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Opening Range Breakout Strategy

The Opening Range Breakout strategy tracks the highest and lowest prices during the first minutes of a trading session. After the range ends, breakout orders are placed beyond the range with a configurable buffer. Targets are derived from a reward-to-risk ratio while stops are set on the opposite side of the range.

Details

  • Entry Criteria:
    • After the opening range, go long when price closes above the high plus buffer.
    • Go short when price closes below the low minus buffer.
  • Long/Short: Both
  • Exit Criteria:
    • Stop and target based on range and reward-to-risk ratio.
  • Stops: Yes
  • Default Values:
    • RangeMinutes = 15
    • RewardRisk = 2.0
    • EntryBuffer = 0.0001
    • SessionStart = 08:00
  • Filters:
    • Category: Breakout
    • Direction: Both
    • Indicators: None
    • Stops: Yes
    • Complexity: Low
    • Timeframe: Any
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

/// <summary>
/// Opening Range Breakout Strategy.
/// Tracks recent high/low range using BB and trades breakouts.
/// Uses EMA as trend filter to determine direction.
/// </summary>
public class OpeningRangeBreakoutStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _bbLength;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _cooldownBars;

	private BollingerBands _bb;
	private ExponentialMovingAverage _ema;

	private int _cooldownRemaining;
	private decimal _entryPrice;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int BbLength
	{
		get => _bbLength.Value;
		set => _bbLength.Value = value;
	}

	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	public OpeningRangeBreakoutStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_bbLength = Param(nameof(BbLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("BB Length", "Bollinger Bands period", "Indicators");

		_emaLength = Param(nameof(EmaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA trend filter period", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Risk");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_bb = null;
		_ema = null;
		_cooldownRemaining = 0;
		_entryPrice = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_bb = new BollingerBands { Length = BbLength, Width = 2m };
		_ema = new ExponentialMovingAverage { Length = EmaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(_bb, _ema, OnProcess)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _bb);
			DrawIndicator(area, _ema);
			DrawOwnTrades(area);
		}
	}

	private void OnProcess(ICandleMessage candle, IIndicatorValue bbValue, IIndicatorValue emaValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_bb.IsFormed || !_ema.IsFormed)
			return;

		if (bbValue.IsEmpty || emaValue.IsEmpty)
			return;

		var bb = (BollingerBandsValue)bbValue;
		if (bb.UpBand is not decimal upper || bb.LowBand is not decimal lower || bb.MovingAverage is not decimal mid)
			return;

		var emaVal = emaValue.ToDecimal();

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			return;
		}

		var price = candle.ClosePrice;

		// Buy: price breaks above upper BB and above EMA (uptrend)
		if (price > upper && price > emaVal && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_entryPrice = price;
			_cooldownRemaining = CooldownBars;
		}
		// Sell: price breaks below lower BB and below EMA (downtrend)
		else if (price < lower && price < emaVal && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_entryPrice = price;
			_cooldownRemaining = CooldownBars;
		}
		// Exit long: price returns to mid BB
		else if (Position > 0 && price < mid)
		{
			SellMarket(Math.Abs(Position));
			_entryPrice = 0;
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: price returns to mid BB
		else if (Position < 0 && price > mid)
		{
			BuyMarket(Math.Abs(Position));
			_entryPrice = 0;
			_cooldownRemaining = CooldownBars;
		}
	}
}