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Open Range Breakout

Hi guys i want to start dipping my toes in the water and try and code up a strategy that i use which is the ORB.

I wonder if any of you guys have this strategy already coded up or something similar that i could have a look at and modify and test?

Basically i would like to enter a long trade if the price action goes above the 15 open range or a short if the prices goes below the 15 minute range - this is all intraday.

I had a good search in the forums but cant identify a good starting point for me to cut my teeth.

2 responses

o well.

Hello Mark,
The following thread probably has much of the code that would come close to doing what you want to do: https://www.quantopian.com/posts/intraday-mean-reversion-buy-on-gap-model