Session High-Low Breakouts Filtered by RSI

Summary

This intraday breakout approach records the high and low during a morning session from 9:00 to 9:15. It proposes going long after a close above the session high with RSI above an overbought threshold, or short after a close below the session low with RSI below an oversold threshold. The document describes target levels 200 price units beyond the range and stop levels at the opposite boundary. Published defaults include a 14-period RSI with thresholds of 60 and 40.

The discussion identifies parameter choice, RSI reliability, post-session volatility, and missing position sizing as limitations, and suggests dynamic stops and risk-based sizing as possible improvements. No backtest performance results are provided, though a one-month BTC/USDT futures test window is listed. The source plots the stated target and stop levels but contains no exit orders using them; it also does not explicitly reset the session range each day. These implementation details mean the written risk controls and session logic are not fully demonstrated by the supplied code.

Key ideas

• The strategy defines a session range using the high and low from 9:00 to 9:15.
• It pairs breakouts above or below that range with RSI thresholds for long or short entries.
• The described targets extend 200 price units beyond the range, with stops at the opposite boundary.
• The source plots target and stop levels but does not implement orders to exit at them.
• The document reports no performance results and identifies position sizing as an unresolved risk.

Tags

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