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Opening Range Breakouts with VWAP and Higher-Timeframe EMA Filters

Article Strategy library · Author: reppertpatrick
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Summary

This intraday breakout strategy records the high and low of the opening range from 9:30 to 9:45 New York time. After that window, it enters long on a close crossing above the range high, or short on a close crossing below the range low. A VWAP check and a higher-timeframe EMA filter must support the trade direction. The script uses two contracts, allows at most two total trades per day, and applies a fixed stop and target measured in points from the average entry price.

The document provides source code and chart plotting for the range levels, VWAP, and higher-timeframe EMA, but no backtest interval, report statistics, or execution assumptions. The higher-timeframe filter defaults to 15 minutes with an EMA length of 20, while the stop and target defaults are 32 and 64 points. The script does not show a forced end-of-day close, so positions may persist until a stop or target is reached. Results may depend on chart timeframe, session handling, and fill assumptions.

Key ideas

  • The strategy defines an opening range using the session's first fifteen minutes.
  • It enters only when price crosses the completed range boundary and VWAP agrees with direction.
  • A higher-timeframe close relative to its EMA filters long and short setups.
  • The script limits daily trades and uses fixed point-based stop and target levels.
  • No backtest results or forced end-of-day exit are provided.

Tags

EquitiesBreakoutTechnical indicatorsRisk managementBacktesting

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