Opening Range Breakouts Filtered by Range Size
Summary
This strategy defines an opening range over a configurable exchange-local time window, then measures its high-to-low width as a percentage of the opening price. It labels the range small, medium, or large using adjustable thresholds and permits trades only for small or medium ranges. The stated rationale is that a tighter opening range may leave more room for a move, though the document supplies no research supporting that premise.
During a configurable post-range entry window, a close above the range high triggers a long, while a close below the low triggers a short; the first breakout ends further entries for that session. Stops sit on the opposite edge of the range. Targets can use a risk multiple, a range projection, or no profit target, and an optional timed exit closes positions near the session end. The document describes chart annotations and claims decisions use confirmed price action. It reports no performance results. Backtest conclusions are limited unless commissions and slippage are configured, and the strategy still requires testing across markets and settings.
Key ideas
- The opening range is classified by its size relative to the opening price.
- Large opening ranges are skipped, while small and medium ranges remain eligible.
- A close beyond either range boundary triggers the first trade during the entry window.
- Stops use the opposite side of the opening range, with configurable profit-taking choices.
- Backtests can mislead if trading costs are omitted.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.