MNQ ORB Strategy - VWAP + Bias by dbmeyers

By dbmeyers

Performance Metrics

Description

MNQ ORB StrategyVWAP Filter + Directional Bias + Overnight LevelsTradingView Pine Script v5 Strategy | Micro E-mini Nasdaq Futures (MNQ)─────────────────────────────────────────────────────────────────────OVERVIEWThis strategy applies Opening Range Breakout (ORB) methodology to the Micro E-mini Nasdaq futures contract (MNQ). It combines a configurable ORB window with a VWAP directional filter, a directional bias control, and overnight high/low level plotting to give traders both systematic entry signals and meaningful market context at the regular session open.The strategy is designed for backtesting and live execution on a 1-minute chart. All inputs are fully configurable so traders can test different ORB windows, tick-based profit targets and stop losses, and VWAP exit behavior without modifying the code.─────────────────────────────────────────────────────────────────────HOW IT WORKSSTEP 1 — OPENING RANGE FORMATION (9:30 to 9:40 ET default)The strategy tracks every 1-minute bar between 9:30 and 9:40 AM Eastern Time, recording the highest high and lowest low of that window. At 9:40 the ORB is locked in for the day and does not change. Two levels are derived from the ORB: - Buy Level: ORB High + buffer ticks — breakout level for longs - Sell Level: ORB Low - buffer ticks — breakdown level for shortsSTEP 2 — VWAP FILTERThe VWAP filter prevents entries that conflict with the intraday trend. This is the most important filter in the strategy because index futures respect VWAP heavily — institutions use it as their primary execution benchmark throughout the session. - Long entries only fire when price is above VWAP - Short entries only fire when price is below VWAP - The VWAP filter can be toggled off for backtesting without itNOTE: If the ORB breaks but VWAP blocks the entry, the opportunity is marked as missed for the day. No re-entry is allowed after the initial breakout bar even if price later crosses VWAP. This prevents late, off-level entries that are a common source of poor fills in practice.STEP 3 — FIRST DIRECTION LOCKOnce price breaks either the buy level or sell level, that direction is locked for the day. The opposite side cannot fire a signal after the first break. This prevents the common scenario where an instrument breaks one direction, reverses, and triggers a second trade in the opposite direction at a far worse price.STEP 4 — DIRECTIONAL BIAS CONTROLThe bias dropdown allows traders to manually set the directional filter each morning based on their market analysis, stage analysis, or trend assessment: - Both — strategy fires long and short signals (default) - Long Only — only long breakouts above the ORB high are taken - Short Only — only short breakdowns below the ORB low are takenThis is particularly useful for traders who use a broader market framework (stage analysis, macro trend, sector strength) to determine daily directional bias before the open. On strongly trending days, running the strategy in one direction only significantly reduces false signals.STEP 5 — OVERNIGHT HIGH/LOW REFERENCE LEVELSThe strategy plots the overnight high and low (6pm prior day to 9:30am current day) as visual reference lines on the chart. These levels are not used in entry logic by default — they are provided as context for manual observation. - Aqua line: overnight session high - Fuchsia line: overnight session lowThe info panel displays the opening context relative to the overnight range — whether price opened above the overnight high (bullish), below the overnight low (bearish), or inside the range (neutral). Traders can use this to inform their daily bias selection before the ORB window opens.STEP 6 — EXIT MANAGEMENTThe strategy places OCO (one cancels other) exit orders immediately upon entry. Two exit modes are available: - Standard TP/SL: fixed tick-based take profit and stop loss - Trailing Stop: activates after price moves trail ticks in your favor, then follows price dynamically with a hard stop as a safety netAn optional VWAP cross exit can be enabled — this closes the position if price crosses back through VWAP against the trade direction. For longs, a cross below VWAP triggers a close. For shorts, a cross above VWAP triggers a close. This exit fires separately from the TP/SL and can reduce losses on failed breakouts significantly.─────────────────────────────────────────────────────────────────────INPUT REFERENCEInput Default Group Description─────────────────────────────────────────────────────────────────────ORB Window (minutes) 10 ORB Settings Length of opening range window in minutesBuffer (ticks) 4 ORB Settings Buffer added above ORB high and below ORB lowContracts 2 Position Sizing Number of MNQ contracts per tradeTake Profit (ticks) 300 Risk Management Profit target in ticks from entryStop Loss (ticks) 150 Risk Management Stop loss in ticks from entryUse Trailing Stop Off Risk Management Toggle trailing stop vs fixed TP/SLTrailing Stop (ticks) 150 Risk Management Trailing stop distance once activatedUse ATR Filter On Filters Skip trade if ORB range exceeds ATR multipleATR Multiplier 1.5 Filters Max ORB range as multiple of 14-day ATRUse VWAP Filter On Filters Long above VWAP only, short below VWAP onlyExit on VWAP Cross On Filters Close position if price crosses VWAP against tradeTrade Direction Both Bias Settings Both / Long Only / Short OnlyEntry Window End 11 Session Settings Hour ET when new entries stop for the dayShow ORB Levels On Display Plot ORB high, low, buy and sell levelsShow VWAP On Display Plot VWAP line and background shadingShow Overnight Levels On Display Plot overnight high and low reference linesShow Info Panel On Display On-chart label showing current settings and status─────────────────────────────────────────────────────────────────────TICK MATH REFERENCEMNQ tick size: 0.25 pointsPoint value: $2.00 per contractTick value: $0.50 per contractTP Ticks SL Ticks TP $ (2 contracts) SL $ (2 contracts)─────────────────────────────────────────────────────────────────────120 60 $120 $60200 100 $200 $100300 150 $300 $150400 200 $400 $200All configurations above maintain a 2:1 reward-to-risk ratio.Break-even win rate at 2:1 R/R = 33.3%─────────────────────────────────────────────────────────────────────CHART VISUALS - Blue line ORB High - Red line ORB Low - Lime line Buy Level (ORB High + buffer) - Orange line Sell Level (ORB Low - buffer) - Purple line VWAP - Green background Price above VWAP (long bias) - Red background Price below VWAP (short bias) - Aqua dashed Overnight session high - Fuchsia dashed Overnight session low - Green triangle Long signal fired - Red triangle Short signal fired - Yellow X Breakout occurred but VWAP blocked entry (entry missed for the day — no re-entry)─────────────────────────────────────────────────────────────────────INFO PANELThe on-chart info panel displays real-time strategy status: - Current bias mode - Contracts and dollar value of TP and SL - ORB range in ticks - ATR filter status (PASS or FAIL) - VWAP side (ABOVE or BELOW) - Overnight context (opened above, below, or inside overnight range) - Whether long or short entry was missed due to VWAP filter - Whether the entry window is currently open─────────────────────────────────────────────────────────────────────BACKTESTING GUIDECHART SETUP - Set chart to MNQ1! or the current active front month contract - Set chart timeframe to 1 MINUTE — only timeframe that produces accurate results - Do not backtest on 5, 10, or 15 minute charts — signal detection will be delayed and fills will be unrealisticSTRATEGY TESTER SETTINGS - Commission: $0.35 per contract per side or $0.00 for comparison - Slippage: 1-2 ticks to simulate realistic market order fills - Capital: set to your intended trading capitalSUGGESTED TEST MATRIXORB Window TP Ticks SL Ticks VWAP Filter VWAP Exit─────────────────────────────────────────────────────────────────────5 min 120 60 On On10 min 120 60 On On10 min 300 150 On On10 min 300 150 On Off15 min 300 150 On On10 min 300 150 Off Off─────────────────────────────────────────────────────────────────────TRADERSPOST INTEGRATIONTradingView alert setup: - Condition: MNQ ORB Strategy - VWAP + Bias → alert() function calls only - Message: {{strategy.order.alert_message}} - Webhook URL: your TradersPost strategy webhook URL - Trigger: Once Per Bar CloseThree alert types are sent: - Buy signal: entry long with quantity - Sell signal: entry short with quantity - Exit signal: closes open position when TP, SL, or VWAP cross firesNOTE: TP and SL are managed by TradingView strategy exits, not byTradersPost. Configure your TradersPost strategy subscription to notoverride exit orders.─────────────────────────────────────────────────────────────────────IMPORTANT NOTES - This strategy is for MNQ futures only. Do not apply to stocks or other instruments without modification. - Always paper trade before going live. - Overnight range plots require extended hours data enabled on your TradingView plan. - Entry window closes at 11:00 AM ET by default. Adjust the Entry Window End input to test different cutoff times. - VWAP resets at 9:30 AM ET (regular session open). Extended hours VWAP behavior may differ from your broker's display.─────────────────────────────────────────────────────────────────────DISCLAIMERThis strategy is provided for educational and backtesting purposesonly. It does not constitute financial advice. Trading futures involvessubstantial risk of loss and is not appropriate for all investors.Always paper trade any new strategy before committing real capital.Past performance does not guarantee future results.

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