Assessing the profitability of intraday opening range breakout strategies

Ulf Holmberg (), Carl Lönnbark and Christian Lundström ()
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Christian Lundström: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

No 845, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: Is it possible to beat the market by mechanical trading rules based on historical and publicly known information? Such rules have long been used by investors and in this paper, we test the success rate of trades and profitability of the Open Range Breakout (ORB) strategy. An investor that trades on the ORB strategy seeks to identify large intraday price movements and trades only when the price moves beyond some predetermined threshold. We present an ORB strategy based on normally distributed returns to identify such days and find that our ORB trading strategy result in significantly higher returns than zero as well as an increased success rate in relation to a fair game. The characteristics of such an approach over conventional statistical tests is that it involves the joint distribution of Low, High, Open and Close over a given time horizon.

Keywords: Bootstrap; Crude oil futures; Contraction-Expansion principle; Efficient market hypothesis; Martingales; Technical Analysis (search for similar items in EconPapers)
JEL-codes: C49 G11 G14 G17 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2012-08-23
New Economics Papers: this item is included in nep-ene and nep-mst
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Citations: View citations in EconPapers (3)

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Journal Article: Assessing the profitability of intraday opening range breakout strategies (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:umnees:0845

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