London and New York Opening Range Breakout with Trailing Stops

Summary

This strategy tracks the high and low formed during the first 15 minutes of the London and New York sessions, using New York time. Once each range is set, it can enter long on a break above the high or short on a break below the low. A minimum range size filters out smaller setups, and an optional five-minute EMA filter checks direction.

Stops are placed beyond the opposite range boundary, while profit targets scale with the range and a trailing stop follows favorable price movement. The parameters include a risk-reward ratio, minimum range size, trailing distance, and EMA toggle. The published backtest settings specify SOL/USDT futures over roughly one year, but no performance results are provided. The document flags false breakouts, ranging markets, fixed position sizing, parameter overfitting, time-zone alignment, and holiday effects as limitations; it also notes that the strategy allows at most one trade per session.

Key ideas

• The first 15 minutes of each session define a high-low range used for breakout entries.
• A minimum range threshold and optional five-minute EMA filter qualify entries.
• Stops and targets scale with the range, and a trailing stop can follow favorable moves.
• The rules limit trading to one entry per session, but false breakouts and choppy conditions remain risks.
• Published backtest settings identify the instrument and period but provide no outcome statistics.

Tags

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