Dual Thrust Breakout Strategy with Daily Range Entries

Summary

This strategy uses the previous trading day’s high-to-low range to set stop-entry levels around the next day’s opening price. Separate multipliers scale the upward and downward thresholds. During the session, it chooses an entry side based on whether the current bar closes above or below the day’s open, then places a stop order when the corresponding side has not already been entered. As positions form, it submits orders at the opposite threshold, allowing a reversal structure.

The implementation tracks daily open, high, and low, resets entry flags when a new date begins, and cancels outstanding orders on each bar update. Near the configured session end, it attempts to close open positions using prices offset from the latest close. This is an implementation example, not a performance study: it provides no market, sample period, transaction-cost model, or backtest results. Order triggering, reversal behavior, and end-of-day fills therefore need validation in the intended market and execution environment.

Key ideas

• The prior session’s high-to-low range determines threshold distances from the next session’s open.
• Separate configurable multipliers define the long and short stop-entry levels.
• The current bar’s close relative to the daily open selects which entry side is considered.
• The strategy tracks daily extremes and entry flags, and it attempts to flatten positions near the session end.
• The document supplies code but no performance evidence or execution-cost analysis.

Tags

From a private course collection; the original is not published.