Dual Thrust Intraday Breakout Rules for Futures

Summary

The article explains Dual Thrust, an intraday opening-range breakout method applied to futures. It defines a prior-period range as the larger of the highest high minus the lowest close, or the highest close minus the lowest low. Multiplying that range by separate coefficients sets upper and lower thresholds around the current session’s open. Using the previous day’s range avoids relying on data that would not yet be available during the session.

A move above the upper threshold closes any short and opens a long; a move below the lower threshold closes any long and opens a short. The described operating constraints cap trading at three entries per day and stop new trades after 2 p.m. The article mentions examples across several futures markets and says default parameters were used without instrument-specific optimization, but gives no performance statistics or detailed validation. It is marked as based on an older platform version, and the rules leave execution costs, risk sizing, and other implementation choices unspecified.

Key ideas

• Dual Thrust sets intraday breakout thresholds around the session open using a prior-period price range.
• The range is the larger of the high-to-low-close span and the high-close-to-low span over a lookback window.
• A break above the upper threshold reverses short exposure or opens a long; a lower break does the opposite.
• The described rules limit activity to three trades per day and prohibit new trades after 2 p.m.
• The article offers no performance statistics and notes that the parameters were not optimized by instrument.

Tags

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