This post is the second part of a sequence in which I present a trading system based on the Opening Range Breakout technique. In the first part I have shown the long side of the system, now I will illustrate the short one.
The ORB trading system applied long to the future contract on the FTSE-MIB index works even better on the short side. The parameters and logic remain perfectly the same. Once the necessary changes have been made, the result for the same period is the following.
Evidently the short side of the trading system is superior to the long side.
As you can see everything is very good. The Avg Profit/Loss is enough high to include real slippage and fee costs. The trades are enough numerous to provide statistics significance. No excessive drowdown is present. Everything is fine.
Let’s study what happens if we combine both sides into one equity line.