Opening Range Breakout Strategy

Entry Setup Examples

One drawback of Quantower compared to other platforms such as NinjaTrader is that a Quantower strategy can't draw on the chart — only indicators can. This means the strategy analyzes the opening range without being able to draw it for you to visualize; the examples below are hand-annotated to demonstrate the strategy's logic.

Example #1: Entry Setup on MES

On this example, run on MES on the 1-minute timeframe, the opening range is set to span from 09:30 to 09:45 EST, and a Fair Value Gap is required before entering a trade after price retraces to the opening range, with the stop loss set to the SuperTrend level at entry time. After the opening range finished forming, price broke down from the range — the first required event. The strategy then waited for price to retrace back to the range — the second required condition — before arming for entry and waiting for an FVG to trigger it. The sequence for this example was: (1) first breakout from the range (no FVG required), (2) price retraces back to the range, (3) price breaks out a second time from the range with an FVG. The stop loss was calculated from the SuperTrend indicator, and the take profit used a 2:1 ratio, leading to a winning trade.

Entry Setup Parameters Explanations

Enabling/disabling certain parameters changes these required steps. For example: requiring a candle-close breakout, then a retrace, then a second breakout with an FVG; requiring only a single breakout with an FVG and no retrace at all; requiring a candle-close breakout, a retrace, then a second candle-close breakout with no FVG required; or requiring a candle-close breakout, a retrace, then dispatching entry at the very first tick outside the range.

Scenario 1: Requires (1) candle close breakout, (2) price retrace, (3) second breakout with FVG.

Scenario 2: Requires only single breakout with FVG (no retrace).

Scenario 3: Requires (1) candle close breakout, (2) retrace, (3) second breakout with candle close (no FVG).

Scenario 4: Requires (1) candle close breakout, (2) retrace, (3) entry on first tick outside range.

Features

The Opening Range Breakout strategy has a set of unique features:

• No pending orders are placed — only market orders
• Full-auto strategy that can be scaled into multiple instances
• Precise backtesting capabilities based on tick-level playback, achieving precise entry/exit backtesting at the tick level
• A robust in-house order management library, resistant to connection loss, working seamlessly on Rithmic accounts or any other connection

Futures on US Indices or Crypto Pairs

The strategy works seamlessly on both US futures instruments such as ES, MES, NQ, MNQ..., or on crypto futures available on popular crypto exchanges such as ByBit or Binance.

Dynamic Quantity and Risk Management

As with all our strategies, this strategy implements two methods for setting the quantity of open positions:

• Fixed Quantity: uses the same quantity for every position. If the stop loss is variable between positions, win/loss amounts will vary too.
• Dynamic Risk-Adjusted Quantity: calculates each position's quantity from its stop loss, the maximum risk (in $) allowed per position, and the maximum allowed quantity — producing equal win/loss amounts across all positions regardless of stop loss width.

Position Management

As with all our strategies, this strategy implements multiple position management methods: a Classical Trailing Stop, which trails the stop loss based on a trigger and a trailing amount, and a SuperTrend method, which manages the position based on the SuperTrend indicator. The strategy also allows setting the stop loss based on multiple methods and the take profit based on various ratio-based methods — see the Parameters section for details.

Account Management

The strategy implements daily stop-trading triggers based on the net winning position count, the net losing position count, or a target realized net profit or net loss.

Parameters

We try to keep the parameters to a minimum — only the most important are exposed.

Performance Reports

Past results are not a guarantee of future results. All backtesting results are for indicative purposes only.

• Commissions are included, using the Apex trader funding program's commission schema for US futures and ByBit's for crypto futures, for realistic results.
• We run backtests at the maximum precision available on intrabar granularity, using tick-level data series, and only use market orders — never pending orders — in both real-time and backtest modes.

How to Run Accurate Tick-Level Backtests on Quantower

To run backtests on Quantower, first click on the Backtest button as shown below:

Then select the strategy from the list:

Select your symbol (e.g., MES) and click General Settings. Make sure History Type is set to Last and Period is set to Tick:

Finally, set the fees manually — for MES futures, use 0.61 as shown:

No performance reports have been uploaded for this strategy yet.

Download & Installation Instructions

Installation Steps

1

This strategy requires the ATCHATR indicator — download it, then extract it into your Quantower indicators folder (by default {C:\Users\{Windows Username}\Documents}\Quantower\Settings\Scripts\Indicators), making sure it ends up in its own new folder called ATCHATR.

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2

Also download the ATCHSuperTrend indicator and extract it into the same Quantower indicators folder, ensuring it's in its own new folder called ATCHSuperTrend.

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3

Extract the downloaded strategy .zip file into your Quantower strategies folder, by default at {C:\Users\{Windows Username}\Documents}\Quantower\Settings\Scripts\Strategies, making sure it ends up inside a new folder called ATCHOpenRangeBreakoutStrategy.

4

Open the Strategy Manager module from the Quantower menu, click the + button to add the strategy, then open its settings and enter your automated-trading.ch license from the billing page.

Frequently Asked Questions

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