Opening Range Breakout Strategy with Trend and Volume Filters

Summary

This strategy builds an opening range from the early New York session, then looks for price to break above its high or below its low during a defined trading window. Entries can require a candle close beyond the range. Optional filters check ADX strength, volume relative to its moving average, price relative to longer and shorter EMAs, VWAP bias, and RSI extremes. The script also offers stop placement choices, a risk/reward target, ATR-based trailing stops, limited re-entry, and a session-end position close.

The document supplies configurable rules and dashboard calculations for win rate, profit factor, net profit, and average wins and losses, but no actual test results or evidence that the strategy is profitable. It is presented for NQ on a 15-minute chart, while its opening range duration and other settings are adjustable. Outcomes will depend on instrument, session handling, execution assumptions, and parameter choices; the dashboard alone does not establish robustness.

Key ideas

• The strategy trades breakouts of the New York opening range during a specified window.
• A close-confirmation option requires a bar to finish beyond the range boundary.
• Optional filters use ADX, volume, EMAs, VWAP, and RSI to screen entries.
• Stops, targets, ATR trailing, re-entry limits, and session-end exits are configurable.
• The dashboard reports backtest statistics, but the document gives no measured performance results.

Tags

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