Session Opening Range Breakout Strategy with VWAP and Risk Controls
Summary
This intraday strategy records the high and low during a configurable opening-range window, then trades when price closes beyond the range by a configurable buffer. It supports US, Asia, or custom sessions, optional long-only mode, limits on trades per session, and a filter that skips ranges outside a set width. Stops sit at the opposite edge of the opening range, while profit targets scale with its width; open positions are closed near the session end.
The script also calculates session VWAP, moving averages, and ATR for chart context and a status dashboard. These indicators are displayed but do not filter the entry conditions. The code specifies example commission, slippage, margin, and strategy settings, but the document provides no reported backtest results or evidence of profitability. Outcomes may depend on symbol, chart timeframe, session settings, and execution assumptions.
Key ideas
- The strategy builds a range from the opening portion of a chosen session.
- Entries require a close beyond the range and a configurable buffer.
- Stops use the opposite range boundary, and targets scale with range width.
- Trade count, range width, direction, and session end constrain activity.
- VWAP, EMA, and ATR appear as chart context rather than entry filters.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.