Opening Range trading strategies aplied on daily and intra day data: The case of BET Index
Opening Range trading strategies aplied on daily and intra day data: The case of BET Index

Summary/Abstract: This paper examines the profitability of “Opening Range” trading strategies. Two strategies from this category are described and implemented based on the data related to the principal Romanian stock market index, the Bucharest Exchange Trade index (BET). The used trading strategies (Average True Range and Volatility Breakout) are applied, both on daily data and on intraday data for the same period of time. The strategies are applied, first for the real market data and then for the simulated data, by using a random walk process and a bootstrapping technique. Additionally, in this paper are provided empirical results and applications related to the mentioned types of data, so the readers can have an understanding on how to deal with the “Opening Range” strategies. As a result of our study, for some periods of time the usages of analyzed strategies are less efficient when using daily data, compared with the results obtained for intraday data.

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