Opening Range Breakout with EMA Filter and ATR-Based Trailing Exit

Summary

The strategy records the high and low during a morning opening range, then looks for a close that crosses beyond either boundary during a later trading session. Long entries require price above the range high and a 50-period exponential moving average; shorts require price below the range low and the average. The range and moving average therefore define breakout levels and a directional filter.

For an open position, the opposite edge of the range acts as the stop. The strategy places a limit exit for half the position at a one-to-one reward-to-risk level, while the remaining portion uses a trailing exit based on the larger of an ATR multiple or half the opening-range width. The document describes implementation rules but offers no backtest statistics or market-by-market evidence. Its session times and range hours are specific settings, so results may depend on chart timezone, instrument, and bar interval.

Key ideas

• The strategy defines an opening range from its high and low during the configured morning hours.
• It enters when price crosses a range boundary during the specified later session and agrees with the EMA filter.
• The far side of the opening range sets the initial stop level.
• Half the position targets a one-to-one risk-reward level, while the balance follows a volatility and range-based trailing exit.

Tags

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