ADAPTIVE ORB SESSIONS — Strategy by VONKAR

By VONKAR

Performance Metrics

Description

ADAPTIVE ORB SESSIONS A multi-session Opening Range Breakout strategy with a built-in adaptive engine that automatically adjusts position sizing and take profit targets based on real-time volatility — no manual tuning required.━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━HOW IT WORKSThe strategy builds an Opening Range during a configurable window for up to three independent sessions (New York, Asia, London). When price breaks above or below the completed range on a confirmed candle close, the adaptive engine evaluates the current ORB range against historical norms and makes two decisions automatically:1. How many contracts to trade (Adaptive Sizing)2. Where to place take profit targets (Adaptive TP)Wide range day? The engine sizes you down and tightens TPs — take quick profits, protect capital. Tight range day? It sizes you up and stretches TPs — let the runners ride. This happens independently per session, per day, with zero user intervention.━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ADAPTIVE SIZING ENGINEInstead of trading a fixed number of contracts, the engine calculates position size dynamically: contracts = floor(Max Dollar Risk / (risk distance × point value))The result is clamped between your Min and Max contract limits. On a volatile day with a 60-point ORB, you might trade 1-2 contracts. On a calm day with a 15-point range, you might trade 5-6. Your dollar risk per trade stays consistent regardless of market conditions.Inputs: • Enable Adaptive Sizing (on/off) • Max Dollar Risk Per Trade • Min / Max Contracts━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ADAPTIVE TAKE PROFIT ENGINEEach session maintains a rolling average of its own completed ORB ranges over a configurable lookback window. When a new ORB completes, the engine compares today's range to the session's historical average and scales your R:R multipliers accordingly: TP factor = average range / today's rangeIf today's range is wider than average, TPs compress (factor 1.0) — there's room to run.The factor is clamped between a Compression Min (default 0.4x) and Stretch Max (default 1.8x) to prevent extreme values. Each session (NY, AS, LDN) tracks its own independent rolling average, so the engine auto-calibrates to whatever instrument and session you're trading.Inputs: • Enable Adaptive TP (on/off) • Lookback Sessions (default 20) • TP Compression Min / Stretch Max━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━SESSION CONFIGURATIONThree fully independent trading sessions, each with its own: • ORB build window (start time + duration) • Trade direction filter (Long Only / Short Only / Both) • Day-of-week filters • Stop loss method (Opposite Side / Midpoint / Fixed Points) • Three take profit levels with independent R:R multipliers • Per-session contract allocation and TP quantity splits • Trailing stop (Stair Stop) with configurable trigger and step • Re-arm capability (re-enter after SL or TP, with max trade limits) • Entry mode (Breakout / Retest Zone / Retest Midpoint)All session times respect your selected timezone.━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━RISK MANAGEMENT • Per-trade dollar risk capping via adaptive sizing • Three-tier TP system with independent quantity splits • Trailing stop (Stair Step) per session • End-of-session auto-flatten • Configurable flat window to avoid restricted trading hours • Day-of-week filters to skip historically weak days • Max daily loss input for prop firm compliance━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━LIVE P&L DASHBOARDReal-time session P&L tracker showing: • Today's P&L per session (NY / Asia / LDN) • Previous day's P&L per session • Open position P&L • Realized totals • Net P&L across all sessions━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ALERT SYSTEMJSON-formatted alert messages on every entry and exit, compatible with TradersPost, Quantower Ghost, and other webhook-based execution platforms. Create one alert with "Order fills only" and paste {{strategy.order.alert_message}} as the message body.━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━DEFAULT CONFIGURATION (MNQ)The strategy ships with defaults tuned for Micro NASDAQ (MNQ) futures on a 5-minute chart: • NY: Both directions, Mon/Wed/Thu/Fri, TP 1R/2R/3R • Asia: Both directions, Sun/Thu, TP 0.5R/1R/1.5R • London: Short only, Mon/Thu/Fri, TP 0.5R/1R/1.5R • Adaptive Sizing: $500 max risk, 1-9 contracts • Adaptive TP: 20-session rolling lookbackThese defaults are a starting point. The adaptive engine is instrument-agnostic — adjust session times, TP levels, and risk parameters for any futures contract (MES, MGC, MCL, etc.) and the engine will auto-calibrate to that instrument's volatility profile.━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━NOTES • Designed for futures markets with extended/overnight sessions • Uses process_orders_on_close and bar magnifier for realistic fill simulation • Commission set to $1.20/contract, slippage to 6 ticks • calc_on_every_tick is OFF for backtest performance • Not financial advice — backtest results do not guarantee future performance

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