Initial Balance Breakouts with VWAP and Range Filters

Summary

This intraday breakout strategy builds an Initial Balance from the high and low recorded during the first hour of the regular US trading session. Once that range is set, it defines breakout entries for a later trading window and calculates target levels as multiples of the Initial Balance range. Stops can be placed at the opposite edge of the range or its midpoint. The script also includes minimum and maximum range thresholds to skip sessions with unusually narrow or wide opening ranges, plus an optional VWAP filter that allows longs above VWAP and shorts below it.

The supplied code is incomplete: it ends while plotting target levels, before the entry, exit, and order management logic is visible. It therefore establishes the intended setup and parameters but does not provide enough material to verify the full strategy behavior or assess results. The script specifies contract sizing, commission, and slippage assumptions, but the document includes no performance report. Its settings are centered on an MES-labelled strategy and US session times, so broader market applicability is not demonstrated.

Key ideas

• The Initial Balance is defined by the high and low of the first hour of the regular US session.
• Breakout targets are set at configurable multiples of the Initial Balance range.
• Stops can be positioned at the opposite range boundary or at the range midpoint.
• Range thresholds can exclude sessions when the opening range is too narrow or too wide.
• An optional VWAP filter requires longs above VWAP and shorts below it.
• The supplied script is truncated before its order logic, and no performance results are shown.

Tags

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