ZS-TMR : Thirty Minute Rule (Opening Range Play) Analysis : Now it is time for grains!!

My Development as a Commodities Trader: Thirty Minute Rule (Opening Range Play) AnalysisThere may be more meal in Grains TMR - especially in this volatile environment!

Few weeks back I did some preliminary analysis work on past 1 month data on Allan's TMR (Thirty Minute Rule - Opening Range Play) which was mainly based on trading E-Mini S&P500 during the opening range. Since then we are taking TMR trades on ES every day and it seems to generate good results and a profitable outcome. The discussions and results are summarised in the link above.

Taking on from that, I started investigating TMR on grains once I saw another smart fellow trader Quin talking about it. The results were astounding (**** past performance is no guarantee of future results ****) on past data analysis. Soybean has been very volatile lately and my analysis indicated that it would be quite profitable to apply TMR rules to Soybeans and other grains markets.

Traditionally Grains and Commodities, Bonds and Currency markets suit better for breakout plays (breakouts are not always fake-out - reserved for a future post sometime) and therefore it would seem logical that TMR might play better on Grains.

A word of caution here that Soybean has been very volatile lately and therefore the results could be bit exaggerated. However as commented on the original TMR post I have modified strategy which gives best possible Profit objective for 5 pt stop based upon past data. So I believe as volatility reduced, the profit objective will start reducing as well. Also I noted that it

could be best on Soybean markets to leave a runner on with trailing stops OR a fib/ATR based target in line of breakout. So by applying some of the "refinement techniques" the results from ZS-TMR can be enhanced further. I leave those to the individual trader's skills.

Results:

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a) Best results were achieved for 12pt Profit Objective 5 Pt Stop resulting in 45.7 pts per month with 43% success rate.

b) For a low pain quick trades, 3/5 generated good returns of 29.5 pts per month (with 81% success rate).

As always, TMR trading is bit boring and requires a lot of discipline. The reported results do not include slippage and commission which will eat into the profits and increase the loss. For

successful TMR strategy the platform should be fast to avoid slippage and commission should be lowest possible.

ZS TMR						Max P&L
Date	Open	30 Min High	30 Min Low	30 Min Range	TMR	5 PT	BEST EXIT
20-May	1182	1189.5	1176	13.5	S	16.00	1,160.00
21-May	1157	1172.75	1155.25	17.5	L	1.00	1,173.75
22-May	1184	1184	1170.75	13.25	S	6.75	1,164.00
26-May	1164	1167.25	1156.25	11	L	20.25	1,187.50
27-May	1195	1199.5	1189.5	10	L	1.25	1,200.75
28-May	1186	1195.5	1184.25	11.25	L	2.00	1,197.50
29-May	1192	1193	1185.75	7.25	S	10.50	1,175.25
01-Jun	1203.5	1219.75	1202.5	17.25	L	7.25	1,227.00
02-Jun	1215	1215	1209	6	S	8.50	1,200.50
04-Jun	1195	1199.75	1193	6.75	L	32.25	1,232.00
05-Jun	1213	1229.25	1211.5	17.75	L	4.50	1,233.75
08-Jun	1221.5	1235	1217	18	L	4.50	1,239.50
09-Jun	1241.5	1245.5	1232.5	13	L	3.50	1,249.00
10-Jun	1243.5	1254	1238.75	15.25	L	1.50	1,255.50
11-Jun	1260	1266.5	1256.75	9.75	L	24.75	1,291.25
12-Jun	1262	1262	1246.5	15.5	L	3.25	1,265.25
15-Jun	1221.5	1228	1213.5	14.5	S	16.50	1,197.00
16-Jun	1217	1219	1206.5	12.5	S	19.00	1,187.50
17-Jun	1197	1201.25	1188	13.25	L	13.75	1,215.00
18-Jun	1207	1213.25	1202	11.25	L	12.75	1,226.00
19-Jun	1219.75	1222	1201.75	20.25	S	26.25	1,175.50

WIN % 5 PT	PO	P&L 20 D 5 PT
24%	17	4.8
33%	16	40.0
33%	15	33.3
33%	14	26.7
38%	13	37.1
43%	12	45.7
43%	11	37.1
48%	10	42.9
48%	9	33.3
52%	8	36.2
57%	7	37.1
62%	6	36.2
62%	5	23.8
71%	4	28.6
81%	3	29.5
86%	2	20.0