From the August 01, 2012 issue of Futures Magazine • Subscribe!

Opening range breakout: Past, present and future

The Crabel offset formula did better, although the results are not that great overall. The equity curve had been relatively flat after 2008 but then went into a major drawdown in 2011. While all three methods are somewhat adaptive, Crabel’s approach normalizes the long/short relationship by calculating the noise level for a breakout. “Crabel E-mini test” (below) shows the results for the Crabel stretch method on the E-mini using various percentage levels for the breakout.

At 100%, the Crabel stretch formula also peaks in 2008, up about $57,000, and it then drops a lot like the other ORB methods, although staying positive. At 50%, however, the results are much better in that the system retains more gains in the period following the peak. The 25% input produces the best results; the equity curve peaks in 2008 and then again in 2009. We then have a flat equity curve until mid-2011, when a rather large drawdown sets in.

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