern di compressione NR7 consecutivi oggi è esploso in un trend day positivo.

Siamo certi che qualunque tecnica ORB applicata nei giorni scorsi su Fiat oggi sarebbe entrata long e, probabilmente, sarebbe ancora dentro.

Per maggiori informazioni sull'indicatore NR che vedete nel grafico andate sui posts precedenti.

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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?

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!