Gold New York Opening-Range Breakout with Volume and Volatility Filters

Summary

This long-only gold strategy defines an opening range from 13:00 to 14:00 UTC on weekdays, then looks for a close above that range during a later entry window ending at 16:30 UTC. The breakout must occur on a bullish bar with volume above 1.5 times its 20-bar average. The opening range must be no wider than 2.5 times ATR, and the current ATR must remain at or below twice its 20-bar average. An entry sets a stop one opening-range width below the signal close and a target 2.5 range widths above it; open positions are closed at 20:00 UTC.

The document reports an approximate 73% win rate on XAUUSD 15-minute training data, but gives no sample size, date range beyond the script’s start date, benchmark, drawdown, or out-of-sample result. The script also uses full-equity default sizing and specified commission and slippage assumptions, which affect its historical simulation. The reported training result alone does not establish whether the rules generalize across market regimes or trading costs.

Key ideas

• The strategy measures a weekday opening range between 13:00 and 14:00 UTC.
• A long breakout must close above the range high in the entry window and exceed a volume threshold.
• Range-width and ATR-regime filters screen out some wide ranges and volatility spikes.
• The script sets a range-based stop and a 2.5-to-1 target distance, then closes positions at 20:00 UTC.
• The reported win rate is from training data and lacks enough detail to assess out-of-sample performance.

Tags

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