MES Overnight Range Breakouts and Mean-Reversion Fades
Summary
This strategy combines two approaches for Micro E-mini S&P 500 futures during the Globex session: trading confirmed breaks from an opening range and fading moves back inside that range. It builds the range shortly after the evening open, accepts only ranges within configured size limits, and uses price buffers to confirm breakouts or identify potential fades. Breakout entries also use RSI, volume, and higher-timeframe EMA filters; optional pivot breaks add trend-continuation signals. Fade entries require an extreme RSI reading and a close back inside a range boundary, with the range midpoint as the intended target.
The script describes ATR and pivot-based stops, reward-to-risk targets, a per-session trade cap, and a configurable news blackout. It provides parameter choices and implementation logic, but the supplied excerpt is truncated and includes no backtest results or other performance evidence. The effectiveness of the signals, session handling, and execution assumptions therefore cannot be assessed from this document; thresholds and filters would need independent testing.
Key ideas
- The strategy builds an evening Globex range and filters it by configurable minimum and maximum size.
- Breakout entries require a buffered range break plus momentum, volume, and higher-timeframe bias conditions.
- Mean-reversion entries fade a range extreme after price closes back inside, aiming toward the range midpoint.
- ATR and pivot levels inform stops, while breakout targets use a configurable reward-to-risk multiple.
- A session trade limit and configurable news blackout restrict when entries are allowed.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.