OPEN-SOURCE SCRIPT

ORB Pro | Session Breakout Scalper

A precision-filtered Opening Range Breakout strategy built for intraday scalping — with multi-layer confirmation designed to cut false breakouts and size risk intelligently.

This strategy trades breakouts of a configurable opening range, but only when volume, volatility, VWAP trend, and price confirmation all line up — reducing whipsaw entries.

Features
Flexible Opening Range

Fully configurable range length, session start/end times, and timezone
Works across regular trading hours and overnight/futures sessions that cross midnight

Multi-Layer Entry Filters (each toggleable independently)

Range-size filter — only trades when the OR is a healthy size relative to ATR (avoids both dead-quiet and blown-out ranges)
Volume confirmation — requires breakout volume to exceed a multiple of average volume
VWAP directional filter — longs only above session VWAP, shorts only below
False-breakout confirmation — requires price to hold beyond the range for N bars before entering

Built-In Risk Management

Choice of stop-loss method: range-based or ATR-based
Configurable risk-reward target with partial profit-taking at a separate R-multiple
Optional breakeven stop after partial exit
Daily trade cap to prevent overtrading
Automatic flatten at session end — no overnight scalp exposure

Smart Position Sizing

Risk-based sizing (% of equity per trade, scaled to stop distance) or flat % of equity
Hard position-size cap to prevent excessive leverage on tight stops

Clean, Toggleable Visuals

Gradient-shaded opening range box (color intensity reflects range size vs. ATR)
Session VWAP line
OR high/low levels plotted for the remainder of the session
Session separators and failed-breakout markers
One-time OR size label (as an ATR multiple) for quick read on range quality

Realistic Cost Modelling

Commission and slippage assumptions built into the backtest engine, so results reflect real-world friction rather than frictionless fills

Notes

Intraday timeframes only. This strategy requires multiple bars within the opening range window to function (e.g. 1–15 min charts). Loading it on Daily+ charts will throw an explicit error rather than silently doing nothing.
Commission/slippage defaults are generic starting points (0.05% commission, 2 ticks slippage) — tune these to match your actual broker/instrument before trusting backtest P&L numbers.
All filters can be disabled individually if you want to isolate and test the raw breakout logic, or strip it down to a simpler ORB system.

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