bobwest 

Thanks, @TopGunNote. If I were to use OR, this is probably how I would do it -- wait for a clear high and a clear low, early within the session so it truly reflects an "initial" assessment by traders of a significant range, and use that. Therefore you're not stuck with a relatively arbitrary time period, but can use price action to help you. The downside is that it's more work, takes some subjective judgment, and of course there may not be a clear hi/lo pivot, just a trend. But then, there isn't an opening "range" either. It has tended to work OK when I've tried it, but so has the fixed-period version. I'm not using either now, because I already put too much on my charts. Bob.

Thanks Bob,
Honestly, it's only subjective if you don't build a small piece of code to do the work for you.

ES Initial Pivots 2020-04-17_11-38-ET

TopGunNote 

Honestly, it's only subjective if you don't build a small piece of code to do the work for you.

I thought about that just after I posted, but left it anyway, partly out of laziness and partly because I used to just mark them in by hand, the few times I tried it. I never used OR all that much, so that was good enough for a proof of concept, which is basically all I did with this version of it.

But if I wanted to use OR seriously, this (using the pivots) would be the way that makes the most sense to me.

Bob.

------------

Edit: I never used the projection of the initial range, the way you've put it on your chart, which is similar to the Market Profile practice of projecting the initial balance. That looks pretty interesting. I might try that one.

Salao 

I think I'll take you up on this Grantx!

The way I used the opening range was going back over past days and printing off every RTH session in exactly the same format (example attached)so that I familiarize myself with the various daily patterns. Then I went through each chart and noted various trade opportunities. This is an important procedure because I could not move the chart around or load an indicator or see price in relation to yesterday etc.. doing it this way means you are analysing under relaxed conditions and this opens your mind in a way I cannot describe. You will start to see patterns and other nuances that you never noticed before, without trying to see them. Write down everything.

At the start of the session, dont think about the market in relation to yesterday because you will be introducing mental bias into your judgement (its going to close the gap, it wants to reach a high, it wants to make a new low, if it breaks its going to run etc...). Your first opinion should come in clean, in other words solely based on what is happening right now at market open. Just watch and observe. Once you have completed your observations you then broaden your perspective and introduce other filters such as indicators, correlated markets...whatever. This is all habit forming and you need to have the same procedure day in and day out.

Coming to the stats part of it, I had various metrics which I tried incorporating into my trading. tbh I dont rely too heavily on stats anymore but since you are asking the question, it is important that you go through the process for yourself to see if it's for you. Most importantly of all is to figure out how to do it for yourself and not listen to anyone else's opinion or statistic.

In stats there is a 4 step process.

1. Pose the question.
2. Collect the data
3. Analyse the data
4. Interpret the results

The nice thing about trade data is that unless you are going to be doing statistical comparisons, there will be no interpretation of the results. You will be getting definitive answers which are kind of like yes/no answers so we can cut out the final interpretation part.

1. So lets start with a question: What is your question Salao? For example, you might ask: on trending days, how often does the market close at the highs (in this case lets define the highs as the upper quartile of the day range)
2. To collect relevant data, you must pick a timeframe. If you are on the 5 minute, extract 5 minute RTH bar data going back over the past 12 months.
3. To analyse we will use either python or Excel. You choose.

Once you have done this, let me know. The next step is to figure out the correct procedure and formulas to not only give you the answer to your first question, but to establish a framework that will allow you to be more efficient with getting the answers you want and not wasting time in excel.

I'm a discretionary trader, and my plan calls for me to trade the open, make 2-3 trades over a 2-3 hour period and be done. Having the OR information on my chart provides a ton of context, along with previous levels.

Notice how the ES price at the bottom of the OR is equal to R1 (standard floor trader pivots) and also y-HOD? Quants LOL.

Having the RTH open, OR high and low shaded on my chart tells me visually where price is at.

The first minute after the stock market open for equities is painted coral, and the OR is blue. The dashed line is VWAP, red if falling, green is rising. The pre-market range is in grey.

I use a one hour OR.

ninja trader snip 2

Grantx 

The way I used the opening range was going back over past days and printing off every RTH session in exactly the same format (example attached)so that I familiarize myself with the various daily patterns. Then I went through each chart and noted various trade opportunities. This is an important procedure because I could not move the chart around or load an indicator or see price in relation to yesterday etc.. doing it this way means you are analysing under relaxed conditions and this opens your mind in a way I cannot describe. You will start to see patterns and other nuances that you never noticed before, without trying to see them. Write down everything. At the start of the session, dont think about the market in relation to yesterday because you will be introducing mental bias into your judgement (its going to close the gap, it wants to reach a high, it wants to make a new low, if it breaks its going to run etc...). Your first opinion should come in clean, in other words solely based on what is happening right now at market open. Just watch and observe. Once you have completed your observations you then broaden your perspective and introduce other filters such as indicators, correlated markets...whatever. This is all habit forming and you need to have the same procedure day in and day out. Coming to the stats part of it, I had various metrics which I tried incorporating into my trading. tbh I dont rely too heavily on stats anymore but since you are asking the question, it is important that you go through the process for yourself to see if it's for you. Most importantly of all is to figure out how to do it for yourself and not listen to anyone else's opinion or statistic. In stats there is a 4 step process. Pose the question. Collect the data Analyse the data Interpret the results The nice thing about trade data is that unless you are going to be doing statistical comparisons, there will be no interpretation of the results. You will be getting definitive answers which are kind of like yes/no answers so we can cut out the final interpretation part. So lets start with a question: What is your question Salao? For example, you might ask: on trending days, how often does the market close at the highs (in this case lets define the highs as the upper quartile of the day range) To collect relevant data, you must pick a timeframe. If you are on the 5 minute, extract 5 minute RTH bar data going back over the past 12 months. To analyse we will use either python or Excel. You choose. Once you have done this, let me know. The next step is to figure out the correct procedure and formulas to not only give you the answer to your first question, but to establish a framework that will allow you to be more efficient with getting the answers you want and not wasting time in excel.

OK down to the brass tacks! I normally trade gold, which in my view, trades a little differently than the equity indices. The main difference when I think about OR is that volume comes on at different times for gold. It seems to be a truly 24 hour market. In the equity indices, there is a rush of volume at the cash open. So it seems to me there is a clear distinction between the time period around the cash open, and other parts of the day. On its face, the same distinction probably doesn't exist with gold. But! I once did a study, a copy of an Al Brooks study but for gold instead of equities, to confirm that the gold market would put in a HOD/LOD by bar 18 on about 90% of days. It put in a HOD/LOD by bar 6 on about 50% of days. I did this study using the old pit open at 520 Pacific Time.

So I can imagine there could be something interesting to be gained from doing an analysis of an OR defined by the opening pivots, as described by @TopGunNote. As of now, I haven't thought of an interesting way to frame a study like that. So if you have any ideas let me know, @Grantx, or anyone. Also if you see anything wrong in the reasoning in the rest of my post, let me know.

Separately, I don't have any clue how to write Python. But I have some experience with Excel. I always wanted to learn Python, but I've had my hands full for a while now with work and trading. Hoping to learn it one day, especially if I am able to shed the day job ever. .

Yeah gold marches to the beat of its own drum. Back in the day I used to momentum trade gold at news releases and did pretty well with that strategy until I didn't. There is nothing regular or routine about it so unfortunately I have nothing to offer. Good luck champ.

web


Alright, time to put this through couple of weeks of demo.

Quote from TopGunNote,
Personally, I like to use an Initial Price Pivot to mark the boundaries of the Opening (Range) but that's just my preference.

.....The Price Pivot concept is simple, in that you're looking for a bar to close above a prior bar's high to find the Initial Pivot Low,
and you're looking for a bar to close below a prior bar's low to find the Initial Pivot High.
(The dots you see plotted along the lines indicate the bar that met those criteria.)
.......

CL (06-20) Initial Pivots for London and NYMEX 2020-04-17_8-02-ET


Hi TopGunNote,
Thanks very much for this info ! Where would I find an NT8 indie which plots the initial pivots for London and Nymex?
regards

I use opening range to manage my exits but do not use that for entries. If opening range is within 1st 1 hour, I put limit orders at Resistance even if i read the strong bullish nature of the demand given that it may not rally much.

sienna 

Hi TopGunNote, Thanks very much for this info ! Where would I find an NT8 indie which plots the initial pivots for London and Nymex? regards

London session starts at 08:00 GMT (03:00 Eastern, 02:00 Central, 01:00 Pacific)
Given you're in Melbourne the London session starts at 17:00 in your time zone, (assuming your computer is set to your local timezone).

Nymex Metals start at 08:20 Eastern, and ends at 13:30 Eastern
Nymex Energy starts at 09:00 Eastern, and ends at 14:30 Eastern,

You could add two copies of the attached indicator to your "time based chart", say a 5 minute chart,
and simply set the start and end times to coincide with the appropriate times for your timezone.

For example the London session would start at 17:00 Melbourne and would end at 01:30 Melbourne time.

Alternatively you could cut the London session drawing of the Initial Pivots off when the Nymex session opens (just to reduce the clutter on your charts)

MicroGC Initial Pivots for London Open 2020-08-11_7-05-ET



Good luck with it,
Let me know if you have troubles with it.

Trade well,
John B.