Apex ORB Index Day Trading

Apex Opening Range Breakout — Trading robot for intraday trading of stock indices

Apex Opening Range Breakout is an algorithm for intraday trading of stock indices. It combines trading on the morning range breakout with protective and trend filters. The expert advisor is designed to operate during periods of high liquidity in the US and European markets.

Three independent trading strategies The algorithm allows using trading logics individually or together:

• Opening Range Breakout: Opening positions upon breaking the high or low of the morning price range, which by default forms in the first 15 minutes of the trading session.

• Rebound from range boundaries: Logic for trading false breakouts, where the expert advisor opens positions expecting the price to return inside the price range.

• Pullback to Moving Average: Entering the market on pullbacks to a slow moving average, with a filter for the maximum line crossing to protect against price direction changes.

Risk management and capital control

• Dynamic position volume calculation: The volume of the position is calculated automatically for each trade so that if the protective stop-loss is triggered, the loss is a specified percentage of the account balance.

• Daily loss limit: If the total daily loss reaches the set limit, the expert advisor closes open trades and stops trading until the next day.

• Daily profit limit: Automatic cessation of trading after reaching the target profit to protect funds during sideways price movement at the end of the day.

• Margin control: If the calculated position volume requires more than the specified margin percentage, the algorithm reduces the volume to the allowed limit.

• Portfolio mode: Thanks to customizable order identifiers (Magic Numbers) and a custom position control function, the expert advisor manages only its own trades. This allows running multiple copies of the algorithm on a single trading account along with other expert advisors.

Filters and position management

• Volume Weighted Average Price: Calculation of the volume-weighted average price to determine the direction of the main market movement.

• Volatility calculation: The algorithm excludes candles with an abnormally large range and candles without directional movement from calculations, providing smoothed data for the stop-loss movement function.

• Volatility trailing stop: The algorithm calculates volatility on a five-minute chart. The protective order is kept at a greater distance during impulse movements and is pulled closer to the current price when volatility decreases.

• Daily range filter: Prohibition on opening positions if the price of the instrument has already covered a specified percentage of its average daily movement norm.

• Day of the week filter: The ability to disable trading on specific days.

• Data recovery: Two-step placement of protective orders and a session data recovery function that prevents the opening of incorrect trades during a late start or terminal restart.

Setup and testing recommendations

• Working period: The logic of the stop-loss movement function is calculated for a five-minute chart, and mathematical calculations use the open, high, low, and close prices of a one-minute chart.

• Optimization: A custom optimization criterion has been added to the expert advisor, which selects parameters based on net profit, recovery factor, Sharpe ratio, and drawdown indicator.

• Testing: To obtain correct results, it is recommended to conduct testing in the "Every tick based on real ticks" mode. This mode accounts for floating spread and market slippage.