Opening Range Breakout (ORB) Indicator for ThinkOrSwim (Free Download)

Overview

In this tutorial I build an opening range breakout indicator for ThinkOrSwim from a blank study. It shades the opening range, 9:30 to 10:00 Eastern by default, carries its high and low forward as dashed lines for the next hour, and draws half-range and full-range projections only after price breaks out.

I added a few twists to the typical ORB indicator. The opening range and the trade entry window are inputs you change from the studies menu, and you pick whether a wick touch or a candle close counts as the breakout, which most ORB indicators I've seen don't account for. The video runs 36 minutes for traders who want to follow the thinkScript line by line, and the download has the finished study.

Key Takeaways

What Is an Opening Range Breakout?

An opening range breakout is a setup where you wait for price to leave the range it set right after the market opened. The typical opening range is the first 30 minutes, 9:30 to 10:00 Eastern. During that window you track two numbers: the highest high and the lowest low.

The highest high becomes the opening range high and the lowest low becomes the opening range low. Those two horizontal lines are the levels you watch for price to break, one direction or the other. A move above the high is a bullish breakout and a move below the low is a bearish breakout. Our opening range breakout hub collects the rest of our ORB tools and research.

Wick Touch vs. Close Above

The entryType input is the ORB indicator's breakout definition: wickTouch counts a wick that pokes through the opening range level, and closeAbove waits for a candle that closes beyond it. Traders split into these two camps, and an indicator that only looks at closes can't show a wick-touch strategy accurately, so the choice is yours.

The closeAbove setting means a close beyond either side of the range, as the table shows. With it, a 1-minute chart gives you the most accurate trigger. On a 5-minute chart, the indicator waits for the 5-minute candle's close.

What the ORB Indicator Plots

The ORB indicator has 9 plots plus a gray cloud, and most of them stay hidden until they matter. My rule was not to crowd the chart: if no breakout triggers, the projection lines never appear. The table lists each plot by the name you'll see in the study settings.

The gray cloud and dashes are subtle on purpose, so they blend into the chart. The projection lines are solid and brighter, so you can see at a glance that a breakout has triggered.

The Inputs and Default Settings

Every ORB indicator setting is an input you change from the studies menu, and the cloud, lines and projections recalculate with no code edits. The 4 times are in Eastern, because that's the time zone thinkScript uses.

Times are written as hours and minutes with no colon, so 9:45 is 945. In the video I changed the opening range end to 945 and the gray box redrew itself as a 15-minute range. You could test any two times, such as 11:00 to 12:00 Eastern.

The trade entry window starts when the opening range ends. If you move one, move the other, or breakouts in the gap won't count. Move tradeEntryEndTimeEST later if you want breakouts after 11:00 to count. For more on time windows, see our tutorial on how to set custom hours in thinkScript.

How to Add the ORB Indicator to ThinkOrSwim

The ORB indicator download is a .zip with one study file, TI_OpeningRangeBreakoutSTUDY.ts. Installing it takes the same steps as any custom study.

1. Download the indicator from this page and unzip it.
2. Import the study into ThinkOrSwim. Our guide on how to import a study into ThinkOrSwim walks through each step.
3. To build it yourself instead, click the Studies icon, choose Create, name the study (I called mine TI_OpeningRangeBreakout), and paste in the code from the Code tab.
4. Add the study to an intraday chart. I built it on a 1-minute chart.
5. Open the study settings to pick the entry type and times. If you change colors or line styles on the plots, click Save as default to keep them.

How the Code Works

The ORB indicator code follows the game plan I wrote before typing anything: define the opening range, define the trade entry window, build the entry type switch, then plot the levels. The 5 steps below walk through it, and each snippet comes from the download.

Step 1: Define the Opening Range

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SecondsTillTime counts the seconds until a given time. Zero or less for the start time means the bar is at or past 9:30. Zero or more for the end time means it hasn't passed 10:00.

Both true means the bar is inside the opening range, so openingRange returns 1 from 9:30 through the 10:00 bar and 0 from 10:01 on. I included that last minute on purpose.

Step 2: Track the High and Low

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Read it in three parts. On the first bar, where the seconds until the start time equal 0, take that bar's high. Inside the range, take any higher high. Otherwise carry the last value forward with [1].

Because the last branch carries the value, the high stays fixed once 10:00 passes, which is what the extension lines and breakout tests need. openingRangeLow works the same way with lows and a less-than test.

To check both, I printed each value in a temporary AddChartBubble, then commented the bubble out. If a value looks wrong in your own code, our guide on how to fix bugs in thinkScript code is a good next stop.

Step 3: Define the Trade Entry Window and Shade the Range

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tradeEntryRange runs the same time test with the trade entry inputs, 10:00 to 11:00 by default.

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The cloud plots return the high and low only while openingRange is true, and AddCloud shades between them in gray. double.nan means plot nothing, which keeps each line off the chart outside its window.

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The extension plots carry the same high and low through the trade entry window as short dashes. On my chart, set to Pacific time, they stopped at the 8:00 mark, which is 11:00 Eastern.

Step 4: Build the Entry Type Switch

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The two bare def lines declare the conditions without a value. On their own they'd throw errors, so the switch fills them in, and the rest of the code reads whichever version the user picked.

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Each condition checks three things: the bar is inside the trade entry window, it crossed the level, and the previous bar hadn't. That last check makes it true only on the bar where the break happens.

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The closeAbove case runs the same test on closes in place of highs and lows.

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bullishORB turns the one-bar event into a state. It becomes 1 on the breakout bar, stays 1 for the rest of the window, and resets to 0 when the window closes.

Step 5: Calculate the Range and Plot the Levels

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range is the width of the opening range, halfRange is half of it, and midRange adds that half to the low to get the midpoint. The mid-range line shows for the whole trade entry window.

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The halfway upside projection adds half the range to the high, and the full projection adds the whole range. Both plot only while bullishORB is 1.

The downside pair subtracts from the low and checks bearishORB. The last line of the download is a test bubble, commented out. Remove the # to print the range on each bar after a breakout, green for bullish and red for bearish.

The June 7 Example From the Video

The June 7, 2022 session in SPY is the chart I used to test each piece of the code in the video. My chart was set to Pacific time, so the opening range ran from 6:30 to 7:00 on screen. These are the values the test bubbles printed:

• The first candle at 9:30 set the opening range high at 408.52. The next candle didn't make a higher high, so the value held, and the candle after that moved it to 408.75.
• The high kept updating until 10:00, when it stood at 410.54. After that it held at 410.54 through the trade entry window.
• The first candle's low was 408.02. The next lower low moved it to 407.97, and later lows kept pulling it down.
• When I printed the range, high minus low, the bubble showed 2.93, which puts the final low at 407.61.

Half of 2.93 is 1.465, so the half-range projection sat at 412.01 and the full-range projection at 413.47. The SPY backtester screenshot further down shows those two values as its light green and green price tags, and June 7 is the Tuesday on that chart.

With wick touch selected, the first green bubble appeared on the candle whose wick broke above the high. Price then pulled back to the mid-range line, broke above again, and this time closed above the high before moving higher. On June 7 price respected the full upside projection well. On days without a breakout, no projection lines plotted, which is the behavior I wanted.

How I Read the ORB Levels

The ORB indicator marks levels and shows when price crossed them. A wick through the high, a close beyond it and a pullback to the mid-range are each things to read with the rest of the chart, and the June 7 example had all three in one morning.

Before you take a breakout, decide where your stop goes and size the position so a stop-out costs a small, fixed share of your account. The mid-range line and the opposite side of the range are levels you can plan around, and the two projections give you reference points for targets.

An alert when price pulls back to the half-range level after a breakout is a good addition. I left it out of the video as a challenge, and our text message alert tutorial shows one alert setup. Breakouts that fall back into the range are the main risk with any ORB trade, and our article on how to identify and trade false breakouts covers them.

Backtesting the ORB Strategy (Volatility Box Members)

The ORB backtester is the members-only version of this indicator. It turns the same levels into trades and labels the results, so Volatility Box members can measure the P/L of the opening range breakout strategy on any market and timeframe, with wick touch or close entries. In the video I said the strategy tends to be about a 50% win rate in most places, with a few pockets where it works.

The June 2022 screenshots below cover the same 10 days on 1-minute charts, with wick touch entries, a full-range stop and a half-range target. SPY's P/L was negative over those 10 days and XLE's was positive: historical results from a short window. The ORB backtester page has the full walkthrough, and the backtesters page lists our other strategy testers.

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ORB SetupsA live opening range breakout scanner

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