Daily Long Breakouts Using the Previous Session’s Trading Range

Summary

This strategy places conditional long entries using a prior-session price range and the current session’s opening context. Its description says to compare the current open with the previous close, then set a buy stop above the open by a multiple of the prior day’s high-low range; it specifies different multipliers for the two comparison cases. Any position is intended to be closed before the end of the day, avoiding overnight exposure.

The document describes configurable range length, stop and profit percentages, date bounds, and a session close-out option. Its published test uses BTC/USDT futures with daily bars and hourly base data, but provides no performance results. There is a material discrepancy between the prose and included source: the source compares daily closes rather than opens, derives the stop-entry offset from the current bar’s range, and closes all positions whenever the close-out option is active. The strategy is long-only despite its “bi-directional” label, so its behavior should be checked against the actual implementation before evaluation.

Key ideas

• The described approach places long stop entries above the current open using multiples of a prior day’s range.
• The prose uses different entry offsets depending on whether the current open is above or below the previous close.
• The source code’s conditions and range calculation differ from the written explanation.
• The strategy is long-only and includes a same-session close-out rule, rather than explicit short entries.
• The published backtest configuration has no reported performance results.

Tags

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