Day Trading QQQ ORB – Trading Rules

A. Identifying the Opening Range

1. Define Opening Range Window:
   • Duration: window_size minutes (e.g., 5, 10, 15, 20 minutes).
   • Start Time: 9:30 AM ET (market open).
   • End Time: Calculated based on window_size (e.g., for 5 minutes, end at 9:35 AM).
2. Calculate Opening Range Metrics:
   • Open: Open price of the first bar in the window.
   • High: Maximum high within the window.
   • Low: Minimum low within the window.
   • Close: Close price of the last bar in the window.
3. Minimum Movement Condition:
   • $Formula: ∣First Window Close−First Window Open∣ ≥ 0.02%×First Window Open$ X First Window Open
   • Purpose: Ensure sufficient price movement before initiating a trade.
   • Action: If the condition is not met, no position is taken for the day.

B. Determining Position Direction

1. Long Position:
   • Condition: Closing price of the opening range > Opening price of the opening range.
2. Short Position:
   • Condition: Closing price of the opening range < Opening price of the opening range.
3. No Position:
   • Condition: Closing price of the opening range = Opening price of the opening range.
4. Entry Timing:
   • Action: Enter the position at the open price of the next bar immediately after the opening range window.

C. Risk Management

Define Risk (R):

Set Profit Target (10R):

D. Exit Conditions

Positions are exited based on the following prioritized conditions:

1. Profit Target Hit (10R):
   • Long Position: Exit when the price reaches or exceeds the profit target.
   • Short Position: Exit when the price reaches or falls below the profit target.
   • Action: Exit at the profit target price immediately upon condition met.
   • Recording: Mark profit_target_hit as Yes and note the timestamp.
2. Stop Loss Hit:
   • Long Position: Exit when the price falls to or below the stop loss.
   • Short Position: Exit when the price rises to or above the stop loss.
   • Action: Exit at the stop loss price immediately upon condition met.
   • Recording: Mark stop_loss_hit as Yes and note the timestamp.
3. End-of-Day (EOD) Exit:
   • Condition: Neither the profit target nor the stop loss is hit by the end of the trading day.
   • Action: Exit at the close price of the last bar (3:55 PM ET).
   • Recording: Mark exit_condition as ‘EOD’.

E. Trade Outcome Determination

• Win:
  • Condition: The percentage return is positive.
  • Scenarios:
    • Profit Target Hit: Achieves a substantial gain (10R).
    • EOD Exit with Positive Return: Ends the day with a net gain.
• Loss:
  • Condition: The percentage return is negative.
  • Scenarios:
    • Stop Loss Hit: Incurred a predefined loss.
    • EOD Exit with Negative Return: Ends the day with a net loss.