Opening Range Breakout (ORB) 30-Minute

Entry Logic

• Exact entry trigger: Enter long on a 30-minute candle close above the high of the first 30-minute candle of the day. Enter short on a 30-minute candle close below the low.
• Confirmation requirements: Breakout candle volume must be 200% of the 20-period moving average of volume on the 30-minute chart.
• Timeframe required: 30-minute chart for the setup and signal. 10-minute chart for trade management.
• Location context: The breakout should occur above a significant pre-market resistance level for longs, or below a pre-market support level for shorts.
• Market condition requirement: A strong trending environment, confirmed by higher timeframe analysis.

Exit Logic

• Profit target(s): Primary target at 2R. Secondary target at 4R.
• Scaling out rules: Exit 50% at the primary target. Trail the remainder.
• Trailing stop rules: Use a trailing stop below the 10-period EMA on the 30-minute chart for longs, and above for shorts.
• Exit on signal failure: If the price reverses and closes back inside the opening range, exit immediately.
• Exit on opposite signal: An opposing 30-minute ORB signal is a mandatory exit.
• Exit on time expiration: Close all trades one hour before the market close.
• Exit on momentum loss: A bearish divergence on the 30-minute MACD histogram signals a potential exit for a long position.

Stop Loss Structure

• Hard stop location: Place the stop loss one tick below the midpoint of the 30-minute opening range for a long, and one tick above for a short.
• Soft stop rules: None. A hard stop is required.
• Maximum dollar loss per trade: Limited to 1.25% of trading capital.
• Maximum percent loss per trade: 1.25%.
• Structural stop placement: The stop is placed within the structure of the opening range itself.

Risk Management Framework

• Risk per trade: Do not risk more than 1% of the account on a single trade.
• Maximum daily loss limit: 3% of the account. Trading is halted for the day if this limit is reached.
• Maximum weekly loss limit: 7% of the account.
• Maximum drawdown allowed: 25% from the account high.
• Risk-reward ratio requirement: A minimum 2:1 reward-to-risk ratio is required for the first target.

Position Sizing Model

• Recommended sizing approach: Volatility-adjusted position sizing.
• Volatility-based adjustment: The size of the opening range determines the stop loss, which in turn dictates the position size.
• Conviction-based sizing: Full size for A+ setups. Half size for A setups. Avoid B and C setups.
• Scaling in rules: Not recommended for this strategy.
• Scaling out rules: Scale out at pre-determined profit objectives.

Trade Filtering

• Market conditions to avoid: Choppy, low-volume markets with no clear direction.
• Specific setups required: A clean break of the 30-minute opening range on high volume.
• Stock/instrument requirements: Focus on index ETFs and high-beta stocks.
• Time of day restrictions: The setup is only valid for the first 30-minute bar.
• Chop/news avoidance rules: Avoid trading on days with market-moving news events scheduled around the open.

Context Framework

• Trend direction assessment: The trade should be in the direction of the daily and weekly trends.
• VWAP relationship: Price should be holding above VWAP for long trades, and below for short trades.
• Moving average relationship: The 50-period simple moving average on the 30-minute chart should support the direction of the trade.
• Range location: The opening range should be relatively tight compared to the previous day's range.
• Higher timeframe alignment: The breakout direction should align with the prevailing trend on the 4-hour and daily charts.

Trade Management Rules

• When to move stop to breakeven: After the first profit target is hit.
• When to scale out: At 2R and 4R.
• When to add size: Do not add to the position.
• How to handle fast moves vs slow moves: In fast markets, be prepared to take profits sooner. In slow markets, allow the trade more time to develop.

Time Rules

• Optimal trading window: The first 90 minutes of the trading day.
• Times to avoid: Trading this setup after the first 90 minutes.
• Session-specific notes: This strategy is particularly effective on days following a significant market gap.

Setup Classification

• A+ setup criteria: High-volume breakout in the direction of all higher timeframe trends.
• A setup criteria: High-volume breakout with alignment on most higher timeframes.
• B setup criteria: Average volume breakout or some conflicts with higher timeframes.
• C setup criteria: Low-volume breakout against the primary trend. Avoid.

Market Selection Criteria

• Instrument requirements: Liquid instruments with a high average daily volume.
• Volume/liquidity requirements: Minimum 5 million shares traded daily on average.
• Volatility requirements: The instrument should have a history of making sustained directional moves.

Statistical Edge Metrics

• Expected win rate: 35-45%.
• Average win size: 4R.
• Average loss size: 1R.
• Profit factor: 1.8 - 2.5.
• Expectancy per trade: A positive expectancy is mandatory.

Failure Conditions

• Market conditions where strategy fails: Fails in markets that are mean-reverting or range-bound.
• Specific scenarios to avoid: Avoid breakouts that occur after an excessively wide 30-minute opening range.

Psychological Rules

• Key mental discipline requirements: Requires significant patience to wait for the 30-minute candle to form and close. Avoid the temptation to enter early.

Advanced Components

• Market regime detection: Use a regime filter to confirm a trending environment.
• Volatility/liquidity filters: Apply strict filters for volume and volatility.
• Correlation filters: Be mindful of market and sector correlations.
• Multi-timeframe alignment: The 30-minute signal must be confirmed by the hourly, 4-hour, and daily charts.

Location

• Where this setup is strongest: In strongly trending markets, on days with a clear catalyst.
• Where this setup is weakest: In choppy, sideways markets with no clear direction.
• Location changes outcome: A breakout from a major long-term support or resistance level carries more weight.