Opening Range Breakout and VWAP Retest Strategy for MNQ

Summary

This intraday MNQ strategy defines an opening range from 9:30 to 10:00 New York time, then places a limit order at the regular trading hours anchored VWAP from 10:01 onward. The direction comes from the opening range break: after an upside break, a buy limit waits at VWAP for a retest; after a downside break, a sell limit waits there. The script comments describe the setup as designed for a one minute chart and specify standard limit order execution and high bar detail for backtesting.

The visible comments also describe filters derived from a September 2023 to September 2026 backtest, including restrictions on short trades by time, month, and weekday, plus an entry cutoff. The author explicitly cautions that these findings are in sample and fitted to the data; the Monday filter is called especially weak. The provided text ends partway through the source, so complete entry, exit, and risk management rules cannot be assessed here. Reported filter statistics are historical claims in the script comments, not independent validation or evidence of future performance.

Key ideas

• The strategy trades a retest of session VWAP in the direction of the opening range break.
• The opening range spans 9:30 to 10:00 New York time, with orders beginning at 10:01.
• The described long and short entries use resting limit orders at VWAP.
• The author says the time, month, and weekday filters were fitted to the backtest sample.
• The supplied document is truncated, limiting assessment of the full rules and risk controls.

Tags

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