Open Range Breakout is a simple strategy which monitors first 5min / 15min / 15min / 30min / 60min range from the start of the market. From the opening high range and low range is calculated for the specified timeframe. Most of the AFL code found on the internet is either buggy or not suitable for building back-testable trading systems. To solve this issue we are releasing a prototype for ORB – Open Range Breakout Levels. On top of this indicator now traders can built backtestable trading systems.
Recommended Timeframe to Run this strategy : 1min or 5min charts (Higher timeframe may or may not yield desired results)
By default code uses 60min range breakout from the market open. However Parameters can be changed from the Parameter window. Currently Open Range breakout options are available for 5min / 15min / 15min / 30min / 60min ranges. However if someone needs a customized ORB range then code customization needs to be done accordingly.
Code will start plotting the Open Range values only if the Open Range timeframe is completed else nothing will be plotted. For example for an Open Range value of 60min. Plot will start only from 10:15:00 onwards for NSE Futures instruments and will start from 11:00:00 onwards for MCX futures instruments automatically.
Code works well with Illiquid scripts. Quick AFL is turned off to compute for all the bars.
Code Snippet : ORB – Open Range Breakout Levels – Amibroker AFL Code