NR7 / Inside Day Breakout

What It Does

This strategy runs on daily bars. On every session close it checks today against a setup rule:

• NR7: today’s high-to-low range is the strictly smallest of the last seven sessions.
• Inside Day: today’s high is below yesterday’s high and today’s low is above yesterday’s low.
• Either: today qualifies if it is NR7 or an inside day.

When a setup fires, the strategy records today’s high and low as the breakout levels. On the very next session, two stop orders sit in the market: a buy stop at the setup high and a sell stop at the setup low. The first one touched wins. If neither is touched during that next session, both pending stops are cancelled and the strategy waits for the next setup.

Once a position is filled, it is held for a configurable number of sessions, then flattened on close. There are no protective stops and no profit targets. The exit is purely time-based.

Why It Works (Sometimes)

The idea behind a narrow-range setup is that price compression is often followed by an expansion phase. A day where the range collapses below recent norms (NR7) or sits entirely inside the previous day (inside day) can mark a pause before continuation or reversal. Traders have used these patterns for decades on equity indices, currencies, and commodities.

The honest version of the story is more cautious. The setup itself is well-documented; the directional follow-through is not. Some markets break up after a contraction, some break down, and many simply chop sideways for a few sessions until the next setup. By trading both sides of the break with a fixed time exit, this strategy reports what actually happens without preselecting a winning direction.

Presets

Five presets ship out of the box. Two of them trade both sides of the break with different setup filters. One filters to NR7 only with a long bias. One trades inside days only, both sides. One holds the trade longer, ten sessions instead of five, to see how the result changes with exposure length. Pick the preset whose framing matches the question you want to answer, or use the form to set your own combination.

Best In

• Daily timeframe research on liquid futures. NR7 and inside-day setups are clean to define on session bars and survive transaction costs better when entries are infrequent.
• Markets that show genuine contraction-expansion cycles. Equity index futures and gold both qualify, with different success profiles.
• Studies that want a pattern-driven entry but no parameter-heavy exit logic. The fixed hold makes the result easy to attribute back to the setup rule.

Where It Struggles

• Trending regimes with narrow daily ranges that never resolve sharply. The buy and sell stops both stay un-triggered, the setup expires, and the next bar sets up the same way. Net result: many missed setups, little to show for them.
• Choppy sideways tape. The next-bar break triggers, the trade gets carried for the full hold window, and price drifts back through the entry level several times. With no stop, the exit P&L is whatever the close happens to be that session.
• Holidays and shortened sessions can produce setups with unusually low or unusually high ranges that the predicate treats the same as any other bar. The strategy does not filter calendar context.

Possible Uses

• A baseline test of the contraction-expansion idea on a specific contract before adding filters.
• A comparison strategy: layer a trend filter, a volatility filter, or a session-of-week filter on top and see whether the edge improves or disappears.
• A diagnostic for any other breakout strategy. If a more complex breakout system does not beat this one on the same contract, the added complexity is not pulling its weight.

What It Does Not Do

• No protective stops, no profit targets. Time exit only.
• No intraday entries. Orders fire on daily-bar closes and next-session opens or breaks.
• No volatility or trend filter. The setup definition does not adapt to ATR, regime, or session of week.
• No position sizing logic beyond a fixed contract count.
• No awareness of holidays or shortened sessions when scoring the setup.