DislikedIt seems like you want to fit the market into your very strictly quantitative and logical mindset, without ever considering if that is even possible.Ignored
Whether quantitative automated trading systems work or not, I believe there are enough public examples to prove it does (see Renaissance Technologies, Two Sigma, DE Shaw, AQR, Man AHL etc.) In the retail world, there are probably also many positive examples showing that it can work, even if it is more difficult to find verifiable evidence.
QuoteDislikedThe markets are not driven by rationality, and maybe discretionary approaches are the more successful ones?
As I said, I agree with you there. But I'm not even trying to think in such categories. The market is the market. MY goal is to find an approach that works for ME to achieve the objectives I need to reach. I've tried discretionary trading countless times using countless strategies, and I haven't even managed to achieve the results the current ORB System achieved, not even over a month. And that's without the daily headaches of figuring out when, how, and what to analyze or execute, and the associated time investment. If the time investment would actually justify better results, I'd agree with you, but that hasn't been the case so far.
As I said, I'm completely open to trying a discretionary/manual strategy, but for me that's more like gambling. Intuition is great if you have it in this area and always do the right thing. However, if I have a strategy that doesn't even give me clear timeframes for when I have to do something, which market I'm trading, and what my risk/money management looks like (which no one here has been able to provide so far) , it leads to pure chaos to me e.g (Doing random things at random times, wrong position sizing, micro managing trades with no clear plan, letting losers run, adding to losers, revenge trading and even worse wasting my fucking whole day with things that doesn't lead me 1 step closer to a repeatable minimum income).
QuoteDislikedAnd, depending on type of ORB strategy, you may already have impulse-correction-continuation built into what you are currently using.
I don't think so. The basic premise behind this strategy (as I see it), is that there's a certain minimum level of volatility at the start of a market opening, and the ORB (Opening Range Breakout), as the name suggests, is designed to exploit that. The strategy I'm using, uses no filters except for a 10-day ADR volatility filter that calculates the size of breakout ranges. If volatility is too low, no breakout entry is executed; if it's sufficient, then yes. The rest is pure risk/reward trade management (also automated, which is good because it prevents me from being tempted to mess things up manually).
Yes, of course, this leads to many trades being executed, and most sideways days naturally result in many losses. However, I haven't found a filter yet that would significantly improve this in any way, and I've really tried a lot of things. However, if it is sufficiently profitable in the end, I don't care whether I only have a 30% win rate and achieve 2% per month or a 90% win rate and achieve 2%, provided the drawdown is not exceeded.
I also find volatility much more interesting and predictable than trying to predict market directions (trend trading, etc.). Where everyone tells you most of the time markets do not trend at all. Every time I look at a chart most of what I see is total random chaos of price moving all over the place. Even the Renko Chart doesn't seem to make things more clear to me and if so (well thats hindsight again, you see the nice looking trends in hindsight, great...)
Also, volatility is almost always present at a certain minimum level (for example, at market openings, news events etc.). It should essentially be a strategy that always works, regardless of general market conditions like bear or bull markets, and is therefore probably suitable for achieving repeatable results in the short term without long-term swing/trend trading where you're stuck in positions for ages.
