NQ Opening Range Breakouts with VWAP Bias and ATR Exits
Summary
This intraday Nasdaq futures strategy builds a high-low range from the first configured minutes after the New York open, then looks for closing-price breakouts above or below that range. Long trades can require price above VWAP, while shorts can require price below VWAP; an optional volume condition compares current volume with its moving average. Session hours and a daily trade cap can constrain entries.
Exits use ATR-based stop and target levels, with optional trailing stops, a maximum holding period, and session-end flattening. The accompanying description recommends lower chart timeframes, while the code notes that opening-range timing is approximate on timeframes other than one minute and may work best on one to three minute charts. The document provides no strategy-report results, and its rules do not establish profitability. Results may depend on instrument data, timeframe, and execution assumptions.
Key ideas
- The strategy enters when price closes beyond the opening range after the range is complete.
- VWAP position can filter long and short breakouts by intraday direction.
- An optional volume filter requires activity above its moving average.
- ATR-based stops and targets are supplemented by optional trailing, time, and session-end exits.
- Opening-range timing is approximate on higher timeframes, and no performance evidence is supplied.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.