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Positional ORB (Opening Range Breakout)

The Positional ORB of AlgoTest feature enables users to define a trading range across multiple days.
This range can be marked based on either the underlying asset’s chart or options charts.
Once the range is set, trades can be executed based on a breakout from that range, either above the high or below the low.

Important Notes While Trading Positional ORB Strategy​

  • Strategy Restart:
    You must restart your strategy daily after broker login but before the market opens.
    Restarting after the market opens will result in an incorrect range being marked.

  • Strategy Activation:
    Ensure the strategy is activated before the market opens and on the correct Days to Expiry (DTE) as set in your strategy.
    Activating it after the market opens or on a different DTE will cause the range to be calculated incorrectly.

How to Create a Positional ORB Strategy​

Let’s walk through the process of creating a Positional strategy using the Positional ORB feature.

1. Define the Start of the Range​

First, configure when the system should start tracking the range.

  • Set the Entry DTE (Days to Expiry):
    This field selects the day on which range tracking begins.

    • For weekly expiry, you can select a DTE from 0 to 4.
    • For monthly expiry, you can select a DTE from 0 to 24.

    • Note: Use the weekly setting for ranges under 4 days, and the monthly setting for ranges longer than 4 days.

  • Set the Entry Time:
    Defines the specific time on the selected “Entry DTE” when tracking begins.

    Example: If you set 10:30 AM, the system starts tracking the high and low of the range from that time.

    Range Breakout BTST

2. Define the End of the Range and Add a Trade Leg​

After setting the start point, add a trade leg and define when range tracking should stop.

  • Set the End DTE and End Time:
    These fields determine when the system stops tracking the range.

    Example:
    Setting an End DTE = 0 and End Time = 9:35 AM means the system will calculate the range from the Entry DTE (1, 10:35 AM) to the End DTE (0, 9:35 AM).

  • Configure the Trade Trigger:

    • Entry On: Select whether the trade triggers on a High breakout or Low breakdown.
    • Range Reference: Choose whether the range is based on the Underlying price or an Option price.

    Range Breakout BTST

3. Example: Creating a Simple Positional ORB Strategy​

In the example illustrated below:

  • The system tracks the range from DTE 1 at 10:35 AM to DTE 0 at 9:35 AM.

  • When the market breaks above the high of this calculated range,
    → the system will sell an ATM Call option.

    Range Breakout BTST