Initial Balance Breakouts with VWAP and Range Filters

Summary

This intraday futures strategy defines the Initial Balance as the high and low during the first hour of regular trading. After that range is set, it looks for a close crossing above the high or below the low during a later entry window. A VWAP filter can require longs to be above VWAP and shorts below it, while configurable minimum and maximum range limits exclude unusually narrow or wide opening ranges.

Stops are placed at either the opposite side of the Initial Balance or its midpoint; the exit target is set at a multiple of the range, and any open position is closed near the end of the session. The description says the script was backtested on a five-minute MES chart with stated commission and slippage assumptions, but reports no performance statistics. Results may depend on session settings, execution assumptions, parameter choices, and the particular market; the source defines one target for the trade despite plotting two target levels.

Key ideas

• The Initial Balance is built from the first hour’s high and low, then used as the breakout reference.
• Entries require a close to cross an Initial Balance boundary during the configured trading window.
• VWAP direction and minimum or maximum range thresholds can filter candidate breakouts.
• Stops use the opposite range boundary or midpoint, with a range-multiple target and an end-of-day close.
• The description specifies a five-minute MES backtest setup but provides no performance results.

Tags

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