ES Intraday Breakout Strategy with Trend, Session, and Loss Filters
Summary
This ES strategy combines a higher-level directional bias with short-term breakout entries. It defines bullish or bearish bias from price relative to the 50- and 200-period EMAs, then requires ADX to exceed a threshold and price to cross the corresponding Keltner Channel boundary. Signals are confirmed at bar close and may be limited to the New York cash session. The script also calculates VWAP, a one-hour initial balance, a regression-based mean-reversion channel, and volume-based candle colors for chart context; these are not all part of its entry rule.
Position management uses an ATR-based initial stop that trails as price moves favorably, plus an end-of-day close. Optional controls halt trading after a daily loss threshold or a run of consecutive losing trades, and close an open position when triggered. The code specifies one contract, commissions, and slippage, but gives no actual backtest results. Its behavior depends on chart timeframe, session settings, and execution assumptions, so the dashboard calculations alone do not establish strategy performance.
Key ideas
- Long and short entries require EMA-based directional bias, an ADX threshold, and a Keltner breakout.
- Signals are restricted to confirmed bars and can be limited to the New York cash session.
- An ATR-based stop is initialized at entry and trails as the position moves favorably.
- Optional daily loss and consecutive-loss controls can halt trading and close open positions.
- The script includes transaction-cost assumptions but reports no actual performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.