Condition: Max/Min Day Range (Opening Range Breakout)

The Min/Max Day Range function (also known as Range Breakout or Open Range Breakout) in OptionsApp allows you to design strategies based on a defined price range within the trading day. While Option Omega uses the term "Opening Range Breakout" (ORB), this refers exclusively to the range immediately after market open. OptionsApp extends this approach: here, the measurement of any day range can be flexibly configured, regardless of whether it begins immediately after the opening or at a later time.

This condition can be used both as an Entry Condition and as an Exit Condition, for example to only allow entries when a breakout from the defined range occurs.

1. How it works in OptionsApp

In the Configurations section, you can create a new Condition using the plus symbol (either as an Entry Condition or Exit Condition). The settings are configured from left to right:

• Selection of the Underlying (e.g., SPX)
• Definition of the time window for determining the range
• Setting the Breakout Condition (upward or downward, including comparison value)

The Breakout function generally only makes sense as a Trigger.

• For Exit Conditions, this is mandatory anyway, since an exit is always actively triggered by reaching a breakout.
• For Entry Conditions, a Filter could theoretically be used. In practice, however, a Range Breakout almost exclusively makes sense as a Trigger, since the trade should be started at the exact moment the breakout actually occurs.

Learn more about the difference between Filter and Trigger

2. Range calculation basis

OptionsApp determines the range based on price data within the configured time window:

• Start Delay: Time in minutes after market open when the measurement should start (e.g., 120 = start at 11:30 US Eastern Time, assuming the market officially opens at 9:30 AM).
• Duration: Duration of the measurement in minute candles (e.g., 30 = range is calculated over 30 minutes).
• Reference value: You can define whether the range is determined using Open, Close, High, or Low values.
  • For an upward breakout, Highs are typically used.
  • For a downward breakout, Lows are used.

After the time window expires, the maximum or minimum value is determined, stored, and used as a reference for the breakout.

Example of a downward breakout with the above parameters:

3. Breakout Condition

Typically, a trade is only opened (or closed) when the current price exceeds or falls below the defined range.

• Example: Long Setup - Condition reads "SPX Close (Minute) > Max Day Range".
• Example: Short Setup - Condition reads "SPX Close (Minute) < Min Day Range".

4. Application example

A trade should only be opened if the range from 10:30 AM ET to 12:30 PM ET breaks upward:

• Condition: SPX Close (Minute) > Max Day Range
• Start Delay: 60
• Duration: 120
• Reference value: High

If you want to execute the example as an Open Range Breakout, you would set Start Delay = 0.