Nifty Futures Opening Range Breakout with ATR and Swing Trailing Stops

Summary

This intraday Nifty futures strategy builds an opening range from the 09:15–09:30 IST session window and considers entries after that range is locked. It allows a long when the close is above the range high or a short when it is below the range low, subject to direction settings, a maximum opening-range width, and a no-new-entry window. The visible settings cap range width at 0.5% of price and prevent new entries after 14:30 IST. Entries are limited by daily direction flags, and the strategy uses ATR to set an initial stop distance and size positions against a stated equity risk percentage.

The visible code also specifies step-down ATR trailing multipliers, a structural swing lookback, a reversal-candle backstop, and a square-off window. It sets a 1% risk input, 14-period ATR, 1.5 ATR initial stop multiplier, 0.03% commission, and one tick of slippage. The supplied source ends partway through position sizing, so the complete exit and sizing implementation cannot be assessed. No backtest results or performance evidence are included.

Key ideas

• The strategy defines an opening range during the 09:15–09:30 IST session window.
• It signals long above the locked range high and short below the locked range low, subject to width and session filters.
• The visible inputs use ATR-based initial risk, step-down trailing multipliers, and a structural swing lookback.
• Position sizing is tied to an equity risk percentage, with a stated default of 1% per trade.
• The source is truncated during position sizing and provides no backtest results.

Tags

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