FDAX Open Range Breakout Strategy

4 Ogo

The Open Range represents the first N minutes of session trading, establishing the day's initial high and low. These levels serve as significant psychological boundaries that often act as support/resistance throughout the trading session.

4 Ogo

Nota Keluaran

# Open Range Breakout Strategy

## Overview
This is a sophisticated intraday trading strategy designed for the FDAX futures market that utilizes the Open Range (OR) concept. The strategy identifies key levels during the opening period and trades breakouts from these levels with advanced risk management and session-based logic.

## Core Concept
The Open Range represents the first 5 minutes of trading (configurable duration), establishing the day's initial high and low. These levels serve as significant psychological boundaries that often act as key levels throughout the trading session.

## Strategy Logic

### Entry Conditions
1. **Open Range Formation**: The strategy waits for the OR to be established (configurable duration)
2. **Breakout Confirmation**: Trades are only taken after the OR period ends
3. **Directional Bias**:
- Long trades: When price closes above OR high
- Short trades: When price closes below OR low

### Advanced Trade Management
- **One Active Position**: Only one trade allowed at any time
- **Multiple Trades Per Session**: Can take multiple trades when no positions are open
- **No Direction Restrictions**: Can take trades in the same direction multiple times if conditions met
- **Session-Based**: All positions automatically closed at session end

### Risk Management
- **Fixed Risk**: 1% of initial account balance per trade (configurable)
- **Position Sizing**: Automatically calculated based on stop loss distance and FDAX contract multiplier (€25/point)
- **Risk-Reward Ratio**: Configurable (default 2:1)
- **Stop Loss**: OR low for longs, OR high for shorts
- **Take Profit**: Calculated based on risk-reward ratio
- **Session End**: All positions automatically closed before session end

## Key Features

### Session Management
- **Flexible Sessions**: Configurable start and end times
- **Timezone Support**: Multiple timezone options (UTC, Berlin, New York, Tokyo, London)
- **Session Boundaries**: Clear visual separation between trading and non-trading periods
- **Early Close**: Positions closed one bar before session end to avoid last-minute issues

### Gap Analysis
- **Session Boundary Detection**: Identifies gaps between trading sessions
- **Gap Classification**:
- Small: 0-0.5%
- Medium: 0.5-1.0%
- Large: >1.0%
- **Visual Indicators**: Color-coded gap markers (yellow/orange/red)
- **Optional Gap Logic**: Can skip breakouts against gap direction

### Position Sizing
- **FDAX Specific**: Uses €25 contract multiplier
- **Risk-Based**: Calculates exact lot size to risk specified percentage of account
- **Minimum Size**: Ensures at least 1 contract per trade
- **Whole Numbers**: Rounds to whole contracts (FDAX requirement)

## Trading Session
- **OR Period**: Configurable duration (default: 5 minutes)
- **Trading Window**: From session start to session end
- **Session End**: Automatic position closure before session end

## Risk Characteristics
- **Maximum Daily Risk**: Limited by session end closure
- **Position Risk**: Configurable percentage per trade (default: 1%)
- **Market Risk**: FDAX futures (highly liquid, tight spreads)
- **Time Risk**: Intraday only, no overnight exposure

## Ideal Market Conditions
- **High Volatility**: Benefits from clear OR breakouts
- **Trending Markets**: Works best when OR levels hold as support/resistance
- **Liquid Markets**: FDAX provides excellent execution
- **Regular Sessions**: Designed for normal trading hours

## Limitations
- **Range-Bound Markets**: May generate false signals in choppy conditions
- **Gap Risk**: Large overnight gaps may invalidate OR levels
- **Session Dependency**: Only works during specified trading hours
- **Single Market**: Optimized for FDAX, may need adjustments for other instruments

## Configuration Options
- **Session Times**: Flexible start and end times
- **OR Duration**: Configurable formation period (1-120 minutes)
- **Risk Percentage**: Adjustable risk per trade (0.1% - 10%)
- **Risk-Reward Ratio**: Configurable profit targets
- **Gap Logic**: Optional protection against gap direction breakouts
- **Timezone**: Multiple timezone support for global markets