Dual Thrust Opening-Range Breakouts with Intraday Position Reversals

Summary

The document presents a Dual Thrust opening-range breakout backtest for GBP/USD minute data. It aggregates intraday prices into daily open, close, high, and low values, then calculates a rolling range from recent highs, lows, and closes. At the stated market opening time, the method places upper and lower thresholds around the opening price using a configurable fraction of that range. A threshold breach triggers a long or short signal; the code also permits a reversal if price crosses the opposite threshold later in the session.

Signals are limited to one net position in each direction, and positions are cleared at the stated end of the session. The document characterizes the approach as similar to a London breakout and notes that the example uses five days of range history and an even split of the range parameter. It provides implementation logic and plotting, but no profit, drawdown, or other backtest results. The example assumes a particular intraday schedule and data format, and its end-of-session liquidation means it does not describe an overnight breakout system.

Key ideas

• The strategy derives breakout thresholds from a rolling range of prior daily price statistics.
• The opening price anchors upper and lower levels, with a parameter allocating the range between them.
• A breach generates a directional position, and crossing the opposite threshold can reverse exposure.
• Positions are cleared at the end of the specified session.
• The example provides no performance statistics and relies on session-specific data assumptions.

Tags

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