Issue with Streak Opening Range Breakout


Can anyone help me with this ?

BUY 1 share when Symbol(INDICES_NIFTY 50, Close(0) crosses above Opening Range(High,hour) ) at hour candle interval using candlestick chart. Enter trade between 09:00 to 15:00

As per this strategy my aim is to enter when the latest close crosses above the opening range high of one hour this is working in some cases to my expectation but there are a few cases where the trade isnt being taken please see the screenshot below for 5th Jan 2021

the opening range high for the first one hour was 14114.5 so a close in any subsequent candles with a high above 14114.5 should trigger an entry signal

the very next candle shows a close of 14119 as you can see in screenshot below and as matter of fact there are multiple subsequent candles where the close is above 14114.5 no entry signal is provided in any of these

Is there something wrong with my code, why isnt the trade being taken ?

@Streak @Krishnendu Can you help regarding this ?

Sure @Thomas_George

I need more details for this.

Can you share the public URL for this backtest?


Please check the dates for 1st Feb and 5th Jan, these are among the dates where there are closes above the opening range but the trade isnt being taken

Hi @Thomas_George,

This was due to an issue with data for some contracts. This has been fixed.

Please test this again and it will work fine.

@Krishnendu It has been resolved for some dates, there are other dates within the back-test where this issue still occurs. For this strategy please see 1st Feb, there is an opening range breakout on 1st Feb.

Entry Signal is not generated for the dynamic contract.

@Krishnendu @Streak

Hi, Im still facing this issue, please check 1st Feb data for the same strategy there is an opening range breakout on Feb 1st and no entry signal has been taken

For a crossover to be TRUE in the current candle, the condition needs to FALSE in the previous candle. Example

But there are no candles in between the Opening range candle and the next candle that was lower than the opening range High so this cannot be verified as a crossover.



In order to enter in this trade, you need to write,
Close(0) higher than Opening Range(High,hour) ) and Low(0) lower than Opening Range(High,hour) )

But if the next candle gaps up this will not be true. Then one condition can be validated

Close(0) higher than Opening Range(High,hour) )

@Krishnendu @Streak

I changed the entry signal statement to

Close(0) higher than Opening Range(High,hour) ) and Low(0) lower than Opening Range(High,hour) )

and the trade is still not entered for 1st Feb, I have shared the strategy below.

@Thomas_George checking

@Krishnendu @Streak

Have you checked this ?

@streak @Krishnendu

Is anyone checking this or …?

Hi @Thomas_George,

We have made several updates in the past week, one being the crossover logic, which I will update here. But the issue you are facing is because of data. Team is in touch with the data vendor and trying to get this expedited

@Krishnendu @Streak

Has this been resolved ?