Opening Range Breakout

// ============================================================
// Opening Range Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: 1 hour
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false
DEFPARAM PreloadBars = 10000

// --- Parameters ---
positionSize = 2          // contracts per trade
maxAmplitude = 32.5       // widest day range still traded, also the stop in points
minAmplitude = 11         // minimum gap between the two entry levels
orderDistance = 4         // entry levels sit this far inside the range edges
minRangePct = 30          // price must pull back this share of the range before a level is set

// --- Indicators ---
ONCE sessionStarted = -1

// Holiday calendar: no trading on 1 May and on 24, 25, 26, 30 and 31 December.
IF (Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31)) THEN
  tradingDay = 0
ELSE
  tradingDay = 1
ENDIF

// New day: clear both entry levels and fill flags.
IF IntradayBarIndex = 0 THEN
  buyThreshold = 0
  sellThreshold = 0
  longFilled = 0
  shortFilled = 0
  sessionStarted = 1
ENDIF

// Build today's range until both entry levels are set.
IF sessionStarted = 1 AND tradingDay = 1 THEN
  IF buyThreshold = 0 OR sellThreshold = 0 THEN
    rangeHigh = Highest[IntradayBarIndex + 1](high)
    rangeLow = Lowest[IntradayBarIndex + 1](low)
    daySpread = rangeHigh - rangeLow
    minSpread = daySpread * minRangePct / 100

    IF daySpread <= maxAmplitude THEN
      IF sellThreshold = 0 AND (close - rangeLow) >= minSpread THEN
        sellThreshold = rangeLow + orderDistance
      ENDIF
      IF buyThreshold = 0 AND (rangeHigh - close) >= minSpread THEN
        buyThreshold = rangeHigh - orderDistance
      ENDIF
    ENDIF
  ENDIF
ENDIF