Opening Range Breakout – First Intraday Strategy

This project is my first attempt at building an intraday trading strategy.
The main goal is to practice Git/GitHub and get hands-on experience with quantitative finance in Python.

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Strategy

• Define the first 5 minutes after market open as the opening range
• If price > daily open → go long
• If price < daily open → go short
• Stop-loss = opposite side of the range
• Take-profit = 10 × risk distance
• Close all positions before market close

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How to Run

1. Clone the repo and move into the folder

   git clone https://github.com/melkerliljegren/opening-range-breakout.git
   cd opening-range-breakout
   

2. Install required Python packages

   pip install -r requirements.txt
   

3. Open the .ipynb notebook file in VS Code and run the cells.

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Results

The Opening Range Breakout strategy was backtested on Apple (AAPL) data.
The plot below shows both the equity curve (left axis) and the cumulative return (right axis) over the test period.