Asia Session Range Breakouts for Gold Futures

Summary

This intraday strategy records the high and low during the New York-time Asia session, then looks for closing prices beyond either boundary during the following trade window. A configurable tick buffer filters marginal breaks, and an optional 200-period exponential moving average restricts long entries to prices above the average and short entries to prices below it. The script limits entries per day and requires the strategy to be flat before opening another position.

Exits use average true range multiples for fixed stops and profit targets, with an optional trailing stop; positions can also be closed when the trading window ends. The document supplies the strategy rules and code but no performance results, market comparisons, or robustness analysis. Its backtest settings show zero commission, and the rules depend on session definitions, chart timeframe, and execution assumptions, so reported results would need realistic costs and fills to be informative.

Key ideas

• The strategy defines a daily range from the New York-time Asia session and trades breaks during a later window.
• A tick buffer and optional exponential moving average filter govern breakout entries.
• Average true range sets fixed stops and targets, or the trader can select a trailing stop.
• The strategy caps daily entries and can close open positions at the end of its trading window.
• The document presents rules and code but no evidence that the approach is profitable.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.