Opening Range Breakout and Anchored VWAP Retest Strategy

Summary

This intraday strategy records the high and low during a configurable opening window, then waits for price to close beyond either boundary. After an upside or downside breakout, it looks for a later rejection at the session's anchored VWAP: price must touch or cross the VWAP, close back on the breakout side, and remain within the opposite opening-range boundary. It can restrict direction and limit entries per session.

Entries are made at the signal bar's close, with stops placed either at the other side of the opening range or at an ATR-based distance. A target is set as a multiple of the initial risk, and quantity can be fixed or calculated from a dollar risk budget, subject to a contract cap. The script expects the chart timeframe to match its configured breakout timeframe for exact breakout logic. It provides code and a strategy report link, but the supplied text contains no report figures or evidence of profitability; results would depend on market, timeframe, costs, and execution assumptions.

Key ideas

• The opening range is defined by the session's high and low during a configurable time window.
• A breakout must be followed by a VWAP touch and a close back on the breakout side to trigger an entry.
• Stops can use the opposite range boundary or an ATR-based distance, with targets expressed as a risk multiple.
• Position quantity can be fixed or derived from dollar risk and capped at a maximum.
• The strategy specifies timeframe-dependent logic but the document supplies no performance results.

Tags

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