The trades I have been taking lately are dependent on defining an opening range. I’ve noticed a few things that I want to trade from:
1. There is usually a good move off the open during the first half hour. I want to trade INSIDE of this move. I won’t get the whole thing, nor do I want to at this point. I’ll be happy with 1 or 2 ES points out of it.
2. Watching a 133 tick chart (the fastest available in ToS), I’ve observed something I’m calling the Opening Balance. Basically, there’s a swing one way, a swing the other way, and then a retrace to the middle of the two. Once we get the retrace, we’ve balanced the first moves off the open, and we’re waiting to see which way the scale tips. This can take anywhere from 10 seconds to 5 minutes or more.
3. I want a few early longs and early shorts to jump in and commit on the bell. That sets up some loser fuel right there! When the next push comes, one way or the other, there’s a new loser that needs to bail out, which is what pushes price. Burning losers are the jet fuel of the markets. (I should know)
My strategy is to go in the direction that the market moves right after the opening balance is made, possibly with confirmation from the internals like the NYSE A-D line and the NYSE Tick. In the past, I’ve been using a 1min time window to define the opening range, and I’ve watched how that compares to this idea of opening balance. The problem with this is that the opening balance I’m looking for could happen in the first 1min, 5min, or any other amount of time. I got whipsawed the other day when the opening balance wasn’t complete for about 5 minutes and I used a 1min OR.
I had the idea to combine my swing points indicator with the shaded opening range indicator. This way, the opening balance can be calculated according to the two price swings instead of an arbitrarily chosen time window. The result is an adaptive opening range indicator that plots the Opening Balance as I’ve defined above:
I am beat and dying for time right now, so instead of writing a tutorial, I will post my early beta version of the indicator as an example of how to do it for the home-gamers, and the final indicator is on my Google site for donors. Note that for either, if you put the start time as the market open, you can’t use market hours only data. The Pro version has the ability to hide or show the swing points as well as changing the lookback and lookahead for defining swing points as an input. (I like 5 back and 3 forward.)
So existing donors, go grab it on the Google site under Released Thinkscript Studies. Look for “AdaptiveOR_ProSTUDY”. Feel free to donate again if you feel this is valuable to you, but it’s not required.
If you are new and want to become a donor, send me a donation through my Paypal:
For everybody else: Thinkscript time! This code will create an adaptive opening range using the definition of highest high three bars forward and three bars back for swing highs, and vice versa for swing lows.
#Start with inputting the start time you want:
Input StartTime = 0930;
#Next define recursive functions to hold your high and low values while waiting for the OR balance to complete:
plot ORStart = if IsNaN(secondsFromTime(StartTime)) then 1 else if secondsFromTime (StartTime) >= 0 then 1 else 0;
plot ORbar1 = if barNumber() == 1 and ORStart then 1 else if ORSTART and !ORSTART then 1 else 0;
rec highs = if ORbar1 then high else if high > highs then high else highs;
rec lows = if ORBar1 then low else if low < lows then low else lows;
Def swinghigh = if high >= high and high >= high and high >= high[-1] and high > high[-2] then 1 else 0;
Def swinglow = if low <= low and low <= low and low <= low[-1] and low < low[-2] then 1 else 0;
plot sh = if swinghigh then high else double.nan;
plot sl = if swinglow then low else double.nan;
Rec countswinghigh = if barNumber() == 1 then 0 else if !ORStart then 0 else if ORStart AND swinghigh then countswinghigh + 1 else countswinghigh;
Rec countswinglow = if barNumber() == 1 then 0 else if !ORStart then 0 else if ORStart AND swinglow then countswinglow + 1 else countswinglow;
rec ORHigh = if !ORStart then double.nan else if countswinglow * countswinghigh <> 0 AND countswinglow * countswinghigh == 0 then highs else ORHigh;
rec ORLow = if !ORStart then double.nan else if countswinglow * countswinghigh <> 0 AND countswinglow * countswinghigh == 0 then lows else ORLow;
Plot ORH = if ORStart then ORHigh else double.nan;
Plot ORL = if ORSTART then ORLow else double.nan;