A classic breakout strategy is taking the high and low points of the RTH session, a.k.a the Opening Range. For index futures there was a tradition for marking the high and low points during the first 30 minutes. Following this time window, one would take long positions above the opening range and shorts if the market moved below. This would then form the basis for the breakout strategy.
There are various approaches for the Opening Range breakout strategy. The best know versions are Toby Crabel’s outlined in his book: “Day Trading with Short Term Price Patterns and Opening Range Breakout”, and Mark Fisher’s “The Logical Trader”. In the posts below, we review variations of them, adjusting to the current market environments.