Opening Range Breakout Day-Trading System User Guide

Version 4.6, June 27, 2022

Update Notes: (v 4.4)

a) Early first unit Profit Exits are now mutually exclusive on the same bar
b) Third unit exit price is now dynamic based on price proximity to channel levels
c) Profit exit descriptions below have been updated to reflect the current rules
d) MNQ-only version is now available that can trade up to 9 MNQs

Update Notes: (v 4.5)

a) Enable logic for MNQ trade size greater than 3 contracts
b) We slightly changed the fixed stop loss and profit targets due changes in observed volatility
c) Added version-control time-bomb to the software keys so one cannot run a new software
key with an old version of the Strategy or Indicator

Update Notes: (v 4.6)

a) DMZ profit exit added after initial early exit.
b) Chart Symbol change - DO NOT USE the .D symbol anymore. The Globex symbol is required
for the DMZ exit.
c) Adjusted exit code logic by removing lower probability exits (see signal names)
d) Built-in Futures Contract Roll-Over logic

Please review our Disclaimer page located here:

https://s3.amazonaws.com/media.hamzeianalytics.com/HA_Disclaimer.jpg

Be sure to read each ALL of the “Important Notes” below.

Avoid using MSFT OneDrive and DropBox:

It is highly recommended that cloud storage services like MSFT OneDrive or

DropBox NOT be used as the default drives for accessing files related to
TradeStation. Using these services can cause unstable behaviors that can be
difficult to troubleshoot. Always use your local hard drives (preferably SSDs) for
TradeStation installation, backups, and all other supporting files. Use a thumb
drive to keep a copy of your most recent TS Archives outside of your trading PC in
case of massive crash or ransom-ware attack.

Strategy Goals and Description:

This day-trading strategy is a long-short multi-contract opening range channel
breakout strategy designed exclusively for the NASDAQ Futures (NQ or MNQ).
The entry levels are identified in the first few bars of the regular stock market
session starting from 9:30 am ET. The trade entry signal is only active for a limited
time, after which this strategy will not trigger any entries in that session.

It is important to note that this updated version of ORB strategy needs to use
the ‘Globex’ overnight session symbol: (e.g., MNQU22 or NQU22). Note: The
TradeStation .D extension to the symbol is NOT allowed.

The strategy has multiple layers of safety stops and profit target exits, based on
the number of contracts specified at each of the three exit levels.
Once the first stop loss is hit, the strategy is finished trading for that day or
depending on market conditions, the strategy can reverse in the opposite
direction of the first trade when the opposite opening range channel is hit.

Please Note: There is no way anyone or any system can always be perfectly
aligned with an ever-changing, "Market Texture", of price action and volatility.
What this system attempts to provide is an evidence-based back-tested set of
rules and historical "baseline" performance that occasionally over time will
need to be adjusted and tweaked to help better reflect current market
conditions.
One Winning Trade Per Session:
This strategy is designed to capture one winning trade per trading session. Once
the strategy closes a winning, the strategy is done for the session.

Reversing: (now active in the current release version 4.6)

When the first trade of session is a losing trade, the strategy will take a second
trade in the same session if the opposite entry level is hit. This has the potential
for two losing trades in one day, and larger account drawdowns are possible.

Strategy Restrictions:
This strategy is provided to you with the following restrictions:
1. The strategy can only be run on only one trading account.
2. The strategy can only trade the number of contracts specified.
3. The strategy can only trade the ‘NQ’ or ‘MNQ’ NASDAQ-100 futures.
a. Current Contract TradeStation Symbols are:
i. NQU22 & MNQU22 - good till Friday Sept 9th
ii. NQZ22 & MNQZ22 – starting Monday Sept 12th
4. The strategy will only operate on a ‘3-minute’ interval chart.
5. The strategy can only trade 3 NQ or up to 30 MNQ Futures contracts.
6. The MNQ-only version of this strategy can only trade 9 MNQ Futures
contracts.
Strategy Inputs:
TradeUnits(3)
The TradeUnits input allows you adjust the trade size when ONLY trading the
Micro NASDAQ contract (MNQ). You can set the trade units for up to 30 micro
contracts, (which is equivalent to 3 E-mini; NQ contracts). The TradeUnits input
value should always be divisible by 3.
The current strategy as licensed allows you to only trade a maximum or the
equivalent of 3 E-mini; NQ futures contracts.

Trade Size Structure:

The strategy divides the initial entry trade size into a three-level multi-level exit
system. The contracts in each exit group will exit based on the various profit exit
schemes described below.

Exit Unit One Contracts – 1/3 of initial position

Exit Unit Two Contracts – 1/3 of initial position
Exit Unit Three Contracts – 1/3 of initial position or any remaining contracts

Safety Stops:
There is always a fixed dollar safety ‘stop loss’ money management exit that is
active from the point of entry until the first profit target is hit. This amount can
be slightly different for a long or a short position. The stop loss closes the entire
initial position.

Risk Management
Based on current market conditions, the system stop loss is set at $3,600 for 3 E-
mini (NQ) long trades, and $3,600 for 3 E-mini (NQ) short trades. Similarly, it is
set at $360 for 3 E-mini micro (MNQ) long trades, and $360 for 3 E-mini micro
(MNQ) short trades.
Reversing Rules are ON:
Keep in mind that reversing trade rules are turned on, and the maximum loss in
one session if both trades hit the stop is $7,200 for 3 NQs or $720 for 3 MNQs.

The safety Stop Loss exit is no longer relevant once the strategy hits the first unit
one profit exit. Once the first unit profit exit is hit, the remaining units are
protected by a trailing breakeven (BE) stop.

Profit Targets:
Each exit group has a unique set of rules for capturing profits.
Profit Exit One:
Exit Unit One has four potential exit rules:
1. An Early Fixed Profit Target based on current market conditions, is
set to close ‘unit 1 contracts’ long (E-mini NQ) with an $800 profit
and close ‘unit 1 contracts’ short (E-mini NQ) with a $1400 profit.
And similarly, an $80 profit for long for (MNQ) contracts and a
$140 profit for short (MNQ) contracts.
2. An early volatility exit based on the opening range which is only
active for a short time until 11:00am ET.
Note: Once any of the unit one profit targets have been hit, the
strategy puts in place a breakeven trailing stop on balance of
contracts to protect and lock in profits for that day.

Profit Exit Two: (active only after Profit Exit One has been hit)
Exit Unit Two has three potential exit rules:
1. DMZ indicator level exit – exit at slow DMZ
2. Change of momentum-based profit target.
Note: These ‘Exit Two’ exits are only active after one of the ‘Exit One’
exits have been hit.
 Profit Exit Three: Any and All Remaining Profitable Units:
1. Breakeven trailing stop closes all remaining contracts.
2. Fixed time exit at 12:45 pm ET closes all remaining contracts.
Note: Normally, the worse you can do is breakeven, on the
balance of contracts, once the first profit target is hit.

Signal Names:
Each time the strategy generates a filled strategy trade, ‘Signal’ names are displayed in the chart to
show you which signal in the strategy logic generated the order. The number you see with the signal
name is the number of remaining contracts the strategy is still long or short after that signal.

Here are the signal names that can generated by this strategy:

Entries:
“LE” – Long entry
“SE” – Short entry
Safety Stops:
“StopLoss” – Both long and short safety stop on the bar of entry only
“Stp LX” – Long safety stop on all other bars
“Stp SX” – Short safety stop on all other bars
Profit Targets:

"EarlyPrft LX" – Long Fixed Profit Based on Stop Loss amount - can be hit anytime
"EarlyPrft SX" – Short Fixed Profit Based on Stop Loss amount - can be hit anytime
"EarlyVol LX" – Long volatility-based profit level – only initial stages of the trade
"EarlyVol SX" – Short volatility-based profit level – only initial stages of the trade
"ImdTrgt2 LX" – Long profit momentum-based intermediate target- unit 2 contracts
"ImdTrgt2 SX" – Short profit momentum-based intermediate target- unit 2 contracts
"DMZ LX" – Long profit momentum-based on HAPI_DMZ - unit 2 contracts
"DMZ SX" – Short profit momentum-based on HAPI_DMZ - unit 2 contracts
"BETrl LX" – Long profit breakeven trailing exit for any remaining contracts
"BETrl SX" – Short profit breakeven trailing exit for any remaining contracts

Time Exit:
"EOS LX" – Long end-of-trading-session window exit for any remaining contracts
"EOS SX" – Short end-of-trading-session window exit for any remaining contracts
Important Note: If the first profit target is never hit, it is possible that the ‘Exit 3’
time exit could close all contracts for a small profit or loss. But that loss would
never be more than the safety stop that is in place.

Important Note: If for any reason you still have any open contracts or strategy
orders after 12:46pm ET, you need to manually close those contracts, cancel any
open strategy orders, and then try to determine why that happened.

Important Note: You should NEVER EVER manually trade the same symbol (NQ or
MNQ), in the same account, that this strategy is actively automating. This will
certainly result in the strategy getting mixed up and orders will not be generated
correctly. If you do decide to intervene, be sure to turn off the strategy
automation FIRST before making any manual trades.

Important Note: Keep in mind that fast market conditions, software, power
outage and other technical issues can result in order confusion, or, in larger than
expected losses. Losing internet or broker connectivity is the primary risk when
running a trading system, as are all orders generated from your computer. It is
advised that you always be present when the strategy is running and that you
have the broker’s mobile app and phone number ready in case positions need to
be closed or orders cancelled manually.
Strategy Automation Best Practices
a. Always be present when the strategy is actively generating orders.
b. Make sure your cell phone is receiving TradeStation order notifications.
c. If you are away from your computer during active automation (bad idea),
or you lose connectivity to TS for any reason; you can always stop the
strategy by logging onto the TS mobile device, which will disconnect your
computer/strategy from TradeStation, you can then close positions and
cancel orders.
d. We recommend that you automate the strategy initially in the
TradeStation trade simulator until you are familiar with the workspace,
automation settings, and order behavior.
e. Run the strategy for a while on the micro symbol MNQ (1/10 the size of
NQ) until you are very comfortable with strategy setup, monitoring order
behavior, and shutting the strategy down if necessary.
Workspace Layout:

We recommend that you use the provided workspace for order automation, and
avoid saving this workspace when exiting TradeStation, to preserve the original
workspace provided with your subscription.
Strategy Property Settings: (General Tab)
You can find the strategy properties button on the Customize Strategy dialog.
By default, the workspace provided has the proper TradeStation ‘General’
strategy property settings selected. It is recommended that you do not change
these settings.
Make sure that the "Use Look-Inside-Bar Back-Testing" check box is always
unchecked.
Strategy Property Settings: (Automation Tab)
There are three strategy properties tabs; General (settings not used), Backtesting
(settings not used) and ‘Automation’ (proper settings required).
You can find the strategy properties button on the Customize Strategy dialog.
By default, the workspace provided has the proper TradeStation ‘Automation’
strategy property settings selected. It is recommended that you do not change
these settings.
Make sure that the second Radio button is selected.
Terms of Use:
Keep in mind that this strategy is always under development and refinement, and
updates will be provided when available as needed. Strategy software updates
are designed to adjust the strategy to reflect the current market conditions.

Hamzei Analytics LLC is not responsible for any money you may lose for any
reason when trading this strategy. You alone take on the full risk and
responsibility of your trades.

By trading this strategy, you agree that you understand, and agree to, all the
information and conditions in this document and on our website:
http://www.hamzeianalytics.com

Thank you for subscribing to this strategy.