Opening Range Breakouts with VWAP Pullbacks and ATR Exits

Summary

This strategy defines an opening range from the first configurable minutes after the 9:30 a.m. New York open. After that window, it seeks a close beyond the range high or low, paired with a VWAP retest and confirmation from the VWAP and nine-period EMA. Long and short setups apply mirrored conditions. The stated settings include a 15-minute range and a risk/reward input of 1.5, while the default position size is 10% of equity.

Stops use one ATR(14) from the signal bar’s close, and targets use the selected risk/reward multiple of ATR. The document explains the intended momentum and pullback rationale and suggests intraday use, but supplies no performance results or market-specific validation. The VWAP toggle is described as optional, though the shown entry conditions always include VWAP checks; the code does not apply that toggle. Results may also depend on chart timeframe and session handling.

Key ideas

• The strategy records the session’s opening high and low during a configurable initial window.
• Long and short entries require a range break plus a VWAP retest and EMA confirmation.
• ATR(14) sets stop distance, while a configurable multiple sets the target distance.
• The described VWAP filter toggle is not used in the displayed entry logic.
• The document gives no backtest results to establish performance.

Tags

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