MNQ Opening Range Breakouts Filtered by VWAP and Daily ATR

Summary

This intraday MNQ strategy builds an opening range from the first configurable minutes after the New York session opens, then places breakout entries beyond its high or low with a tick buffer. It can require price to be on the matching side of VWAP, cap the opening range relative to daily ATR, restrict trade direction, and limit entries to a morning window. It allows one signal per day and marks a direction as missed when its breakout occurs but VWAP blocks entry, preventing a later entry in that direction. Exits use fixed tick targets and stops, optionally supplemented by a trailing stop or a VWAP cross exit.

The script exposes position size and risk settings and includes chart levels, status information, and alert messages. The document provides implementation details but no reported backtest results or evidence of profitability. Results would depend on instrument settings, session data, order-fill assumptions, fees, slippage, and parameter choices; the displayed rules alone do not establish an edge.

Key ideas

• The strategy defines an opening range after the New York open and trades breaks beyond its high or low with a configurable buffer.
• VWAP direction and a daily ATR range ceiling can filter entries, while a time window and daily signal limit constrain trading.
• A breakout blocked by the VWAP filter is recorded as missed, with no later entry allowed in that direction that day.
• Exits can use fixed tick targets and stops, an optional trailing stop, or a VWAP cross.
• The document describes no backtest evidence, so profitability cannot be inferred from the rules or chart tools.

Tags

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