Stretch-Based Opening Range Breakout and Directional Preference

Summary

The document explains the Stretch, a volatility measure calculated as a 10-period average of the smaller distance between each bar’s open and its high or low. It uses that measure to set session breakout levels around the open, forming a channel that can be viewed across timeframes.

For a two-sided opening range breakout, buy and sell stops sit beyond the upper and lower thresholds. The first triggered order enters a position, and the opposite threshold becomes the protective stop. A one-sided variant places an entry order only in the direction indicated by other trend signals. The document also describes Crabel’s reported observation that earlier entries were more likely to be profitable by the close, suggesting smaller positions for later entries and caution about holding them overnight. It provides no detailed study data, market scope, or rules for validating these claims, so the ideas require independent testing and risk controls.

Key ideas

• The Stretch averages the smaller open-to-high or open-to-low distance over ten periods.
• Breakout levels are set by adding and subtracting the Stretch from the session open.
• In the two-sided setup, the first triggered order enters and the opposite threshold serves as a protective stop.
• A directional preference setup takes breakouts only in the direction supported by other trend indicators.
• The document reports that earlier entries were more likely to finish profitably, but supplies no supporting study details.

Tags

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