MNQ Opening Range Breakouts with Volume and Retest Filters

Summary

This strategy builds a 30-minute opening range for MNQ futures from 9:30 to 10:00 Eastern, then looks for trades after the range is fixed. A breakout requires a close beyond the range edge by default, elevated volume relative to its moving average, and a range size within ATR-based minimum and maximum thresholds. Optional retest logic looks for price to revisit the broken boundary and hold it within a limited number of bars.

Trades use either the opposite range edge or an ATR-based stop, with staged profit targets based on extensions of the opening range. The script also defines a daily loss cutoff and closes open trades near the end of the session. It provides implementation detail and configurable rules, but the supplied text includes no strategy report or performance evidence. Some comments and settings describe risk limits, yet the document does not establish that these controls or entries perform as intended in live trading.

Key ideas

• The strategy defines the opening range using the first 30 minutes of the Eastern session.
• Breakouts are filtered by closing price, relative volume, and ATR-scaled range width.
• An optional retest entry requires price to revisit and hold the broken range boundary.
• Stops and staged targets are calculated from the range or ATR, with a daily loss cutoff and end-of-day close.
• The document supplies code and parameters but no backtest results or evidence of live performance.

Tags

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