Opening Range Breakouts with EMA Filtering and ATR-Based Exits

Summary

This strategy defines an opening range from 07:00 to 08:00 and looks for a later close beyond its high or low during the 14:00–23:00 Europe/Amsterdam session. It enters long above the range or short below it, provided price is also on the matching side of a 50-period EMA. The range is reset daily.

For an open position, the opposite edge of the opening range serves as the stop. The strategy places a limit exit for half the position at a 1:1 reward-to-risk level and manages the remainder with a trailing stop based on the larger of an ATR multiple or half the opening-range width. The document provides the rules and source code, but no performance results or backtest evidence. Its stated session and range times, instrument, and chart settings may affect how signals behave; execution costs, slippage, and broader risk controls are not evaluated.

Key ideas

• The strategy measures the high and low formed during the 07:00–08:00 opening range.
• It enters on a close crossing the range boundary during the stated Amsterdam session, with a 50-period EMA direction filter.
• The opposite range boundary sets the initial stop for each position.
• Half the position targets a 1:1 reward-to-risk exit, while the remainder uses an ATR- and range-based trailing stop.
• The document supplies no backtest results to establish the strategy's performance.

Tags

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