Night-Range Breakouts with SAR Exits and Risk-Based Position Sizing

Summary

This intraday index strategy trades breaks of the overnight high or low during a morning entry window. It uses recent highs and lows to define levels, adds a configurable spread to some stop or limit orders, and uses the Parabolic SAR to shape entries and exit orders. The code allows orders to accumulate and sets trading hours. Position size is calculated from account equity, a user-set risk fraction, the distance between recent price extremes, and instrument point-value and pip-size inputs.

The author presents the system as an early prototype and invites improvement, including possible live use. The document names DJIA, DAX, and PXI in its heading, but gives no backtest, sample trades, or performance statistics. Its code also leaves key parameters to the user and does not explain how the risk calculation behaves across instruments or changing conditions. The rules therefore illustrate a breakout and risk-sizing approach, not evidence that the system is profitable or ready for live trading.

Key ideas

• The strategy defines an overnight range and places trades around breaks of its high or low.\nA configurable spread adjusts selected entry and exit order levels.\nParabolic SAR conditions guide entries and protective exit orders.\nPosition size is tied to equity, a risk fraction, recent price range, and contract specifications.\nThe author supplies code but no performance evidence, and presents the system as an early prototype.

Tags

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