Gold New York Open Range Breakout with Volume and ATR Filters

Summary

This long-only XAUUSD strategy builds an opening range from 13:00 to 14:00 UTC, then looks for a close above that range during a defined New York entry window. The signal also requires a bullish candle and volume above 1.5 times its 20-bar average. It limits entries to days when the range is no more than 2.5 times ATR(14), and skips periods when ATR exceeds twice its 20-bar average. A triggered trade uses a stop one opening-range width below the signal close and a profit target 2.5 times that width above it.

Positions are closed at 20:00 UTC to avoid overnight exposure. The script specifies a start date of 2024, percent-of-equity sizing, commission, and slippage. The accompanying description reports an approximate 73% training-set win rate on 15-minute XAUUSD data, but gives no trade count, out-of-sample results, or drawdown. The code implements only long entries, so it cannot capture downward breakouts; reported performance also depends on the instrument, timeframe, and execution assumptions.

Key ideas

• The strategy measures the high and low of the 13:00–14:00 UTC opening range.
• It seeks a bullish close above the range between 14:00 and 16:30 UTC, confirmed by elevated volume.
• ATR-based filters exclude wide opening ranges and unusually volatile regimes.
• The stop and target are set relative to the opening-range width, with a 2.5-to-1 target-to-stop distance.
• Open positions are closed at 20:00 UTC, and the reported win rate is limited to the stated training set.

Tags

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