BDNS ORB Strategy v3

前天

BDNS Opening Range Breakout Strategy

What This Strategy DoesThis strategy implements an Opening Range Breakout (ORB) system that identifies the high and low prices during a customizable opening period, then trades breakouts above or below these levels with momentum confirmation. The strategy goes beyond basic ORB concepts by incorporating ADX momentum filtering, VWAP directional bias, dynamic position sizing, and sophisticated exit management including breakeven moves and trailing stops.

Core Strategy Logic
Opening Range Definition: The strategy tracks price action during a user-defined opening period (default: 9:30-9:35 AM ET for 5 minutes). During this time, blue horizontal lines appear marking the session high and low. A yellow background highlights this opening range period.
Breakout Detection: After the opening range completes, green and red horizontal lines appear showing the actual entry levels - these are offset from the range boundaries by a configurable number of ticks (default: 24 ticks) to filter out false breakouts and ensure committed moves.
Entry Conditions: Trades trigger when price breaks through these offset levels during the trading window (green background, default until 10:30 AM ET), but only when:

• ADX momentum indicator exceeds threshold (default 24.0) in the breakout direction
  
• Price relationship to VWAP confirms directional bias (when VWAP filter enabled)
  
• Daily trade limits haven't been reached
  
• Large range filtering conditions are met
  

Visual Elements and Usage
Range Lines: Blue lines show the actual opening range boundaries. These appear immediately when the opening session begins.
Entry Levels: Green (long) and red (short) lines show where trades will trigger, appearing after the opening range completes.
Information Table: A data table appears in the top-right showing real-time strategy status including range size in ticks, ADX readings, filter status, trade counts, and momentum conditions.

Position Management:
When in a trade, colored circles appear showing:

• Lime circles: Long position targets (T1, T2, T3)
  
• Orange circles: Short position targets
  
• Red circles: Stop loss levels
  
• Blue crosses: Breakeven levels (when that feature activates)
  
• Purple lines: Trailing stop levels (when position 3 trailing activates)
  

Background Colors:

• Yellow: Opening range session active
  
• Green: Trading window active
  
• Purple: Large range day detected
  
• Gray: Large range day being skipped
  

Position Management System
The strategy uses a three-tier exit approach:

• Position 1: Takes partial profits at first target (default 50% of range size)
  
• Position 2: Exits at second target (default 100% of range size)
  
• Position 3: Either exits at third target or uses trailing stop after Position 2 wins
  

Breakeven Feature: When enabled and price reaches the breakeven trigger level, all stop losses move to a more favorable breakeven level instead of the original stop, protecting against giving back profits.
Trailing Stop System: After Position 2 hits its target, Position 3 automatically switches to a trailing stop that moves in the trader's favor as price continues trending.

Customization for Different Instruments
The default settings are configured for MNQ (Micro NASDAQ futures) but the ORB concept is highly customizable for any futures instrument and timeframe. Range duration, breakout offsets, and filter thresholds should be adjusted based on the specific instrument's volatility characteristics and typical intraday patterns.

Filter Usage Guidelines
ADX Momentum Filter: Essential for avoiding breakouts during consolidation. Higher thresholds (30+) for trending markets, lower (20-25) for more opportunities.
VWAP Filter: Helpful in trending conditions but may reduce trade frequency. Better to disable during range-bound or mean-reverting periods.
Large Range Filter: Critical risk management tool. When the opening range exceeds your threshold:

• Skip: Avoids trades when stops would be too large
  
• Fade: Trades mean reversion back into the range
  
• Trade: Takes breakouts regardless (higher risk)
  

Range Size Considerations: Setting a large range threshold (200-400 ticks) helps avoid days when both sides of the range get tested before any meaningful breakout occurs, which often leads to whipsaws.

Risk Management Features
Dynamic Stops and Targets: All exit levels scale with the opening range size, ensuring risk/reward remains consistent regardless of daily volatility. A 100-tick range day will have proportionally smaller stops than a 300-tick range day.
Position Sizing: Configure contract amounts for each position tier based on account size and risk tolerance.
Daily Trade Limits: Prevents overtrading by limiting trades per direction per day.
Breakout Offset: The tick offset from range boundaries is crucial - too small creates false signals, too large misses good moves. Test different values based on your instrument's typical noise levels.

Advanced Features
Large Third Target: Set Target 3 to 300-500% to essentially hold runners indefinitely, using the trailing stop as the primary exit method for capturing extended trends.
Fade Trading: On large range days, the strategy can trade mean reversion when initial breakouts fail, often providing good counter-trend opportunities.
Time-Based Exits: All positions close at the end of the trading window, preventing overnight risk.

Strategy Properties Used

• Initial Capital: $5,000 (realistic for micro contract trading)
  
• Commission: $0.50 per contract (realistic retail rates)
  
• Position Size: 100% of equity (manages risk through contract quantities and stop placement)
  
• Default quantities: 3/1/1 contracts across the three positions
  

The default settings assume larger account sizes or proprietary trading firm accounts where higher risk tolerance is acceptable. With MNQ at $0.50 per tick, a typical 200-tick opening range with 75% stop loss (150 ticks) would risk $375 on a 5-contract position. For smaller retail accounts, consider reducing position sizes significantly - using only Position 1 (3 contracts) would risk $225, or even reducing to 1-2 total contracts to maintain appropriate risk levels relative to account size.

Getting Started

1. Apply the strategy to your preferred instrument
   
2. Adjust the opening range time and duration for your market
   
3. Set appropriate breakout offset based on typical noise levels
   
4. Configure large range threshold based on your risk tolerance
   
5. Test filter combinations to find what works best for your trading style
   
6. Adjust contract quantities based on your account size and risk management rules
   

The strategy works best on liquid instruments with clear opening sessions and sufficient volatility to generate meaningful ranges. Results will vary significantly based on market conditions, parameter settings, and the specific instrument traded.

I warrant that the information created and published by by me here on TradingView is not prohibited, doesn't constitute investment advice, and isn't created solely for qualified investors.

昨天

發行說明

BDNS Opening Range Breakout Strategy

What This Strategy Does
This strategy implements an Opening Range Breakout (ORB) system that identifies high/low prices during a customizable opening period, then trades breakouts with momentum confirmation. It incorporates ADX momentum filtering, VWAP directional bias, dynamic position sizing, and sophisticated exit management.

Core Strategy Logic
Opening Range: Tracks price action during user-defined opening period (default: 9:30-9:35 AM ET). Blue lines mark session high/low with yellow background.

Breakout Detection: After opening range completes, green/red lines show entry levels offset by configurable ticks (default: 24) to filter false breakouts.

Entry Conditions: Trades trigger during trading window (green background, until 10:30 AM ET) when:

• ADX momentum exceeds threshold (default 24.0)
  
• VWAP confirms directional bias (if enabled)
  
• Daily trade limits not reached
  
• Large range filtering conditions met
  

Visual Elements
Lines: Blue (range boundaries), Green/Red (entry levels)
Position Indicators: Lime (long targets), Orange (short targets), Red (stops), Blue (breakeven), Purple (trailing stops)
Background Colors:

• Yellow: Opening range active
  
• Green: Trading window active
  
• Purple: Large range day detected
  
• Gray: Large range day skipped
  

Position Management
Three-tier exit approach:

• Position 1: Partial profits at first target (50% of range)
  
• Position 2: Exit at second target (100% of range)
  
• Position 3: Third target or trailing stop after Position 2 wins
  

Breakeven Feature: Moves stops to favorable level when trigger hit.
Trailing Stop: Position 3 switches to trailing stop after Position 2 target.

Key Filters
ADX: Essential for avoiding consolidation breakouts. Higher thresholds (30+) for trending markets.
VWAP: Helpful in trends but reduces trade frequency. Disable in range-bound periods.
Large Range: Critical risk tool with three modes:

• Skip: Avoids trades when stops too large
  
• Fade: Trades mean reversion
  
• Trade: Takes breakouts regardless (higher risk)
  

Risk Management
Dynamic Scaling: All exits scale with opening range size for consistent risk/reward.
Position Sizing: Configure contracts per tier based on account size.
Daily Limits: Prevents overtrading.
Breakout Offset: Critical setting - test different values for your instrument's noise levels.

Advanced Features

• Large Third Target (300-500%) for extended trend capture
  
• Fade trading on large range days for mean reversion
  
• Time-based exits prevent overnight risk
  

Default Settings
Configured for MNQ futures but customizable for any instrument:

• Initial Capital: $5,000
  
• Commission: $0.50/contract
  
• Default quantities: 3/1/1 contracts
  

With MNQ at $0.50/tick, typical 200-tick range with 75% stop risks $375 on 5 contracts. Smaller accounts should reduce position sizes significantly.

Getting Started

• Apply to your preferred liquid instrument
  
• Adjust opening range time for your market
  
• Set breakout offset based on typical noise
  
• Configure large range threshold for risk tolerance
  
• Test filter combinations
  
• Adjust contract quantities for account size
  

Works best on liquid instruments with clear opening sessions and sufficient volatility.

I warrant this information is not prohibited, doesn't constitute investment advice, and isn't created solely for qualified investors.