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2014issue C0616-19

Opening range breakout with weekday ratings, abstention and exits

An opening-range procedure can be defined with a fixed first-session window and then used as a directional bias once price leaves that window. Archive work scored later excursions, compared weekdays and months, and treated a Market order as necessary when a breakout reversed suddenly.

  • An opening-range procedure can be defined with a fixed first-session window and then used as a directional bias once price leaves that window.
  • Days that remain inside the range or repeatedly cross it were treated as frustrating, often appearing before large event days and as reasons to abstain.
  • Excursions were scored beyond the opening-range high or low so weekdays and calendar weeks could be compared, while Seasonal analysis tabulated both expansion months and reversal months.
  • When a breakout reversed suddenly as stops were hit, the procedure treated a Market order as necessary so the exit or flip could be executed without delay.
Entries in this reading3 entries
Current trackMarket order32 readingsOpening range breakout35 readingsSeasonal analysis93 readings

A fixed first-session window

An Opening range breakout procedure can be defined with a fixed first-session window and then used as a directional bias once price leaves that window.

The source procedure used a 30-minute opening range on bund futures and a 120-minute window as a forex analogue.

Inside-range days as abstention

Days that remain inside the range or repeatedly cross it were treated as frustrating, often appearing before large event days and as reasons to abstain.

Rated excursions by weekday and month

A five-year bund review of 30-minute charts identified Thursday as the strongest weekday and October and November as the strongest months under the stated rating rules.

Excursions were scored after a 10-point buffer beyond the opening-range high or low, then counted in 20-point increments to compare weekdays and calendar weeks.

Seasonal analysis of expansion and reversal

The same calendar research also tabulated months that reversed back through the opening range, so Seasonal analysis included both expansion months and reversal months.

Market order after a sudden reversal

When a breakout reversed suddenly as stops were hit, the procedure treated a Market order as necessary so the exit or flip could be executed without delay.

A later research question

A follow-up research question was how often the first 30-minute high or low became the high or low of the entire day.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
19 of 26 in the Market order track
201410-13 pp.Next on Market orderConstructing forex orders from session liquidityWeekday currency trading is nearly continuous because New York, London, and Tokyo sessions are staggered, with a weekend pause.
All readings on this track · 26 readings
  1. 1995Canceled prints versus executable fills
  2. 1999How order routing changes market and limit fills
  3. 2000Direct access, intelligent order routing, and visible book depth
  4. 2001Retail routing and market versus limit fills
  5. 2001Stop triggers and opening-only short market orders
  6. 2002Market-order routing across linked venues
  7. 2002Market-order routing, internalization, and displayed size
  8. 2004Direct access order routing after the display rules
  9. 2004Listed-stock limit envelopes versus market-order routing
  10. 2005Closing option spreads with limit or market orders
  11. 2005Contingent routing as a pre-trade futures contract
  12. 2007Constructing executable futures orders with market, limit, and fill or kill
  13. 2008Bid-ask spreads, routing paths, and order choice
  14. 2008Retail market buys hit the ask
  15. 2008Limit versus market orders for a commodity option-spread
  16. 2011A pre-trade checklist before market or limit orders
  17. 2013Retail market orders and the displayed queue they never join
  18. 2013Option stop orders, wide spreads and forced market exits
  19. 2014Opening range breakout with weekday ratings, abstention and exits
  20. 2014Constructing forex orders from session liquidity
  21. 2015Order-type and routing scripts for faster execution
  22. 2015Market, limit, and routing choices inside the order life cycle
  23. 2015Handheld futures tickets as a second execution venue
  24. 2017Screen execution starts from the live bid and ask
  25. 2017Electronic stop-loss orders and protected price bands
  26. 2020Market-order slippage on split-adjusted stock prices
By fieldEntry and exit rules327 readingsBy year2014163 readings
All 32 readings tagged Market order
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1986Open outcry hand signals as order routing1989Finishing a market order in a first index-pit session1995Canceled prints versus executable fills1999How order routing changes market and limit fills2000Direct access, intelligent order routing, and visible book depth