Opening Range Breakout Strategy

Opening range breakout (ORB) Concept – a classic strategy that takes a trade above or below the opening range of the market.

The open range is simply the high and low of a given period after the market has opened, usually the first 30 mins or 1 hour. The theory goes, when the price breaks this range there is a strong chance that the price will continue in the same direction. So traders will use these breakout points to place entries.

Also included is the Opening Price Breakout (OPB) strategy, this variation enters a trade when current price crosses above/below the opening price of the pre-defined session.

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Set Open Range

Determine the range by selecting the From and To Times in the parameters.

Strategy Selector

Select either breakout strategy or opening price breakout from options.

Set Stops & Targets

Setup the stops, targets, trailing with the strategy or use an existing ATM strategy

Whats included?

2 versions included. Pro & standard. 1 is a simple version for use with ATM’s and a more advanced highly configurable and backtestable professional version.

ORB Standard Edition

The (ORB) opening range breakout standard strategy for NinjaTrader 8 is a simplified ‘Click & Go’ version of the Orb-Pro for ease of use. This strategy harnesses NinjaTrader ATM strategies and requires only a couple of parameters to setup.

ORB-Pro Edition

The ORB Pro is a highly customisable version of the opening range breakout system which allows more flexibitly than standard ATM strategies using additonal functions such as daily targets, session times, multiple stops and target types and many more. The pro version is full backtestable and allow you to optimise and test your systems quickly and accurately using the Strategy Analyzer or simply on the chart.

Introductory Purchase Price £999 £1299

Strategy Features

Not only do you get the classic opening range breakout strategy with "AlgoNinja ORB" there is also a second Opening Price Breakout strategy.

Opening Range Breakout Strategy #1

Determine the range to calculate highs and lows of that range to trade.

The indicator will automatically calculate the highs, lows and the open price of the pre-defined range, setup in the strategy parameters (the from and to time). Once the time range has elapsed then the range is set and the strategy will create buy & sell stop orders on the highs/lows waiting in anticipation of the breakout.

Opening Price Breakout Strategy #2

Determine open price of the session to trade.

The indicator can be used to simply show the open price based on a specific time, usually based on the first price of the U.S open. Based on this price the strategy will go long/short when price cross above/below.

An-Orb Configuration

ORB Standard Edition

Quick and easy version of the strategy configuration using the NinjaTrader ATM strategies.
Strategy Parameters
  • Time Range – calculate high/low range.
  • ATM Selector – Select pre-built ATM.
  • Strategy Selector – Choose Breakout or Open Price Strategy.
  • Moving Average Type –  Used for Open Price strategy.
  • Exit Rules – Trailing, Profit Targets, Stoploss and breakeven are all controlled by the ATM Strategy.

ORB Pro Edition

The pro is packed with features for exits and entries, individually controlled stops, targets and trailing for each position, all fully backtestable.
Strategy Parameters
  • Time Range – calculate high/low range.
  • Strategy Selector – Choose Breakout or Open Price Strategy.
  • Entry Type – Market or StopOrders
  • Moving Average Type –  Used for Open Price strategy.
Exit Parameters
  • 4 Stoploss Types – standard ticks, last bars lookback high/low, ATR based stops, mid open range stop.
  • Breakeven – Trigger based in ticks and moves stop to breakeven.
  • 4 Profit Targets – standard ticks, ATR based targets, Ratio targets based on stoploss placement and fibonacci extensions based on opening range.
  • 3 Trailing Types – Standard ticks, Bar Trailing and ATR based trailing.
Money Management
  • Daily Target – set daily max profit targets in $$ amount.
  • Daily Limit – set the max loss for the day in $$ amount.
Session Parameters
  • Sunday Trading – Enable/Disable sunday trading.
  • Session Times – Optional time range to enable auto-trading.
  • Session Exit – Stop trading at a given time and exit any positions.

An-Orb Strategy Examples

Here are some strategies commonly used on a variaty of markets, scalping or follow the trend.

NQ 1h Opening Range

Being the most popular futures market, here is an example trade using the NQ.

Being the most volatile futures market, this strategy waits for an hours range before entering the long and short orders.

A daily profit target is used of $1000 and will trade until reached.

As you can see the first trade was stopped out on initial fake breakout, however the second trade reached first target easily to compensate for the prior loss, the breakout continues and our daily target is reached and exits the trade.

No further trades will take place for the day due to our daily target is reached.

 

All futures markets are available to be traded there are no restrctions, trade, GC, CL, ES, NQ etc.. and all micros contracts.

ES 15m Opening Range

An example of an ES trade as ES being the second most popular market. This time we can customise the opening range to take the highs and lows of the first 15mins of the US session.

Here a clear breakout took place and explodes out of the opening range.

This strategy has a simple $500 daily target, once reached the strategy will exit the trade and will not place any more trades for the day, which fits with our trading plan or you can manually manage the trade once entered.

We chose 15mins but the beauty of this strategy is you can pick any opening range you like, you could use the first 1m of the open to place breakout range on that first minute candle, then place stops and targets that correspond to your plan and targets.

Notes

* Product purchase is for life, an optional software maintenance is available for purchase to ensure future upgrades and updates for new features and enhancements. This can be purchased any time after the first year.

Purchase Credit – After purchasing the ORB, you can upgrade and purchase the full AlgoNinja suite of algos, please request a credit voucher of this purchase to credit against upgrading to the full Gold Purchase plan.

ORB Change Log

27-11-2021 – v7.0 – Update

  • Simplified options to the An-Orb-Pro. Reduced number of parameters for ease of use and more logical layout.
  • Added “Re-arming” option. Take a single breakout per day or set strategy to re-arm when no position and when the price nears the central midpoint of the opening range.
  • Added 2 new types of Trailing to make use of the ATR trailing.
  • Added Breakeven trigger based on the current ATR value to be more adaptive across all markets.
  • Session Times now disable the opening range breakout orders when the Session time elapses.