Early entry as the session switch for an opening-range breakout

What the procedure is building

The procedure builds an opening-range breakout around early entry so that entry, cancel, and failure-exit rules can be run as one session sequence.

Early entry is a large one-direction price move during the first five minutes after the daily session open. One-direction early-session moves are described as uncommon, occurring on about 10 percent of days, while 70 to 80 percent of days show rotation or chop without a clear move away from the opening range.

The opening range is the early-session price band around the open that supplies the reference for the breakout distance. An opening-range breakout is an entry at a predetermined distance above or below that range, and the session open is intended to sit at one extreme of the range.

Two constructions of early entry

Type 1 early entry is constructed from a first five-minute range larger than the average of the prior 10 days' first five-minute ranges, an open and close at opposite extremes of that bar, and an equal thrust in the next five minutes.

Type 2 early entry is constructed from a first five-minute range that can exceed the prior 20 days' first five-minute ranges. An immediately equal next-period thrust is treated as hard to manage. The expected continuation is same-direction drift and later acceleration after accumulation.

Place the breakout, then keep or cancel it

One daily procedure places an opening-range breakout in anticipation of early entry and cancels the orders if the ideal action does not appear within the first five to 10 minutes.

Confirmation in a running market

In a defined running market, early entry is used to confirm the existing trend. A further entry is allowed on a pullback of 3/8 to 1/2 of the session range already established.

Early-entry failure and bar-range momentum

Early-entry failure is a valid thrust that does not follow through and may reverse. It is identified when a counter-direction bar expands in range relative to prior confirming bars. A working rule is that no opposing five-minute bar should have a larger range than the first five-minute bar.

Bar-range momentum is the read of whether a 5-, 15-, or 30-minute bar expands or contracts relative to the preceding time units. The failure rule uses that expansion read on the opposing five-minute bar.

Opens outside the prior day

An open outside the prior day's high or low is treated as an intraday spring or upthrust setup. A two-tick move back into the prior day's range is the test for continued travel into that prior range. A later reach to the early-entry extreme is treated as a session-wide momentum shift.

Range-bound sessions and one-direction sessions

Absence of early entry and no clean getaway from an opening-range breakout is treated as a range-bound session in which trend continuation is not authorized. A clear early entry plus opening-range breakout is treated as a one-direction session that the procedure does not fade.