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Opening Range Breakout

Version: v.2.0.0.0

Opening Range Breakout

Description

Use the first 5-minute candle after market open (9:30-9:35 EST) to define market direction. Enter a trade in the same direction as that candle, expecting a breakout continuation.

Properties

General Parameters

  • Max qty per/trade [default: 70, range: 1–∞] — Max qty per trade.
  • ORB Time [default: 09:35] — Session Open Range Breakout start time.
  • Stop loss (% Daily ATR) [default: 5, range: 0.001–∞] — Stop loss (% Daily ATR).
  • Use Profit target [default: true] — Use Profit target.
  • Profit target (% Daily ATR) [default: 25, range: 0.001–∞] — Profit target (% Daily ATR).
  • Daily ATR period [default: 14, range: 1–∞] — Daily ATR period.
  • Use ML.NET filter? [default: false] — Use ML.NET filter?

Ensemble Models

  • Use LightGbm [default: true] — Enable LightGbm classifier.
  • Use FastTree [default: true] — Enable FastTree classifier.
  • Use FastForest [default: true] — Enable FastForest classifier.
  • Use SDCA LogReg [default: true] — Enable SDCA logistic regression.
  • Use LBFGS LogReg [default: true] — Enable LBFGS logistic regression.
  • Use Averaged Perceptron [default: true] — Enable Averaged Perceptron classifier.
  • Use SGD Calibrated [default: true] — Enable SGD calibrated classifier.

Feature Params

  • (Slope) Start Bars Ago [default: 14, range: 1–∞] — Start bar (ago) for VWAP slope.
  • (Slope) End Bars Ago [default: 0, range: 0–∞] — End bar (ago) for VWAP slope.
  • (Delta) Type [default: BidAsk] — Cumulative delta calculation type.
  • (Delta) Period [default: Session] — Cumulative delta period.
  • (Delta) Size Filter [default: 0, range: 0–∞] — Delta size filter (0 = off).
  • (VWAP) Resolution [default: Tick] — The data the indicator will run off of.
  • (VWAP) Standard deviations [default: Two] — The VWAP indicator to use for the strategy.
  • (VWAP) SD1/SD2/SD3 Multiplier [default: 0.75, 1.5, 3, range: 0.001–∞] — VWAP SD multipliers.
  • (ATR) Period [default: 14, range: 1–∞] — ATR period for features.
  • (MACD) Fast/Slow/Smooth [default: 12, 26, 9, range: 1–∞] — MACD periods.
  • (Gap) Session Start Time [default: 08:30] — Local time of the first bar of the session used for gap calculation.
  • Signal Offset Bars [default: 0, range: 0–∞] — Bars ago to read input signal.

ML Engine

  • Enable Logging [default: false] — When enabled: Print() to Output window and write MLEngine.log.
  • Show Metrics Table [default: true] — Show ensemble metrics table on chart.
  • Show Probability [default: true] — Show probability label on chart.
  • Use Metrics Filter [default: false] — Block signals if metrics below thresholds.
  • Use Auto Weights [default: true] — Auto weight models by AUC and F1.
  • Min Probability [default: 0.5, range: 0–1] — Minimum ensemble probability to pass signal.
  • Bars Ahead [default: 60, range: 1–∞] — Bars ahead used for labeling training samples.
  • Records Before Retrain [default: 10, range: 1–∞] — Minimum samples before retraining.

ML Metrics Filter

  • Min AUC [default: 0.0, range: 0–1] — Minimum AUC required to pass metrics filter.
  • Min F1 [default: 0.0, range: 0–1] — Minimum F1 score required to pass metrics filter.
  • Min Accuracy [default: 0.0, range: 0–1] — Minimum accuracy required to pass metrics filter.
  • Min Precision [default: 0.0, range: 0–1] — Minimum precision required to pass metrics filter.
  • Min Recall [default: 0.0, range: 0–1] — Minimum recall required to pass metrics filter.

Probability Style

  • Probability font — Font family for probability labels.
  • Probability color — Text color for probability labels on chart.
  • Probability offset (ticks) [default: 0, range: -∞–∞] — Vertical offset in ticks.

Table Style

  • Table position [default: TopLeft] — Corner of chart where metrics table is drawn.
  • Table font — Font family for metrics table.
  • Table text color — Text color for metrics table.
  • Table background — Background fill for metrics table.
  • Table outline — Border/outline color for metrics table.
  • Table opacity [default: 75, range: 0–100] — Opacity table (0-100).

Money Management Parameters

  • Risk per trade (% Account Cash) [default: 1, range: 0.001–∞] — Risk per trade (% Account Cash Value).

Day of Week

  • Sunday [default: false] — Enable trading on Sunday.
  • Monday [default: true] — Enable trading on Monday.
  • Tuesday [default: true] — Enable trading on Tuesday.
  • Wednesday [default: true] — Enable trading on Wednesday.
  • Thursday [default: true] — Enable trading on Thursday.
  • Friday [default: true] — Enable trading on Friday.
  • Saturday [default: false] — Enable trading on Saturday.

Trading Time

  • Enable Session Close? [default: true] — Enable session close functionality.
  • Session Time Close [default: 16:50] — Session Time Close.
  • Exit On Session Close minutes [default: 5, range: 1–∞] — Minutes before session close to exit positions.

Version Change History

v.1.1.0.0 (Sep 1, 2025)

1) Added current Daily ATR as an additional dimension for training and forecasting ML.NET models.

v.1.1.0.1 (Oct 26, 2025)

1) Removed trading hours start-end settings, as the strategy is based on 1 trade per session and focuses only on the signal start time. Updated trading day logic — if all days are disabled, the strategy now works without restrictions by day and does not stop trading.

v.2.0.0.0 (Mar 9, 2026)

1) ML Engine filter feature added.