Opening-range scalps: the first fifteen minutes and what they hide

[Shadow Trader]

Marking the high and low of the first fifteen minutes after a session opens, then trading the breakout or the fade, is a classic approach. It also has details that go unnoticed.

The range depends on when the session "opens." London can be 7:00 or 8:00 GMT, depending on the season and the trader's definition. New York can be 8:00 or 8:30 or 9:30. A shift of a few minutes changes the range.

Spreads and liquidity also change over the window. In the first minutes, spreads are wider and quotes less stable. A breakout of the range in the first three minutes happens on poor liquidity and often fails. A breakout at minute twelve occurs in a better market.

Another problem is that the range is a product of whatever happened in those fifteen minutes, which might include a data release. A range created by a news spike is much larger than one on a quiet open, and the same rules produce very different trades.

Testing multiple window lengths and start times on historical data shows how sensitive the results are.

Another consideration is whether the range is defined by wicks or by closes. A wick-based range is larger and includes spikes, while a close-based range is tighter and ignores them. Each leads to different breakout signals, and the choice should be tested rather than assumed.

Which definition of the opening range has held up best on the pair traded?