Configurable Opening Range Breakout Research with Retests and Calendar Filters

Summary

This research script builds an opening range from five-minute data starting at 9:30 a.m. New York time. It offers entry choices based on the first five-minute close outside the range, a later retest after a breakout, or a 15-minute close beyond a range boundary. Optional filters restrict trades by opening-range size, VWAP direction, weekday, or month. A chart-level gate allows one trade per day, and the strategy can force positions flat at a configurable time.

For exits, the script places a stop beyond the opposite side of the opening range with a point buffer and sets the target at a distance equal to the calculated risk, producing a nominal 1:1 reward-to-risk structure. An optional monthly table reports net results and trade counts. These are configurable research and reporting features, not evidence of profitability; the supplied document includes no performance results. Its behavior also depends on chart timeframe and multi-timeframe signal handling, which should be examined when interpreting tests.

Key ideas

• The opening range is calculated from five-minute bars over a configurable period beginning at 9:30 a.m. New York time.
• Entry modes include first five-minute breakout, post-break retest, and 15-minute close beyond the range.
• Optional filters use range size, VWAP, weekday, and month, alongside a one-trade-per-day gate.
• Stops sit beyond the opposite range boundary and targets are set at the same distance as the calculated risk.
• A force-flat time and optional monthly trade and net-result table support session control and review, but do not establish profitability.

Tags

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