Session Open Range on an index: why it cannot be reproduced
Methodology
- The hypothesis requires intraday data with session timestamps to isolate the opening range and the moment of its breakout.
- Daily bars give one point for the entire day and contain neither the session boundaries nor the intraday range.
Why the hypothesis cannot be tested on our data
The hypothesis is built on the range of the first hours of the session and on intraday liquidity dynamics. A daily bar gives one point for the day and contains none of the opening range on whose breakout the entry is built.
We deliberately give no figures here: a result computed on unsuitable data would be a fabrication. Blank space is more honest than a fake study.
Download the exact sample and run the logic yourself — the numbers above should match.
A Binance spot EUR/USDT proxy series, not a forex-broker feed. Binance Spot REST API (api.binance.com/api/v3/klines).
Conclusion
The hypothesis cannot be tested on daily data: all of its mechanics live within the day, and a daily bar contains neither the session’s opening range nor the moment of its breakout.
Practical takeaway for the trader
Session strategies apply only to instruments with a pronounced open and an influx of volume in the first hours; on a round-the-clock market the notion of an opening range blurs.
FAQ
Why can it not be tested on daily bars?
The strategy is built on the range of the first hours of the session, and a daily bar gives one point for the day. Neither the session boundaries nor the opening range are present in daily data.
On which instruments does it actually work?
On instruments with a pronounced session open and an influx of volume in the first hours. On a round-the-clock market with no clear start, the notion of a range loses meaning.
What would be needed to test it?
Intraday bars with session timestamps and data on intraday volatility by hour.