Time-Based Session Trading with Direction Reversal and Limit Entries

Summary

This intraday system compares the New York 08:00 open with the 18:00 close to classify the day’s direction, then uses the prior day’s direction to decide whether to reverse that signal. It places a limit order at the day’s low for a long or the day’s high for a short, with entry allowed from 18:00 until 08:00 the next day. Unfilled orders are canceled at the cutoff, and open positions can be closed at a configured morning time. Position size is calculated from account capital, a risk percentage, and stop distance; fixed stop-loss and take-profit distances are also specified.

The document gives default risk settings and code logic, but no backtest performance evidence. The reversal rule can enter against a persistent trend, and fixed pip distances may not suit changing volatility or every instrument. The method depends on New York session timing and may miss trades if limit prices are not reached. The code also uses instrument tick size to define a pip and a fixed dollar-per-pip sizing formula, so those assumptions may need adaptation across markets.

Key ideas

• The strategy determines daily direction from prices observed at specified New York times and may reverse the signal based on the prior day.
• It places overnight limit entries at the day’s high or low and cancels unfilled orders at the morning cutoff.
• Stop-loss and take-profit distances are fixed by default, while position size depends on account risk and stop distance.
• A configured morning time closes any position that remains open.
• The document gives implementation details but no performance results, and its timing and sizing assumptions may not transfer across instruments.

Tags

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