Opening-Range Breakouts with VWAP, ATR, and Direction Filters

Summary

The document introduces an opening-range breakout strategy for MNQ, combining the first minutes of the US session with VWAP and configurable directional bias. The visible settings define the opening-range duration and breakout buffer, set fixed contract sizing, and provide tick-based profit and stop distances. Optional controls include a trailing stop, an ATR-based filter that limits the opening-range size relative to daily ATR, a VWAP filter, and exits on VWAP crosses. Entries are limited to a configurable morning window in Eastern Time, and the script can be set to trade both directions or only one.

The supplied material ends before the entry and exit implementation, so it does not reveal the exact breakout conditions, the meaning of the strategy’s bias logic, or how the filters interact. It provides no backtest period, performance figures, or execution analysis. The visible parameters describe a configurable framework rather than evidence of profitability; outcomes would depend on instrument data, order handling, and the selected settings.

Key ideas

• The strategy builds an opening range during a configurable portion of the US morning session.
• It combines breakout buffers with optional VWAP and daily ATR filters.
• Stops and profit targets are configured in ticks, with an optional trailing stop and VWAP-cross exit.
• The trade direction can be limited to long or short entries, and entries have a morning time cutoff.
• The supplied excerpt omits the signal implementation and provides no backtest results.

Tags

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