Hummingbird Trading System

Opening Range Breakout (ORB) strategy for NSE equities using Upstox API.

Overview

Implements the ORB strategy based on academic research, achieving 41.6% annual returns with Sharpe ratio of 2.81 on U.S. equities (2016-2023).

Strategy Logic

1. Pre-Market Screening: Filter stocks by price > ₹5, volume ≥ 1M shares, ATR > ₹0.50
2. Opening Range: Track first 5-minute candle (9:15-9:20 AM IST)
3. Stock Selection: Filter by relative volume ≥ 100%, select top 20 stocks
4. Entry: Breakout above/below opening range with 1% risk sizing
5. Stop Loss: 10% of 14-day ATR
6. Exit: Close all positions at 3:25-3:30 PM

Key Insights

• Relative Volume Filter: Critical for identifying "Stocks in Play" with institutional activity
• Opening Range Direction: Predicts intraday trend continuation
• Risk Management: ATR-based stops and position sizing

Features

• Research-based ORB strategy implementation
• Upstox V3 API integration with rate limiting
• Arrow columnar storage + DuckDB analytics
• Backtest, paper, and live trading modes
• Risk management with position sizing and stops
• Deterministic backtesting with fixed seeds
• SQLite manifest for instrument metadata
• Parallel data fetching with gap detection

Installation

Prerequisites

• Java 17+
• Maven 3.8+
• Upstox trading account

Build

git clone <repository>
cd hummingbird
mvn clean package

Usage

Authentication

export UPSTOX_API_KEY="your_key"
export UPSTOX_API_SECRET="your_secret"
java -jar target/hummingbird-trading-1.0.0-SNAPSHOT.jar auth
export UPSTOX_ACCESS_TOKEN="token_from_auth"

Download Instruments

java -jar target/hummingbird-trading-1.0.0-SNAPSHOT.jar download-instruments

Fetch Data

java -jar target/hummingbird-trading-1.0.0-SNAPSHOT.jar fetch \
  --from 2025-01-01 --to 2025-01-31 \
  --interval 1 --unit minutes

Backtest

java -jar target/hummingbird-trading-1.0.0-SNAPSHOT.jar backtest \
  --from 2025-01-01 --to 2025-01-31

Paper Trading

java -jar target/hummingbird-trading-1.0.0-SNAPSHOT.jar paper

Live Trading

java -jar target/hummingbird-trading-1.0.0-SNAPSHOT.jar live --confirm

Configuration

Edit config.yaml or use CLI options:

Parameter	Description	Default
min_relative_volume_pct	Minimum relative volume	100%
max_positions	Maximum positions	20
stop_loss_atr_pct	Stop loss % of ATR	10%
risk_per_trade_pct	Risk per trade	1%
fetch.rate_limit_per_sec	API rate limit	3.0
fetch.parallelism	Parallel fetch threads	8
initial_capital	Starting capital	₹10L
atr_period	ATR calculation period	14

Architecture

Components

• Data Layer: Upstox API client, Arrow storage, SQLite manifest
• Strategy Engine: ORB with relative volume filtering and ATR stops
• Execution: Simulated/Paper/Live routers with realistic costs
• Risk Management: Position sizing, ATR stops, circuit breakers

Data Flow

1. Download NSE instruments and metadata
2. Fetch historical 1-minute bars for analysis
3. Pre-market: Calculate ATR and volume statistics
4. Intraday: Monitor opening range and execute breakouts
5. Risk management: ATR-based stops and position sizing

Research Foundation

Based on "A Profitable Day Trading Strategy For The U.S. Equity Market" (Zarattini et al., 2024).

Key findings:

• Basic ORB: 3.2% annual return
• With relative volume filter: 41.6% annual return (12x improvement)
• Sharpe ratio: 2.81, Max drawdown: 12%, Beta: 0.00

Disclaimer

Trading involves substantial risk of loss. Past performance does not guarantee future results. Test thoroughly in paper mode before live trading. Ensure compliance with regulations.