Intraday Opening Range Breakouts with Pullback Entries and Risk Controls

Summary

This intraday strategy defines an opening range from a configurable morning session, then looks for a close crossing above its high or below its low during a later trading window. Optional filters require alignment with the daily 200-period EMA, above-average breakout volume, and an opening range within ATR-based size limits. The strategy is designed for intraday charts and uses New York session timing; it allows at most one attempted trade per day.

Entries may use a limit order at the range boundary after a breakout, or a market order. Stops can be placed at the range midpoint or the opposite boundary, with a target set from the chosen risk-to-reward multiple. Optional dynamic sizing estimates contracts from equity risk and stop distance, subject to a quantity cap; the script can also move a stop to breakeven after the trade reaches its initial risk amount in profit. Positions and pending orders are handled around the configured time cutoff. The description makes claims about reduced slippage and false breakouts, but provides no backtest results to establish them; limit fills and realized risk can differ from the assumptions in the script.

Key ideas

• The opening range high and low define breakout levels for a later intraday entry window.
• Daily trend, breakout volume, and ATR-based range-size filters are optional.
• A pullback limit order can seek an entry at the broken range boundary.
• Stops may use the range midpoint or opposite edge, with targets based on risk distance.
• Dynamic sizing, breakeven logic, and a time cutoff provide additional risk controls.

Tags

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