Globex Overnight Range Breakout and Fade Strategy for MES

Summary

This excerpt describes an overnight strategy for Micro E-mini S&P 500 futures. It builds a range shortly after the Globex session begins, then exposes settings for trading range breakouts or fading moves near the range boundaries. Configurable filters include a higher-timeframe EMA bias, RSI thresholds for fades and breakouts, and volume relative to a moving average. Pivot structure is included as a trend-following input. The risk settings provide an ATR-based stop multiplier, a buffer beyond the range, a reward-to-risk target, and a maximum number of trades per session. A news blackout window can restrict entries around scheduled releases.

The available text contains only the strategy declaration and input definitions; it ends before the rules that combine these settings or place and manage orders. It therefore does not establish precisely how breakout confirmation, fade entries, filters, stops, or targets operate. No chart findings, backtest results, or performance evidence are included. The parameters reveal the intended design and risk controls, but not whether the rules are coherent in implementation or robust across sessions. Evaluation would require the remainder of the script and testing with realistic costs and session data.

Key ideas

• The intended market is MES during the overnight Globex session, using an opening range as a reference.
• The inputs support both range breakouts and fades, with RSI, volume, and higher-timeframe filters.
• Risk settings include ATR and range-based stop parameters, a reward-to-risk ratio, and a trade limit.
• A configurable news blackout is intended to suppress entries around major releases.
• The excerpt omits the signal and order logic and provides no backtest evidence.

Tags

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