Multi-Timeframe Index Pullback and Opening Range Breakout Strategy
Summary
This strategy combines a weighted monthly, weekly, and daily trend bias with intraday entries during the New York morning session. It measures each timeframe by whether price is above or below a 21-period EMA, then uses the weighted score to classify bullish or bearish conditions. Entries require alignment with that bias, price relative to both an intraday EMA and VWAP, and ATR greater than its recent average.
The model offers two entry patterns: an EMA pullback and a break beyond the opening range, with prior-day highs and lows plotted as reference levels. Stops are placed one ATR beyond the signal bar, while exits take partial profit at 1.5 times initial risk and target a configurable runner multiple. The description claims a moderate win rate and positive expectancy, but supplies no supporting backtest data, sample, or market-specific results. Its stated use is liquid index products in trending, volatile sessions; performance in other conditions is not established.
Key ideas
- A weighted monthly, weekly, and daily EMA comparison sets the directional bias.
- Entries are limited to the New York morning and require price alignment with the intraday EMA and VWAP.
- The strategy combines EMA pullbacks with breakouts beyond the opening range.
- ATR determines the protective stop distance, with partial and runner profit targets based on risk multiples.
- The stated performance expectations are not accompanied by backtest evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.