PreNYOpen Regime Delta: Pre-Market Breakout Strategy for NY Open Trading
Master the NY open with PreNYOpen Regime Delta. ATR-based stops, one trade per day discipline, and session-bound exposure for consistent pre-market breakout trading.
Profabighi Capital Research Team
December 16, 2025
Trading Risk Warning
Trading Risk Warning: Trading involves substantial risk of loss and is not suitable for all investors. Past performance does not guarantee future results. You should carefully consider your financial situation and consult with financial advisors before making any investment decisions.
TradingView Scripts
The transition from pre-market consolidation to the New York cash open represents one of the most predictable volatility expansions in financial markets. The PreNYOpen Regime Delta strategy systematically captures this regime change by establishing the pre-open high and low as an overnight balance envelope, then trading confirmed breakouts with ATR-adjusted risk management.
What is PreNYOpen Regime Delta?
PreNYOpen Regime Delta is an intraday trading strategy designed specifically for the New York market open. It identifies the pre-open session (09:00-09:15 NY) high and low as critical reference levels, then waits for confirmed closes beyond this range during the active trading session (09:30-16:00 NY) to initiate positions.
The strategy's core philosophy centers on three principles:
- Structural Reading: The pre-open envelope becomes a living map of overnight pressure
- Confirmation Over Prediction: Only confirmed closes trigger entries, not wicks
- Disciplined Exposure: One trade per day, session-bound, no overnight risk
Understanding Pre-Open Range Dynamics
The pre-open range represents temporary agreement at limited liquidity. During the 15-minute window before the NY cash open, price action establishes a balance zone that reflects overnight positioning and early institutional activity.
When price subsequently breaks and closes beyond this range during the active session, it signals a regime change:
- Close above pre-open high: Buyers dominate, bullish regime
- Close below pre-open low: Sellers dominate, bearish regime
The requirement for a confirmed close—not just a wick—filters out false breakouts and ensures genuine directional commitment before entry.
Entry and Exit Logic
Long Entry
- Trigger: Close > pre-open high during trading session
- Entry: Limit order at pre-open high level
- Stop Loss: Pre-open low - (ATR × multiplier)
- Take Profit: Entry + (risk × TP multiplier)
Short Entry
- Trigger: Close < pre-open low during trading session
- Entry: Limit order at pre-open low level
- Stop Loss: Pre-open high + (ATR × multiplier)
- Take Profit: Entry - (risk × TP multiplier)
Reverse Mode
The strategy includes a reverse trading toggle that inverts direction—break above high triggers short, break below low triggers long. This enables contrarian testing in ranging or news-driven environments.
Risk Management Framework
ATR-Based Stop Losses
Fixed stop distances fail under varying volatility conditions. The strategy uses ATR (Average True Range) to scale stops proportionally:
- Calm markets: Tighter stops preserve capital
- Volatile markets: Wider stops prevent premature ejection
Risk-Reward Asymmetry
The default 2.0 TP multiplier creates favorable expectancy:
- 40% win rate = break-even
- 50% win rate = profitable
Session-Bound Exposure
All positions close at session end (16:00 NY), eliminating overnight gap risk and keeping results interpretable within the strategy's intended timeframe.
One Trade Per Day
The strategy enforces a single trade attempt per session. This scarcity:
- Prevents chop-exposure where edge is minimal
- Protects attention and capital for high-probability setups
- Maintains statistical validity of the approach
Visualization Features
The strategy provides comprehensive visual feedback:
- Pre-open range lines: Green/red dotted lines mark the daily envelope
- Entry arrows: Show position openings
- Risk boxes: Red areas visualize stop loss zones
- Reward boxes: Green areas show take profit targets
- Entry lines: White lines mark exact entry levels
- Debug indicators: Show active sessions and set levels
Profabighi Capital Metrics Integration
The strategy integrates the Profabighi Capital metrics library for real-time performance tracking:
- Equity curves: Visualize account growth over time
- Performance tables: Display win rate, profit factor, drawdown
- Position options: Full, Simple, or None display modes
Settings Overview
| Setting | Default | Description |
|---|---|---|
| TP Multiplier | 2.0 | Take profit as multiple of risk |
| ATR Period | 14 | Lookback for volatility calculation |
| ATR Multiplier | 0.9 | Stop loss distance scaling |
| Order Duration | 2 hours | Time before unfilled orders cancel |
| Pre-Open Session | 09:00-09:15 NY | Range establishment window |
| Trading Session | 09:30-16:00 NY | Active trading window |
Who Should Use This Strategy?
PreNYOpen Regime Delta is ideal for:
- Day traders seeking systematic NY open exposure
- Futures traders on ES, NQ, YM contracts
- Forex traders during NY session overlap
- Disciplined traders who value defined risk parameters
Key Takeaways
Structural reading transforms trading: The pre-open envelope becomes a map of institutional intent, turning guesswork into informed decision-making.
Asymmetry + volatility adjustment = expectancy engine: ATR-scaled stops and fixed reward multiples create positive expectancy without requiring high win rates.
Discipline enhances performance: One attempt per day, time-boxed orders, and session-bound exposure protect capital for moments that matter.
Visualization educates: Range markers, entry anchors, and risk-reward zones train eyes and hands to act together, while performance overlays train the mind to think in distributions.
PreNYOpen Regime Delta is available on TradingView as a protected strategy. Visit the [TradingView page](https://www.tradingview.com/script/aQSITRKB-PreNYOpen-Regime-Delta-PROFABIGHI-CAPITAL/) to add it to your charts.