Playbooks: four briefs for the session open

1Read this first

These are research briefs, not setups. Each describes an idea that has been public for years. Most published edges shrink or vanish once they're widely known and once real costs are counted (Guide 11, section 1). Nothing on this guide says any of these works on your market, now, after your costs. The only way to know is to test it yourself, up the evidence ladder.

So there are no results here, no success rates and no recommended settings. Where a brief mentions a study, the study describes its own market, period and assumptions. Treat it as a reason the idea is worth a test, never as a result you can borrow.

Every brief has the same six parts:

1. The idea, in one line.
2. Why it might work: the public reasoning, with sources where they exist.
3. Rule template: yes/no conditions, entry, stop, target, time exit and when not to trade. Every number is a blank.
4. What kills it: costs, regime, crowding, news days.
5. What the Bear should attack before you test.
6. Start it: the input lines for the Strategy Scout prompt (Guide 11).

The one way to use a brief: pick one. Paste its "Start it" lines into the Strategy Scout prompt. Copy the playbook brief template (Guide 16), fill every blank, date it, lock it. Have the Bear attack it. Then climb the ladder on demo or replay. One brief at a time.

2Playbook · Opening range breakout

The idea. The high and low of the first minutes of the session mark a range. A break of that range, early in the day, is taken in the direction of the break.

Why it might work. The open is when overnight orders, news and the day's first large participants meet. The reasoning is that the first range shows where that initial fight settled, and a move out of it shows which side has more to do. The idea is old and public. Toby Crabel wrote it up in detail in Day Trading with Short Term Price Patterns and Opening Range Breakout (1990), including the observation that breakouts following narrow-range days behaved differently from others. More recently, a 2023 working paper tested an opening-range rule on a Nasdaq ETF on SSRN (listed under Sources). It is one paper, on one instrument and period, with its own cost and leverage assumptions, and not peer-reviewed. Read it as a description of how such a test can be set up.

Rule template.

Context (yes/no): 1) Session: {which open, time zone}
          2) Opening range = high and low of the first {__} minutes
          3) Range width is between {__} and {__} (points, or a multiple of {__})
          4) Higher-timeframe filter: {rule, or "none"}
Trigger (yes/no): A {__}-minute bar closes beyond the range edge by {__}
Entry:       {stop order at the edge / market on the close / limit on a retest of the edge}
Stop:       {opposite edge / range midpoint / {__} beyond the trigger bar}
Target:      {multiple of range width / fixed R / none, time exit only}
Time exit:     Flat by {__}
When not to trade: 1) High-impact event before {__} 2) Range wider than {__} 3) {__}

What kills it.

• Costs. The entry is a breakout, so you pay the spread and often slippage at the moment everyone else is entering.
• Regime. On range days the open is broken both ways. Whipsaws are the normal case, not the exception.
• Crowding. It is one of the most widely taught intraday ideas. Breaks of obvious levels attract traders whose plan is to fade them.
• News days. A release inside the opening hour makes the "range" an accident of timing.

What the Bear should attack. Was the range length chosen before or after looking at charts? What happens on the days the first break fails and the second one runs? Is the stop so wide that size rounds to zero on your account? Does the result survive without its best day?

Start it.

My idea, in my words: "The first {__} minutes set a range. I trade a break of it in the direction of the break, early in the session."
Market and instrument: {e.g. MNQ}
Session and time zone: {e.g. New York cash open, New York time}
Timeframe I would trade it on: {e.g. 5-minute bars}
What I can test with: {bar replay, spreadsheet, demo}
Rough round-trip cost per trade: {amount, or "unknown"}

3Playbook · Opening gap: continuation and fade

The idea. When the session opens away from the prior close, either the move carries on in the direction of the gap ("gap continuation"), or it retraces towards the prior close ("gap fade"). These are two opposite briefs. Test them separately.

Why it might work. A gap is the overnight session's verdict arriving all at once. The continuation reasoning: whatever caused it is still being acted on by participants who can only trade the day session. The fade reasoning: the gap overshot on thin overnight volume, and the day session corrects it. There is research showing that overnight and intraday returns behave like two different regimes with a pull between them, for example Dong Lou, Christopher Polk and Spyros Skouras, "A Tug of War: Overnight Versus Intraday Expected Returns" (Journal of Financial Economics, 2019), which studies US stocks. That supports the claim that the open is a real boundary. It is not a rule for trading gaps, and it says nothing about index futures or currencies.

Rule template.

Context (yes/no): 1) Gap = today's open minus the prior session's close, measured at {time}
          2) Gap size is between {__} and {__} (points, %, or a multiple of {__})
          3) Brief is: CONTINUATION or FADE (one per brief, never both)
          4) A known cause on my event sheet? {required / forbidden / ignored}
Trigger (yes/no): Continuation: {e.g. first {__}-minute bar closes beyond the opening {__}-minute range in the gap direction}
          Fade: {e.g. first {__}-minute bar closes back through the open, towards the prior close}
Entry:       {order type and level}
Stop:       Continuation: {__}  Fade: {beyond the session extreme so far / {__}}
Target:      Continuation: {__}  Fade: {prior close / {__}% of the gap / fixed R}
Time exit:     Flat by {__}
When not to trade: 1) Gap larger than {__} 2) High-impact event inside the first {__} minutes 3) {__}

What kills it.

• Mixing the two. Deciding on the day whether it's a "go" or a "fade" is discretion with a label on it. It can't be counted.
• Size of gap. Small gaps are noise. Very large gaps are news events with their own behaviour. The middle band is a setting, and settings chosen after looking are fitted.
• Costs. The first minutes carry the widest spreads of the day session.
• Instrument. A gap in a single stock, an index future and a currency pair are three different things. Futures that trade nearly round the clock have small "gaps" at the cash open by construction.

What the Bear should attack. How is the gap measured on an instrument that trades overnight? Which gap sizes were excluded, and when was that decided? For the fade: what happens on the days the gap never fills? One of those can cost several ordinary winners.

Start it.

My idea, in my words: "When the session opens at least {__} away from the prior close, I trade {continuation in the gap direction / a fade back towards the prior close}."
Market and instrument: {…}
Session and time zone: {…}
Timeframe I would trade it on: {…}
What I can test with: {…}
Rough round-trip cost per trade: {…}

4Playbook · Early-session and intraday momentum

The idea. The direction of the first part of the session carries information about the direction later in the same day. The move is joined after the first window, or late in the session, in the same direction.

Why it might work. Two public lines of reasoning. First, large participants spread their orders across the day, so early direction can reflect business that isn't finished. Second, traders and products that have to rebalance near the close trade in the direction of the day's move. The best-known study is Lei Gao, Yufeng Han, Sophia Zhengzi Li and Guofu Zhou, "Market Intraday Momentum" (Journal of Financial Economics, 2018). On an S&P 500 ETF from 1993 to 2013 they report that the first half-hour's return, measured from the prior close, had predictive power for the last half-hour's, more so on volatile and news days. A later 2024 working paper tested an intraday trend rule on the same ETF (listed under Sources). Both describe one US equity product. The first sample ends in 2013. Whether anything similar holds on your instrument, after costs, in recent data, is exactly what your test is for.

Rule template.

Context (yes/no): 1) First window = {start}–{end}, return measured from {prior close / today's open}
          2) First-window move is at least {__} (points, %, or a multiple of {__})
          3) Regime from the Analyst is {TRENDING / any / not EVENT DAY}
Trigger (yes/no): {at {time}, price is still beyond {level} in the first-window direction}
          or {a pullback of {__} that holds above/below {level}}
Entry:       {time-based market order at {__} / limit at {__}}
Stop:       {beyond the first-window extreme / {__}}
Target:      {none, time exit only / fixed R / {__}}
Time exit:     Flat at {__} (state whether this is before or at the close)
When not to trade: 1) First-window move smaller than {__} 2) Scheduled event after {__} 3) {__}

What kills it.

• Being late. By the time the first window has closed, part of the day's move has happened. The stop is far and the remaining room may be small.
• Reversal days. Strong opens that reverse are common, and they are full losses for this brief.
• Small effects. A statistical tendency in a study can be real and still be smaller than your costs.
• Time decay of the finding. Published in 2018, on data to 2013. Others have had years to trade it.

What the Bear should attack. Is the return measured from the prior close or the open, and was that chosen first? How many trades a month does this produce, and how long until there are 30? Is the result a few trend days carrying everything else?

Start it.

My idea, in my words: "If the first {__} minutes move at least {__} in one direction, I join that direction {after the window / in the last {__} minutes} and exit by {__}."
Market and instrument: {…}
Session and time zone: {…}
Timeframe I would trade it on: {…}
What I can test with: {…}
Rough round-trip cost per trade: {…}

5Playbook · VWAP reversion and first touch

The idea. VWAP is the session's volume-weighted average price. Reversion: when price stretches far from it, trade back towards it. First touch: after a directional open, the first return to VWAP is traded in the direction of the open. Again, two different briefs. One fades, one joins.

Why it might work. VWAP matters because institutions use it as a yardstick for execution quality. The benchmark is usually credited to Berkowitz, Logue and Noser, "The Total Cost of Transactions on the NYSE" (Journal of Finance, 1988). If large orders are worked with VWAP as a target, there is real business done around it, which is the argument for a first touch holding. And if price has run far from where most of the day's volume traded, there may be fewer participants willing to chase it, which is the argument for reversion. Both arguments are plausible and neither is a measurement. There is no single well-known study to lean on for either as a short-term trading rule, so this brief rests on reasoning alone. Weigh it accordingly.

Rule template.

Context (yes/no): 1) VWAP anchored to: {session open / {__}}
          2) Brief is: REVERSION or FIRST TOUCH (one per brief)
          3) Reversion: price is at least {__} from VWAP (points, or {__} standard-deviation bands)
           First touch: the open moved at least {__} away from VWAP before returning
          4) Regime from the Analyst is {RANGING for reversion / TRENDING for first touch / {__}}
Trigger (yes/no): Reversion: {a {__}-minute bar closes back inside {band/level}}
          First touch: {price touches VWAP for the first time since {time} and a {__}-minute bar closes back in the opening direction}
Entry:       {order type and level}
Stop:       Reversion: {beyond the stretch extreme by {__}}  First touch: {{__} beyond VWAP}
Target:      Reversion: {VWAP / {__}% of the way to VWAP}  First touch: {session extreme / fixed R}
Time exit:     Flat by {__}
When not to trade: 1) Before {time} (VWAP is unstable early in the session) 2) EVENT DAY 3) {__}

What kills it.

• Trend days. For reversion, a trend day is a string of full losses: price stretches, you fade, it stretches further.
• VWAP isn't one number. It depends on the anchor and on the data feed's volume. Two platforms can show different lines, and spot currencies have no central volume at all.
• Early session. In the first minutes VWAP sits almost on top of price and means little.
• Everyone has the line. It is on every platform by default.

What the Bear should attack. Does your instrument have real volume data? What separates a "stretch" from the start of a trend, in a rule and not in hindsight? For first touch: how often is the first touch simply the start of a move through?

Start it.

My idea, in my words: "{When price is at least {__} from session VWAP, I trade back towards it. / After a directional open, I trade the first touch of VWAP in the direction of the open.}"
Market and instrument: {…}
Session and time zone: {…}
Timeframe I would trade it on: {…}
What I can test with: {…}
Rough round-trip cost per trade: {…}