Opening Range Breakouts with VWAP, Volume, and Risk Controls

Summary

This intraday strategy records the high and low during a configurable opening window, then takes long or short breakouts of that range during the selected session. Optional filters require a range size within ATR-based bounds, volume above its moving average, price on the appropriate side of a session-anchored VWAP, and closes that remain beyond the range for a chosen number of bars. It limits trades per session and closes positions at the session end.

Stops can use the opposite side of the opening range or an ATR distance. Targets use a configurable reward multiple, with an optional partial exit and stop movement to breakeven. Position size can be based on a chosen fraction of equity risk per trade, capped by a maximum position value, or set as a fixed equity fraction. The script includes chart markings and assumed costs, but gives no backtest results. Its session handling and filters require careful checks across instruments, time zones, and chart intervals; the code explicitly requires intraday data.

Key ideas

• The method trades breaks above or below a session opening range after that range is established.
• Optional confirmation uses range size relative to ATR, volume, session VWAP, and closes beyond the boundary.
• Stops may use the far side of the range or an ATR multiple, while targets and partial exits are configurable.
• Risk-based sizing limits exposure using stop distance and a maximum position value.
• Positions are closed at session end, and the document provides no evidence of profitability.

Tags

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