Asian Session Range Breakout with Daily Trade Limits

Summary

The strategy records the high and low during a user-defined Asian trading session, then watches for a break of that range after an adjustable delay. A move above the range is intended to trigger a long position and a move below it a short position. It limits new entries to one per day and specifies stop-loss and take-profit distances in price ticks.

The document provides example settings for a month of BTC_USDT futures data, but no performance statistics. Its rationale is that a quieter Asian range may give way to movement during European and US hours. Breakouts can reverse, however, and fixed-distance exits may not fit changing volatility. There is also an implementation discrepancy: the prose says to buy above the high and sell below the low, while the supplied entry conditions reverse those comparisons. The document suggests volatility-based exits and trend filters as possible refinements.

Key ideas

• The strategy records the Asian session high and low as potential breakout levels.
• After a configurable delay, the written rules call for longs above the high and shorts below the low.
• It limits new entries to one per day and uses fixed stop-loss and take-profit distances.
• The provided entry conditions reverse the breakout directions described in the prose.
• Range breaks can reverse, and fixed exits may not suit changing volatility.

Tags

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