Opening Range Breakouts and Failed-Breakout Reversals

Summary

This intraday strategy builds an opening range from the chart bars within a configurable session window, then tracks its high, low, and midpoint. After the range ends, the first candle close beyond either boundary establishes the day’s breakout direction. If continuation trading is enabled, it enters in that direction, with the stop set at either the range midpoint or opposite boundary and a target based on a configurable reward-to-risk multiple.

The reversal logic treats a close back inside the range after the first breakout as a possible failure and enters in the opposite direction, using the post-breakout extreme as its stop reference. Settings govern whether reversal remains possible after a continuation trade closes, and whether any open trade is closed at the end of the trading window. The script includes session-based visuals, alerts, and stated commission and slippage assumptions, but the supplied text contains no strategy report or performance evidence. Results depend on chart timeframe, session handling, fill assumptions, and instrument behavior.

Key ideas

• The opening range is calculated from high and low prices during a configurable session window.
• The first close outside the range sets the breakout direction and can trigger a continuation entry.
• Continuation risk uses either the range midpoint or the opposite range boundary as the stop reference.
• A close back inside the range can trigger a reversal against the initial breakout, with the failed move’s extreme defining risk.
• The strategy supports configurable reward-to-risk targets, end-of-session closure, and transaction cost assumptions.

Tags

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