Session-Biased Range Breakouts with Regime Filters and Scale-Outs

Summary

This strategy framework builds trade ranges from the Asia session, London session, or a New York opening range, then looks for breakouts during a defined trading window. Its session-bias model compares the London move and range with the Asia range, and can require London to close beyond the Asia boundary. Optional volatility checks evaluate Asia-range compression, London expansion, and the size of the directional move. Entry modes include a direct break, a retest, or a sweep followed by a break; a VWAP filter, range-size limits, and a one-trade-per-day rule are also configurable.

Risk controls include stops referenced to range levels, session extremes, a midpoint, or fixed points, plus either R-based or fixed-distance targets. The script can scale out across three targets, move the stop to breakeven after the first target, and force a time-based flat. The excerpt includes configuration and state-building logic, as well as part of the exits and visuals, but omits portions of the signal conditions. It supplies no backtest results, so the many selectable filters and settings remain hypotheses to evaluate on the intended instrument and session.

Key ideas

• The strategy can define its breakout range from Asia, London, or the New York opening period.
• London direction and size relative to the Asia range can establish a directional session bias.
• Volatility filters assess whether Asia was compressed and whether the London move was sufficiently large.
• Entries can use a direct breakout, a retest, or a sweep before the breakout.
• Stops, multiple profit targets, partial exits, and a timed close provide configurable trade management.

Tags

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