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2017issue C0648-56

Overnight volume as a construction step for the opening-range breakout

The archive workflow treats overnight-session volume as a leading input for whether a later day-session opening-range is large enough to trade. The session-clock then builds the first-hour range, arms stop-entry orders only inside an implementation-cost-window, and applies same-session-flatten.

  • Overnight-session volume is a leading input for whether a later day-session range is large enough to trade.
  • Day-session volume is described as correlated with the preceding overnight-session volume, and day-session range is described as correlated with day-session volume.
  • The session-clock separates overnight accumulation, first-hour opening-range construction, the implementation-cost-window, and same-session-flatten.
  • Independent platform ports keep the same three-layer construction: night-volume filter, first-hour range, and time-bounded breakout entries.
Entries in this reading3 entries
Session analysis14 readingsCurrent trackOpening range breakout29 readingsVolume confirmation54 readings

A size filter, not a direction call

The construction treats overnight-session volume as a leading input for whether a later day-session range is large enough to trade. Day-session volume is described as correlated with the preceding overnight-session volume, and day-session range is described as correlated with day-session volume.

Overnight volume versus the five-day average on E-mini S&P

Each day's overnight total stays below the five-day average for most of this week, so the opening-range breakout would stay unarmed; only on 4–5 April does overnight size approach the average. Session totals were read from the lower pane of the NeuroShell screenshot, which plots night volume against a five-day average on a 0–800,000 scale.
Each day's overnight total stays below the five-day average for most of this week, so the opening-range breakout would stay unarmed; only on 4–5 April does overnight size approach the average. Session totals were read from the lower pane of the NeuroShell screenshot, which plots night volume against a five-day average on a 0–800,000 scale.E-mini S&P 500 continuous · 15-minute · 2017-03-27T00:00:00.000Z to 2017-04-05T00:00:00.000Z

NeuroShell's port uses 15-minute bars and a five-session average of overnight volume, with clock times shifted to Eastern. The published figure does not deduct slippage or commissions. Values are read to the nearest 10,000 from a 100,000-unit grid.

How overnight volume is accumulated

Overnight volume is accumulated only while the session-clock sits inside a wrap-aware night window. The completed overnight-session total is then compared with the overnight-volume-average multiplied by the volume-ratio-threshold. Default session construction uses a night window from 0000 to 0830 and a first-hour opening-range from 0830 to 0930.

Opening-range stop-entry

The opening-range high and low are built only during the first-hour window. After that window ends, those extremes become the stop-entry prices.

When a new order may be armed

A new long or short is armed only when overnight volume exceeds its overnight-volume-average, the session-clock is after the range window and before a no-entry cutoff, and there is no open position. The implementation-cost-window is that limited interval after the opening-range during which new entries are allowed. One platform implementation sets the no-entry cutoff at 1400 and applies same-session-flatten so that all positions are forced flat at the session close.

The same three layers across ports

Independent platform ports keep the same three-layer construction: night-volume filter, first-hour range, and time-bounded breakout entries.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
24 of 25 in the Opening range breakout track
20178-11 pp.Next on Opening range breakoutNight-volume gate for opening range breakoutsNight-volume is the volume accumulated from midnight to 08:30. It is compared with its recent average before the first-hour-range is allowed to generate an Opening range breakout.
All readings on this track · 25 readings
  1. 1988Early entry as the session switch for an opening-range breakout
  2. 1989Evaluating inside-day filters on opening-range breakouts
  3. 1989Opening-range breakout after a narrow-range-four session
  4. 1989A joint contraction setup as the arming switch for an opening-range breakout
  5. 1989Next-session opening-range rules after a bear hook
  6. 1989Same-session exits from multi-day open-close codes
  7. 1989A close-to-close sequence is a bias label, not a trigger
  8. 1989Inside-day contraction as a same-session open-to-close rule
  9. 1990Evaluating five-day soybean open-to-close rules
  10. 1990Hourly breakouts gated by absolute tick volume
  11. 1993Premarket setup selection and opening-range rules
  12. 1994First-hour opening-range construction as a refusal problem
  13. 1995Why historically tested rules fail without a decision process
  14. 2001The opening range as a measuring stick for a ladder breakout
  15. 2001Evaluating an opening reaction as one timed stop procedure
  16. 2003Swing trading, opening-range checks, and the decision to stand aside
  17. 2006Monitor each opening-range setup as its own regime
  18. 2006Midday breakout rules from the opening range
  19. 2007Opening-range breakout as one session procedure
  20. 2007Evaluating same-day opening range entry rules
  21. 2008Overnight auction regimes and the intraday hold-or-exit choice
  22. 2010Construct a market-state-first range-breakout system as one procedure
  23. 2013Opening-hour stop as a session filter
  24. 2017Overnight volume as a construction step for the opening-range breakout
  25. 2017Night-volume gate for opening range breakouts
By fieldAuction and volume33 readingsBy year2017100 readings
All 29 readings tagged Opening range breakout
Also on Opening range breakout5 readings
2017Night-volume gate for opening range breakoutsSession analysis2007Evaluating same-day opening range entry rulesSession analysis2007Opening-range breakout as one session procedureSession analysis2008Overnight auction regimes and the intraday hold-or-exit choiceSession analysis2013Opening-hour stop as a session filterSession analysis