One of the few intraday approaches that survives translation into strict rules. Entry, filter, stop and exit.
Key takeaways
- Define the range window and never change it mid-session.
- Filter by gap size and prior-day context to avoid choppy days.
- Most losses come from taking every break; most profits come from the filtered ones.
The opening range breakout takes the high and low of the first fixed window — five, fifteen or thirty minutes — and trades a decisive break beyond it in the direction of the break.
The rule set needs four components. Window length, fixed in advance. A filter: skip the day if the range is unusually narrow or unusually wide relative to its own average, since both produce poor follow-through. Entry on a close beyond the level rather than a touch. Stop at the opposite side of the range or a volatility multiple, whichever is tighter.
Context improves it substantially. Breaks aligned with a gap in the same direction and with the higher-timeframe trend behave differently from breaks against both. Recording these categories separately for fifty trades will usually show that one subset carries the entire edge.
Exits are the hard part. A fixed multiple of the range works reasonably; trailing beyond the first target captures the occasional trend day that pays for the failures. Choose one, write it down, and let the sample tell you.
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