Opening Range Breakout Trading with Filters and ATR Stops

Summary

This script implements an opening range breakout strategy with configurable trade filters and risk controls. It enters long or short positions when price breaks the range established by the opening period, then sets a target using a chosen risk-reward multiple. Stops can be based on ATR, selected candle highs or lows, or the opening range midpoint. Position size is calculated from a user-selected percentage of equity and the distance to the stop.

Optional filters restrict trades by time of day, weekday, month, direction, or relative volume. The script also supports moving a stop to breakeven after a chosen R multiple and can send trade alerts in several formats. The document provides implementation details and settings, but no backtest results or evidence that the strategy is profitable. Results will depend on the market, timeframe, opening range definition, and execution assumptions; the configurable filters do not establish that a setup is robust.

Key ideas

• The strategy takes trades when price breaks above or below an opening range.
• Stops may use ATR, prior candle levels, or the range midpoint.
• Position size is based on the selected equity risk and stop distance.
• Time, weekday, month, direction, and relative-volume filters are optional.
• A breakeven rule can move the stop after price reaches a selected risk multiple.

Tags

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