Strategies/orb_breakout/orb_breakout_mnq_rth

orb_breakout_mnq_rth

orb_breakout · MNQ · RTH

Strategy

Cell

Symbol

Engine-side symbol (e.g. MNQ, MGC).

Contract root

Topstep contract root for live runners.

Session

RTH / PM / ASIA / RTH_15m / GLOBEX.

Notes

Free text. Surfaces in /strategies + audit ledger.

Sizing

Contracts

1..10. Drives engine quantity per fill.

Size mode

fixed / risk_based / atr_scaled.

Max daily loss (USD)

Soft daily cap inside the engine (not Topstep's).

Risk

Panic flatten on disconnect

Always true. Every entry needs an SL by fill-time (engine-level invariant).

true

No overnight

Close any open position before session end.

Max concurrent positions

Almost always 1.

session

Time zone

Local tz used to evaluate or_start / or_end / session_end.

timezone · enum

OR start

or_start · time

OR end

or_end · time

Session end

session_end · time

entry

Breakout buffer (price units)

Trigger fires when bar.high >= or_high + buffer (or bar.low <= or_low - buffer).

breakout_distance · decimal · min 0.1 · max 200

Max signals per day

max_signals_per_day · integer · min 1 · max 20

exit

TP / SL ratio (R)

tp_rr · decimal · min 0.25 · max 10

filters

Min OR range (price units)

min_or_range · decimal · min 0 · max 2000

Max OR range (price units)

max_or_range · decimal · min 1 · max 10000

Use day-of-week filter

use_day_filter · boolean

Skip entries around HIGH-impact news

When on, the backtest harness refuses NEW entries inside the window around any HIGH-impact macro event (NFP, FOMC, CPI). Open positions are NOT touched — stops and exits still fire.

skip_around_high_impact_news · boolean

News block: minutes before event

Default 5 matches trade_guard.EVENT_SKIP_WINDOW_MIN.

news_block_before_min · integer · min 0 · max 120

News block: minutes after event

Default 15 matches trade_guard.EVENT_CAUTION_WINDOW_MIN.

news_block_after_min · integer · min 0 · max 240

sizing

Contracts

contracts · integer · min 1 · max 10

data

Bar timeframe

timeframe · enum

instrument

Tick size

tick_size · decimal · min 0.001 · max 10

$ per point

MNQ=2.0, MGC=10.0, MES=5.0, MYM=0.50.

point_value · decimal · min 0.1 · max 100

Commission $ / contract / side

commission_per_contract · decimal · min 0 · max 25

Slippage (ticks per fill)

slippage_ticks · integer · min 0 · max 200

risk

Entry drift hard cap (ticks)

Skip the signal if the breakout-bar close has run more than this many ticks past the planned trigger entry. Mirrors scripts/runner_entry_gate.py::evaluate_entry_gate (ENTRY_DRIFT_HARD_CAP_TICKS=200). Set high (e.g. 10000) to effectively disable.

drift_hard_cap_ticks · integer · min 1 · max 10000

Dry-run window

30D3mo6mo1Y

Preview runs against the saved cell. Save first to test edits.

Strategy

Simple opening-range breakout. Fires intra-bar the moment bar.high crosses or_high + buffer (long) or bar.low crosses or_low - buffer (short). No retest, no midline confirmation — the entry is the trigger level itself.

Edge thesis

Commodity sessions with concentrated overnight ranges (gold, metals) often resolve directionally on first violation of the Asia/RTH opening band. Skipping the retest captures fast moves the break-and-retest variant misses entirely.

Risk notes

Same-bar opposite-side breaks are skipped (ambiguous). Stop is the opposite range extreme — the same OR-width risk as the retest variant, but earlier entry means slightly worse fills in fast tape. session_end force-flattens; never lean on it.

Path

/home/mats/MWM-AI/projects/mwm-trading/platform/mwmt_platform/cells/orb_breakout_mnq_rth.yaml

Saving runs schema + PARAM_SPEC validation, then atomic write. Every save (accepted or rejected) hits the audit log. API base: http://127.0.0.1:7654.