Here is a simple Full Gap Open Range Strategy for intraday traders to trade the big gap ups and gap downs using open range breakout. And more important strategy is back-testable.
Full Gap: Today’s open is outside the range of yesterday high or low .i.e. today’s open should be higher of yesterday’s high or lower of yesterday’s low.
Open Range: Calculate the range (High and Low) after-market open till certain time e.g . If we want calculate the range till 9.30a.m ( to determine high-low range for the first 15min after market open).
ORB Range : First 15min Range High and Range Low is Computed
Buy : If Gap Up or Gap Down and the Range High Breaks (First 15min) breaks on intraday basis
Short : If Gap Up or Gap Down and the Range Low Breaks (First 15min) breaks on intraday basis.
Sell : Exit Longs if the target Range High * (1+target/100) is met on intraday basis or exit at 3:15p.m if target is not met. Stop Loss : Yesterday Low
Cover : Exit shorts if the target Range low * (1-target/100) is met on intraday or exit at 3:15p.m if target is not met. Stop Loss : Yesterday High
GapORB – Amibroker AFL Code
1)Which Instrument you had backtested :BankNifty
2)What is the time frame used? :5Min
3)Commissions – Rs 100 per leg.
4)How many years the data got backtested? – 3Yrs