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Opening Range Breakout Strategy

This strategy defines an opening range and trades breakouts above or below it. After the opening range window closes, if the width exceeds a percentage of the close price, stop orders are prepared at the range boundaries. Positions use a stop loss and profit target based on the range size. Optionally only one trade per day is taken, and losing trades may reverse. All positions are closed at the end of the session.

Details

  • Entry Criteria:
    • Long: price breaks above the opening range high.
    • Short: price breaks below the opening range low.
  • Long/Short: Both.
  • Exit Criteria:
    • Stop loss or profit target based on range.
    • End-of-day flat.
  • Stops: Yes.
  • Default Values:
    • Opening range = 09:30–10:15.
    • Day end = 15:45.
    • MinRangePercent = 0.35.
    • RewardRisk = 1.1.
    • Retrace = 0.5.
  • Filters:
    • Category: Breakout
    • Direction: Both
    • Indicators: Price
    • Stops: Yes
    • Complexity: Medium
    • Timeframe: Intraday
using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

public class OpeningRangeBreakout2Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;

	private decimal _orHigh;
	private decimal _orLow;
	private bool _tradeTakenToday;
	private bool _wasInOr;
	private DateTime _currentDay;
	private bool _orEstablished;

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

	public OpeningRangeBreakout2Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_orHigh = 0;
		_orLow = 0;
		_tradeTakenToday = false;
		_wasInOr = false;
		_currentDay = default;
		_orEstablished = false;
	}

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

		_orHigh = 0;
		_orLow = 0;
		_tradeTakenToday = false;
		_wasInOr = false;
		_currentDay = default;
		_orEstablished = false;

		var sma = new SimpleMovingAverage { Length = 20 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(sma, (candle, smaVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!sma.IsFormed)
					return;

				var day = candle.OpenTime.Date;
				if (_currentDay != day)
				{
					_currentDay = day;
					_orHigh = 0;
					_orLow = 0;
					_tradeTakenToday = false;
					_orEstablished = false;
				}

				var hour = candle.OpenTime.TimeOfDay.TotalHours;
				var inOr = hour >= 0 && hour < 1;

				if (inOr)
				{
					_orHigh = _orHigh > 0 ? Math.Max(_orHigh, candle.HighPrice) : candle.HighPrice;
					_orLow = _orLow > 0 ? Math.Min(_orLow, candle.LowPrice) : candle.LowPrice;
				}

				if (_wasInOr && !inOr && _orHigh > 0 && _orLow > 0)
				{
					var range = _orHigh - _orLow;
					if (range > 0)
						_orEstablished = true;
				}

				// Only one entry per day, no exit logic (just entry)
				if (!_tradeTakenToday && _orEstablished && !inOr)
				{
					if (candle.ClosePrice > _orHigh && candle.ClosePrice > smaVal && Position <= 0)
					{
						BuyMarket();
						_tradeTakenToday = true;
					}
					else if (candle.ClosePrice < _orLow && candle.ClosePrice < smaVal && Position >= 0)
					{
						SellMarket();
						_tradeTakenToday = true;
					}
				}

				_wasInOr = inOr;
			})
			.Start();

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