MNQ Opening-Range Breakouts with VWAP Retest Entries

Summary

This intraday MNQ strategy uses the 09:30–10:00 New York opening range to set direction. After an upside break, it rests a buy limit at a session VWAP; after a downside break, it rests a sell limit there. The entry window is limited to the morning, and the VWAP can be anchored at the regular-session open or the overnight open. The script also includes configurable trade limits, end-of-session flattening, position sizing tools, and optional opening-range size filters.

The document reports historical results from an MNQ one-minute backtest covering 2023–2026 and uses them to motivate side-specific time, month, and weekday filters. It highlights weak short-side samples and explicitly cautions that these rules were selected and measured on the same data; the Monday rule rests on especially few trades, while the opening-range size gate is described as unvalidated. Backtest outcomes also depend on limit-order fill assumptions and bar detail settings. The reported patterns are hypotheses about that sample, not evidence that the rules will persist.

Key ideas

• The opening-range break determines trade direction, while a resting limit at VWAP seeks a retest entry.
• The VWAP anchor changes the entry line and therefore changes the strategy’s trades.
• Historical results motivate filters that apply to shorts by time, month, and weekday.
• The rules were fitted and assessed in-sample, and some filters rely on small samples or remain untested.
• Limit-order fill modeling and bar detail settings affect the backtest.

Tags

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