Open Range High-Low Breakout Strategy - AlgoJi

The open range high-low breakout strategy is one of the best performing intraday strategy of all time. It is a pure price based strategy. It is provided in a very convenient  ATS by Symphony, but also available in other platforms.

Logic of High-Low Breakout Strategy

  • Decide a time window for signal generation- say 5 minutes
  • Note the High and Low of market after 5 minutes of market open (i.e. 9:15-9:20)
  • At 9:20, filters scripts where Open=High. These are the candidates for upside breakout. Filters scrips for which Open=low which will be the candidates for downside breakout.
  • Buy the upside breakout scrips, Sell the downside breakout scrips with additional filters
  • Use a trailing stop loss to limit losses and maximize profits
  • Run the strategy on 50-100 scrips for a diversified approach

Strategy Parameters

  1. Start Time: here you have input the candle start time. It is better to keep it few seconds after market open to remove bad ticks. Example: 9:15:05
  2. Slab is used to decide the no. of quantity for individual symbols based on their Range value. Lets say the Slab is set to 1000 & the Range value for a particular scrip is 2, the strategy will then divide 1000/2=500 (i.e. Slab/Range) & send the 500 qty. for Entry in that particular symbol.
  3. End Time parameter sets the time at which the strategy will square-off all open positions, cancel
    all open orders & the strategy will come to a halt.
  4. WickRemovalCandle. It specifies the candle size for whose wicks or spikes you want to ignore.
    Usually this parameter is set to 1 or 2 so as to ignore the huge spikes which occur at market open time. If set to 1 then it will ignore the spike or wick for the first one minute of the candle.
  5. Entry Candle sets the candle size to be taken by strategy for breakout. Lets say its set to 10, the strategy will then internally monitor the high low of the 10min candle from the start time & will enter at break of that candle.
  6. entryCutOffMin parameter sets the cut off time for entry after the formation of candle.
  7. Initial SL coeff is coefficient for placing stop loss in terms of Range (difference between high
    & low of candle). Lets say this parameter is set to 1 then it will take the actual Range value(i.e. 1 x
    R) for stop loss calculation.
  8. minVolToEntry parameter is used to set the minimum required volume during the formation of
    candle. Lets say the candle size is 10 min with start time of 9:15 am & the minVolToEntry is set to
    5000 for a particular scrip. So min volume during 9:15 am to 9:25 am should be more than or equal
    to 5000 otherwise the strategy will ignore that particular scrip for breakout.
  9. InitialWickRemove. This parameter can be set as TRUE or FALSE so as to enable or disable
    the first parameter of WickRemovalCandle.
  10. Profit Target: The Strategy also calculates 6 different target levels (T1-T6), for Profit Levels. The Profit order will be placed at T6 while remaining target levels are used for trailing of stoploss.

Running the Strategy

a) The Trader will prepare a basket of symbols in the csv input file with all the required parameters. This file will be stored at a predefined location on the server.
b) Trader will load the file with all the parameters from strategy.
c) Once up & running the strategy will look for opportunities from the basket of symbols & will execute them accordingly.
d) At any given point of time the trader can square-off his positions by selecting the symbol & clicking on the square-off or square-off All buttons.