ORB - Opening Range Breakout

Execution Details

1. We, Myalgomate Technologies LLP, are a technology provider platform and do not act/intend to act as a wealth manager/ advisor in any capacity.
2. This tool is an automated version of the strategy available in the public domain. We neither endorse this strategy nor provide backtest data or any standard configuration. All the parameters are configurable and user needs to decide their own parameter to use the software.
3. The intention behind automating this strategy is to help those traders who are already trading on a similar strategy and want to automate it.

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Demonstration Video :

Instruments to trade:

• Equity, Equity Futures, Index Futures, Index Options (Finnifty excluded)

Intraday or Positional:

• Intraday

Different modes of trading:

Execution Details:

• You can set the candle start time and candle close time to define the range For example, if you set the candle start time to 09:15:00 and the close candle time to 09:30:00, then it will be the first 15 min opening range breakout. If you set the candle start time to 09:45:00 and the candle close time to 10:15:00, then it will take the highest high and lowest low between that time to calculate the range.
• Buy Trigger Price = Range High + Range Buffer
• Sell Trigger Price = Range Low – Range Buffer
• For breakout, you can set it on either an LTP basis or a candle closing basis.
• Using Trade Direction, you can trade buy-side breakout only, sell-side breakout only or both.
• You can set the max no of trades per script and the total no of trades across all the symbols.
• You can also filter candles based on the range of the candle. For instance, if a maximum range of 20 points to 100 points is established, any candle with a distance between its high and low points that falls below 20 or above 100 will be excluded for the day.

Strike Configuration:

For strike configuration, there are two modes available:

1. Entry by ATM Points
2. Entry by Closest Premium

Entry by ATM Points:

1. Assuming the underlying price of 35125, the “strike out” for both CE and PE is 0. Therefore, the CE strike selected is 35100 and the PE strike selected is 35100.
2. Assuming the underlying price of 35125, the “strike out” for both CE and PE is 100. Therefore, the CE strike selected is 35200 and the PE strike selected is 35000.
3. Assuming the underlying price of 35125, the “strike out” for both CE and PE is -100. Therefore, the CE strike selected is 35000 and the PE strike selected is 35200.

Entry by Closest Premium (CP):

• With a closest premium price of 100, a type of “~”, and a premium match percentage of 20%, the option contract closest to 100 within the range of 80 to 120 will be selected.
• When the closest premium price is 100, the type is “>=”, and the premium match percentage is 20%, the option contract closest to 100 within the range of 100 to 120 will be chosen.
• If the closest premium price is 100, the type is “<=”, and the premium match percentage is 20%, the option contract closest to 100 within the range of 80 to 100 will be picked.
• For selecting contracts based on premium, there is an additional parameter called “Premium is not matched then”. If you set it to “Avoid”, the strategy will show an error status if no options contracts fall within the range at entry time. If you set it to “Wait for match”, the strategy will keep checking every second until any contracts come within range and then take entry, delaying the entry in the meantime. If you don’t want to match the premium and want immediate entry, you can increase the premium match percentage and select “Wait for match”.
• The premium match feature is not available on Stockmock. If you want to match with Stockmock, set the premium match percentage to 100 or higher and select “Wait for match”.

Quantity Configuration:

• For Equity, you can set quantity based on The of Shares/ Capital per Trade/ Risk per Trade
• For Futures & Options, it will be based on the no of lots.

Exit Criteria: (Exit conditions currently on website)

You can enable/disable multiple types of exit criteria from below.

• Time-Based Exit
• User exits positions from software
• Range High/Low:
  • For buy-side breakout, it will set the SL to the range low.
  • For sell-side breakout, it will set the SL to the range low.
• SL & Target based on %/Pts:
  • You can enable SL/target based on the % or points of the entry price.
• RR-Based Target
  • For Sell side trade: If you have set the RR-based target = 2, entry price = 100, and SL price = 102, then the target will be 96. Opp. for the buy side.

Stop Loss trailing:

Trailing Logic:

• We do not modify the SL price in the broker when trailing happens. It will store the trail SL price in the software and continuously monitor if the trailing SL is hit. Whenever trailing SL is hit, it will modify the SL order to market to exit.
• Trailing will always happen in the direction of the trade.

Example :

Entry Type = Buy

For trailing, if LTP = 100, Initial SL % = 10% Trailing X% = 5%, and Trailing Y% = 5%, then it will trail like following:

• Initial SL = 100 – (100*10%) = 90
• Trail X Points = 100 * 5% = 5
• Trail Y Points = 90 * 5% = 4.5
• When LTP reaches 105, it will trail the SL to 94.5.
• When LTP reaches 110, it will trail the SL to 99.
• When LTP reaches 115, it will trail the SL to 103.5. And so on…

Entry Type = Sell

For trailing, if LTP= 100, Initial SL % = 10% Trailing X% = 5%, and Trailing Y% = 5%, then it will trail like following:

• Initial SL = 100 + (100*10%) = 110
• Trail X Points = 100 * 5% = 5
• Trail Y Points = 110 * 5% = 5.5
• When LTP reaches 95, it will trail the SL to 104.5.
• When LTP reaches 90, it will trail the SL to 99.
• When LTP reaches 85, it will trail the SL to 93.5. And so on…

Protect Profit:

There are the following modes available to protect profits and it’s available at the strategy level and portfolio level both:

• Lock Minimum Profit
• Trail Profits
• Lock & Trail Profits

Lock Minimum Profit:

• Assuming the “If Profit Reaches” parameter is set to 10000 and the “Lock Min Profit At” parameter is set to 5000.
• When the profit reaches 10000, the system will lock the minimum profit at 5000.
• All positions will be exited when the MTM decreases to 5000.
• This action is performed only once.

Trail Profits:

• Assuming the “Increase in Profit” parameter is set to 5000 and the “Trail Min Profit by” parameter is set to 3000.
• The system will trail the minimum profit by 3000 for every 5000 increase in profit.
• When the profit reaches 5000, the minimum profit will be locked at 3000.
• When the profit reaches 10000, the minimum profit will be locked at 6000.
• The locking of the minimum profit continues for subsequent increases in profit.

Lock & Trail Profits:

• This mode first locks in the profit at the “Lock Min Profit” value, then begins trailing profits.
• For example, if “Profit Reaches” is set to 10000, and “Lock Min Profit At” is set to 5000, with an increase in profit of 5000 and a “Trail Min Profit by” value of 3000:
• When your profit reaches 10000, the minimum profit will be locked at 5000.
• When your profit reaches 15000, the minimum profit will be locked at 8000.
• When your profit reaches 20000, the minimum profit will be locked at 11000, and so on.

Configurable Parameters

• There is no limitation on how many symbols (Equity, Equity Futures, Index Futures, Index Options (Finnifty excluded)) can be added for scanning. • Paper trading functionality with live PNL and order book generation.

Global Configurable Parameters:

1. Max. no. of Trades
2. Timeframe
3. Expiry Date
4. Global Max Profit
5. Global Max Loss
6. Protect Profit
   1. Lock Minimum Profit
   2. Trail Profits
   3. Lock & Trail Profits
7. Execution Mode ( Paper Trade / Live Trade )

Configurable Parameters at the Strategy Level: (These parameters can be configured separately for each symbol.)

1. Alias Name
2. Segment: Equity / Index / Options
3. Underlying (Equity, Equity Futures, Index Futures, Index Options (Finnifty excluded))
4. Trade On : (Equity, Equity Futures, Index Futures, Index Options (Finnifty excluded)
5. Allowed Range : (% / Pts)
6. Contract Selection
   1. Entry by ATM Points
   2. Entry by Closest Premium
7. Candle Start Time
8. Candle Close Time
9. Exit Time
10. Strategy Max. Profit
11. Strategy Max. Loss
12. Max Trade per Script
13. Range Buffer ( % / Pts )
14. Trade Direction ( Both / BUY / SELL)
15. Time Frame
16. Product Type
17. Quantity calculation
    1. Mode: By Qty / Lots
    2. Mode: By Capital
    3. Mode: By Risk per trade
18. Protect Profit
    1. Lock Minimum Profit
    2. Trail Profits
    3. Lock & Trail Profits
19. Exit Criteria based on Underlying
    1. SL ( Per / Pts )
    2. Range High / Low
    3. Target ( Per / Pts )
    4. RR based target
20. Exit Criteria based on Trade Symbol
    1. SL ( Per / Pts )
    2. Target ( Per / Pts )
    3. RR based target

Order Execution

Order Configuration:

• Entry Ordet Type- Limit Order
• Stoploss Order Type – SL (Applicable for Individual Leg SL only)
• Limit Order Configuration :
  • Limit Buffer %
  • Seconds to modify
• Product Type : MIS / NRML

Entry Order:

• For entry order, it will be placing a Limit order. Price will be calculated as below example:
• Entry Type = SELL LTP @ the time of placing order = 100 Limit buffer % = 2% Seconds to modify order = 5 It will place a sell limit order with 2% below the price which will be 98. If your order is not executed within 5 seconds it will modify to market.

SL Order:

Individual Leg SL:

• For the SL order, it will be placing a Stoploss Limit order. Price will be calculated as below example:
• Entry Type = Buy, Exit Type= Sell SL Price = 100 Limit buffer % = 2% Seconds to modify order = 5 It will place an SL buy order with trigger price = 100 and limit price = 102. So in this case your SL order may get filled anywhere between 100-102 with the best available price. If your order is not executed within 5 seconds it will modify to market.

Combined Leg SL:

• It will be placing a Limit order to exit positions when combined SL is hit.

You can tweak “Limit buffer %” and “Seconds to modify order” parameters as per your requirement to get the best results.

If the broker’s API fails due to any reason while modifying the SL order to market after X seconds, then your position will be open without any SL. In this type of scenario, you will need to manage and exit manually.

Salient Features

Screens:

1. Signal Window
2. Order Book
3. Position Book
4. Parameter Window
   • The Signal window shows the live signals generated and all different values like Entry Price, Target Price, SL Price, Quantity, etc. depending upon the strategy.
   • Order Book shows all the orders placed by the software.
   • Position Book shows the live MTM and open positions generated due to software.
   • Parameter Window displays all the parameters set by the user.

Some Other Functionalities:

• User can save the configuration in case he / she wants to trade the same configuration every day

Pre Requisites

1. Integration with the broker requires a Broker Account API with historical data. If there are any charges associated with using the API from the broker, the customer will be responsible for covering the cost independently.
2. Infrastructure :
   1. Cloud Machine(Like Amazon AWS/Microsoft Azure/Google Cloud) can be used in Windows / MAC System
   2. If you opt for a Cloud machine, there is no other internet speed requirement or min computer requirement.