Opening Range Breakouts with VWAP and Higher-Timeframe EMA Filters

Summary

This E-mini S&P futures strategy records the high and low of the first 15 minutes of the New York session, then looks for a close crossing above or below those levels after the range is complete. A long breakout must also be above VWAP and aligned with the higher-timeframe EMA trend; shorts require price below VWAP and below that EMA. The higher timeframe and EMA length are configurable, with a 15-minute timeframe and a 20-period EMA as defaults.

The script enters two contracts when flat, allows at most two trades per day, and limits the strategy to one long and one short attempt daily. Each position receives a fixed point-based stop and target, with the target twice the stated stop distance in the defaults. The document provides rules and code but no performance results, test period, or evidence that the filters improve outcomes. Results depend on timeframe, data, session handling, slippage, and execution, and the fixed distances may not suit changing volatility.

Key ideas

• The opening range is defined by the session high and low during the first 15 minutes after the New York open.
• Entries require a crossing of the completed range boundary, confirmation relative to VWAP, and agreement with a higher-timeframe EMA.
• The strategy uses fixed point-based stops and targets and enters two contracts per trade.
• Daily state limits total trades and prevents repeating the same directional entry, but the document reports no backtest evidence.

Tags

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