Over the last quarter-century, the opening range breakout has been one of the most powerful and successful trading tools employed by active traders. 24-hour electronic markets have all but eliminated the opening range breakout trading, a new outlook on an old indicator may give this favorite new life.
Last month we discussed the complexity required in testing and optimizing Arima-Garch trading models (see “Arima-Garch Out of the Lab, Into Trading,” Modern Trader, January 2018). We backtested our Arima-Garch hybrid model discussed last month to the S&P 500. Here is how it did.