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Carlo Zarattini's Recent LinkedIn Posts
Carlo Zarattini
@carlozarattini
Founder of Concretum Group | Co-Founder of R-Candles.com | Quantitative Trading Research published on SSRN.com
Posts
Carlo Zarattini
Sales & Marketing
3mo
The Opening Range Breakout is one of the oldest ideas in active day trading.
Toby Crabel (founder of Crabel Capital Management, LLC) documented it in the early 1990s, and the concept has since been used and refined by many experienced practitioners and Market Wizards, including Linda Bradford Raschke, who presented a version of the strategy in the well-known book "Street Smarts".
Yet despite decades of real-world use, a rigorous backtest using intraday data granularity had never been published with a focus on the needs of active traders.
Three years ago, together with my friend Andrew Aziz, we decided to fill that gap.
The paper became our most-read research piece, downloaded by over 40,000 traders and researchers.
The most persistent question we received since publication: is the edge still there?
Since publication, the model has continued to perform positively across many of the variations we documented. The out-of-sample behavior has been consistent with the historical backtest, which is arguably the most important test any systematic strategy can pass.
The chart attached displays the updated cumulative net P&L expressed in R-units of the base model proposed in the paper.
We have now been working on a natural extension of this research.
This time, we tested something closer to a pure Opening Range Breakout system on SPY, the most liquid and widely traded equity instrument in the world.
Based on 20 years of data, the edge exists. But to make the strategy robust and resilient to slippage and transaction costs, it is essential to filter out market noise and trades with minimal conditional profitability.
The introduction of daily price-pattern filters and other simple intraday features improves substantially the efficacy of the strategy, making it a strong candidate for a well-diversified portfolio of intraday systems.
At Concretum|Research we are finalizing the full paper now. Publication is expected in the coming weeks.
If you have not read the original work yet, it remains freely available on our website and on SSRN. Given what is coming, it is a good time to revisit it.
Link to the paper in the first comment
89
Carlo Zarattini
Sales & Marketing
3mo
The Opening Range Breakout is one of the oldest ideas in active day trading.
Toby Crabel (founder of Crabel Capital Management, LLC) documented it in the early 1990s, and the concept has since been used and refined by many experienced practitioners and Market Wizards, including Linda Bradford Raschke, who presented a version of the strategy in the well-known book "Street Smarts".
Yet despite decades of real-world use, a rigorous backtest using intraday data granularity had never been published with a focus on the needs of active traders.
Three years ago, together with my friend Andrew Aziz, we decided to fill that gap.
The paper became our most-read research piece, downloaded by over 40,000 traders and researchers.
The most persistent question we received since publication: is the edge still there?
Since publication, the model has continued to perform positively across many of the variations we documented. The out-of-sample behavior has been consistent with the historical backtest, which is arguably the most important test any systematic strategy can pass.
The chart attached displays the updated cumulative net P&L expressed in R-units of the base model proposed in the paper.
We have now been working on a natural extension of this research.
This time, we tested something closer to a pure Opening Range Breakout system on SPY, the most liquid and widely traded equity instrument in the world.
Based on 20 years of data, the edge exists. But to make the strategy robust and resilient to slippage and transaction costs, it is essential to filter out market noise and trades with minimal conditional profitability.
The introduction of daily price-pattern filters and other simple intraday features improves substantially the efficacy of the strategy, making it a strong candidate for a well-diversified portfolio of intraday systems.
At Concretum|Research we are finalizing the full paper now. Publication is expected in the coming weeks.
If you have not read the original work yet, it remains freely available on our website and on SSRN. Given what is coming, it is a good time to revisit it.
Link to the paper in the first comment
89
Carlo Zarattini
Sales & Marketing
3mo
The Opening Range Breakout is one of the oldest ideas in active day trading.
Toby Crabel (founder of Crabel Capital Management, LLC) documented it in the early 1990s, and the concept has since been used and refined by many experienced practitioners and Market Wizards, including Linda Bradford Raschke, who presented a version of the strategy in the well-known book "Street Smarts".
Yet despite decades of real-world use, a rigorous backtest using intraday data granularity had never been published with a focus on the needs of active traders.
Three years ago, together with my friend Andrew Aziz, we decided to fill that gap.
The paper became our most-read research piece, downloaded by over 40,000 traders and researchers.
The most persistent question we received since publication: is the edge still there?
Since publication, the model has continued to perform positively across many of the variations we documented. The out-of-sample behavior has been consistent with the historical backtest, which is arguably the most important test any systematic strategy can pass.
The chart attached displays the updated cumulative net P&L expressed in R-units of the base model proposed in the paper.
We have now been working on a natural extension of this research.
This time, we tested something closer to a pure Opening Range Breakout system on SPY, the most liquid and widely traded equity instrument in the world.
Based on 20 years of data, the edge exists. But to make the strategy robust and resilient to slippage and transaction costs, it is essential to filter out market noise and trades with minimal conditional profitability.
The introduction of daily price-pattern filters and other simple intraday features improves substantially the efficacy of the strategy, making it a strong candidate for a well-diversified portfolio of intraday systems.
At Concretum|Research we are finalizing the full paper now. Publication is expected in the coming weeks.
If you have not read the original work yet, it remains freely available on our website and on SSRN. Given what is coming, it is a good time to revisit it.
Link to the paper in the first comment
89