Opening Range Breakout Trading System is one of the widely used method by many Traders. The rules of the strategy is quite simple and straightforward. Bank Nifty creates a range in the first 10 to 30 minutes of trading in a day. This is calling Opening Range. The highs and lows of this time frame is taken as support and resistance. So we wait for first 15 mins range to form, that is from 9:15 am to 9:30 AM
1. Buy when Bank Nifty moves above the Opening Range high.
2. Short when Bank Nifty moves below the Opening Range low.
Stop Loss is 0.5% from entry and if stop loss is not hit, we exit by EOD at 3:20 PM. No Targets used.
Why are we recommending to trade this strategy only on Monday, not on any other day? When we tried to test this method for last 11 years, from 2010 to 2021, we could see that maximum profits are coming from Mondays rather than any other days. Even though over all profits made was 53k Bank Nifty points, if we dig deep and look at the average profits per trade, only Monday the average profit per trade is as high as 33 points. So if we deduct slippages and transaction cost from this, other days we lose most of the profits for trans cost. So its wise to trade this strategy only on Monday.
Here’s the yearly returns with capital of 2 lacs from 2011 to 2021. This is after all transaction cost such as brokerage, GST, STT, Exchange transaction charges and sebi fee. Remember we simply don’t pay only Rs.20 as brokerage, there are five different transaction cost involved with every trade, so we included all such cost to arrive at the net result. Here’s the backtest excel sheet results of this strategy, download
But instead of applying this strategy in futures, if apply it on options returns would be higher, we have simply buy ATM call option when we get buy signal as per strategy and we buy ATM Put option when we get Short signal as per strategy. 2 lots ATM option almost equals one lot of futures. If we keep 75,000 Rs. as capital and trade in Options Buying, here’s how returns would look like
We have decided to launch a free trading bot to fully automate this strategy, where users just have to login to SquareOff bots http://squareoffbots.com/ and update their lot size, the bot would automatically buy respective options for you. And when SL hits, it will automatically exit from the trade, no manual intervention required. We will launch the bot for both options and futures segment very soon. Users who wanted to get access to this free bot, just have to open an account under Squareoff referral using this link https://squareoffbots.com/aliceblue