Opening Range Breakout Strategy for Intraday CSI 500 Futures

Summary

The HAN123 strategy builds a reference range from the high and low observed during the first half-hour of the Chinese equity futures session. After that window, it enters long above the range high or short below the range low, reversing an existing position when the opposite boundary is breached. It is designed for intraday trading in CSI 500 index futures, with positions closed before the session ends.

The description specifies no fixed stop loss or profit target and contains conflicting guidance: it says to permit repeated signals, while also stating that only one trade should be made per day. It identifies false breakouts and potentially large losses as risks, and suggests filters or alternative channel construction for further study. No backtest results are reported; historical testing with realistic fees and slippage is recommended before use.

Key ideas

• The opening range is defined by the session's first half-hour high and low.
• Price breaks above or below that range trigger directional entries and possible reversals.
• The strategy is intended to close all positions before the end of the trading day.
• It has no fixed stop or target, leaving losses potentially large when breakouts fail.
• The description's repeated-signal and one-trade-per-day rules are inconsistent.

Tags

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