Optimized NQ ORB Strategy (Fixed)

🧠 Strategy Description
Optimized NASDAQ Futures Opening Range Breakout (ORB) Strategy

This script implements a dynamic and risk-aware Opening Range Breakout (ORB) strategy tailored for trading NASDAQ futures (NQ) during the regular U.S. market session.

⚙️ Core Logic:
ORB Definition: The opening range is defined from 9:30 AM to a user-defined time window (default: 15 minutes).

Breakout Triggers:

Long: Triggered when price closes above ORB high and VWAP in an uptrend.

Short: Triggered when price closes below ORB low and VWAP (optional, disabled by default).

Trend Filter: Long entries must align with a 50-period SMA uptrend.

Volatility Filter: Trades are allowed only when ATR exceeds a minimum threshold.

ORB Range Filter: Prevents trades on low-range, choppy days by skipping narrow ORBs.

VWAP Confirmation: Ensures trades align with real-time market sentiment.

💼 Risk Management:
ATR-based Stop Loss & Take Profit: Stops and targets are dynamically calculated using a multiple of ATR.

Daily Profit Target: Automatically closes all positions when the profit target is reached.

Breakeven Protection: After price moves 1x ATR in your favor, stops are moved to breakeven.

Time-Based Exit: All positions are flattened at 2:45 PM to avoid end-of-day volatility.

Max Position Size: Contracts are calculated based on a fixed risk percentage per trade, capped by a max contracts limit.

📊 Customizable Inputs:
ORB window duration

Max contracts

Risk per trade

ATR multiplier

Minimum volatility (ATR) required

Minimum ORB range in points

Enable/disable short trades

Daily profit target

One-trade-per-direction filter

🧪 Ideal Usage
Best used on 1-min or 5-min NASDAQ futures charts (NQ1! or MNQ1!) with extended hours disabled, to match NYSE trading session data. Forward test over 3–6 months of data for optimal results.

📌 Disclaimer
This script is for educational and research purposes only. It does not constitute financial advice. Past performance is not indicative of future results. Always test thoroughly before using real capital.