[{"data":1,"prerenderedAt":879},["ShallowReactive",2],{"strategy-r10":3},{"id":4,"name":5,"family":6,"tags":7,"universe":10,"universe_short":10,"bars":11,"rule_short":12,"rules":13,"sizing":14,"cadence":15,"testable":16,"not_testable_reason":17,"prompt":18,"prompt_note":17,"deviation":19,"evidence":20,"uses_leverage":21,"window":22,"original":17,"collection":23,"collection_name":24,"bars_label":25,"links":26,"verdict":51,"result":52,"chart":89},"R10","Opening Range Breakout","Opening range breakout",[8,9],"Breakout","Intraday","QQQ","1-minute","Buys QQQ if its first five minutes rose and sells it short if they fell, with a stop at the far side of that range.","Zarattini and Aziz (2023). If the first 5-minute candle (09:30 to 09:35) closes above its open, buy at the open of the second candle, 09:35; if it closes below, sell short there; if open and close are about equal, do not trade. The stop is the first candle's low for a long and its high for a short, R is the distance from entry to stop, and the target is 10R. If neither is hit, exit at the close. One trade a day. Size: shares = the smaller of equity x 1% / R and 4 x equity / price, so 1% of equity is risked, with positions capped at four times equity (4x leverage). Test: $25,000, $0.0005 a share commission, no slippage (every fill at the quoted price), 1 January 2016 to 17 February 2023. A variant on TQQQ, a fund that seeks three times the Nasdaq-100's daily return, uses a stop at 5% of the 14-day average true range (ATR, the average daily price range, counting gaps from the prior close) and no target.","Sized to risk 1% of equity at the stop, capped at 97% of equity, a cap that binds whenever the stop is closer than about 1% to the price. Published: 1% risk with leverage capped at 4x.","At most one trade a session, entered at 09:35 and out by the close. Published: the same.",true,null,"Build a program on 1-minute bars for QQQ, using the session clock. Treat the 09:30 to 09:34 bars as one opening candle, from the 09:30 open to the 09:34 close, with their highest high and lowest low. When the 09:34 bar closes, buy QQQ if the candle closed above its open, sell it short if it closed below, and skip the day if they are equal. Put the stop at the candle's low for a long or its high for a short, let R be the distance from the 09:34 close to that stop, and set the profit target 10R from the 09:34 close in the trade's favor. Let the program size each trade, between 1% and 97% of equity, so that losing R a share would cost 1% of equity. Close any open position when the bar before the closing-print minute closes (15:59, or 12:59 on early-close days), and take at most one trade a session. Use a margin account so it can sell short. Backtest the last 3 years with $100,000.","Positions are capped at 97% of equity instead of 4x leverage, so no trade is leveraged; the 1%-risk size exceeds the cap whenever the stop is closer than about 1% to the price. Only an exact tie between the candle's open and close is skipped, as in the paper's 2025 revision; its first version also skipped near-ties. Orders fill at the next minute's open with 0.05% slippage, where the paper charged none. The stop fills at the worse of the stop and the minute's open. The 10R target is measured from the 09:34 close rather than from the fill. The end-of-day exit fills at the open of the closing-print minute (16:00, or 13:00 on early-close days). The TQQQ and ATR-stop versions are not built. Shorts need a margin account. Two fills a session.","Zarattini and Aziz (SSRN 4416622, April 2023) tested QQQ from January 2016 to 17 February 2023, charging $0.0005 a share in commission and no slippage. Risking 1% a trade with positions capped at four times equity, $25,000 grew to $192,806: 675% in total, 31% a year, a Sharpe ratio (return per unit of risk) of 1.12, over 1,795 trades with a 24% win rate and an average of 0.13 times the risk per trade. QQQ returned 169%. Under the 4x cap, the authors estimate that 60% of trades were 40% smaller than they would have been uncapped; on TQQQ, a fund that seeks three times the Nasdaq-100's daily return, the rule made 1,484%. A 2025 revision reports 676% on QQQ, a Sharpe of 1.13 and a 22% drawdown (largest fall from a peak). Holmberg, Lonnbark and Lundstrom (2013) report significantly positive returns to a different breakout rule, a fixed percentage move from the open, on US crude oil futures from 1983 to 2011, assuming no trading costs; their working paper finds the result not robust over time, coming largely from 2001 to 2011. Brusco's replication (GitHub; QQQ five-minute bars over the paper's period) reproduced a Sharpe of 1.06 and 30.4% a year before slippage, put break-even slippage at about 2.2 cents a share, and with 2 cents on entries and 4 on stops found a Sharpe of 0.23 and 2.7% a year, against QQQ's 0.72 and 15.3%; 2022 alone made 38% of the replication's profit, and Brusco reads a sharp drawdown in early 2023, at the end of the sample, as a hint that the edge was already decaying. A 2026 replication on MQL5 (contracts tracking five stock indices, 2015 to mid-2026) reproduced the gross 0.13 times the risk on the Nasdaq-100 but found about zero there after trading costs, still about 0.12 times the risk better than picking the direction at random, and no market or period significantly positive after costs; every market was negative in 2015 to 2017, and 2021 to 2026 gave at best 0.06 times the risk on the Nasdaq-100. Concretum's rerun (a March 2025 tutorial by Mohamed Gabriel of Zarattini's firm, with the stop at the first candle's high or low and no profit target) with Polygon data on the three-times-levered TQQQ from 2016 to February 2025 returned 2,327.77% before slippage, including +13.12% in 2023, +33.16% in 2024 and +22.23% in 2025 to 21 February. The library's 0.05% a fill is about 17 to 38 cents a share at QQQ's roughly $350-760 over the window, against the 2.2-cent break-even, which was about 0.01% of QQQ's roughly $210 average price over Brusco's 2016-2023 sample (both derived).",false,"minute","research","Published research","1-min",[27,30,33,36,39,42,45,48],[28,29],"Zarattini & Aziz, Can Day Trading Really Be Profitable? Evidence of Sustainable Long-term Profits from Opening Range Breakout (ORB) Day Trading Strategy (SSRN 4416622)","https://papers.ssrn.com/abstract=4416622",[31,32],"Full text of the paper (first published 10 April 2023)","https://wealth-lab.com/api/discussion/download/pdf/6590-ORB-Strategy-pdf",[34,35],"Zarattini & Aziz, Can Day Trading Really Be Profitable?, revised version of 22 September 2025 (authors' PDF)","https://concretumgroup.com/wp-content/uploads/2026/02/Can-Day-Trading-Really-Be-Profitable.pdf",[37,38],"Holmberg, Lonnbark & Lundstrom (2013), Assessing the profitability of intraday opening range breakout strategies, Finance Research Letters 10:27-33","https://ideas.repec.org/a/eee/finlet/v10y2013i1p27-33.html",[40,41],"Holmberg, Lonnbark & Lundstrom (2012), Assessing the profitability of intraday opening range breakout strategies, Umeå Economic Studies 845 (working paper, with the sub-period tests)","https://www.econ.umu.se/ueslpnr/ues845.pdf",[43,44],"giovannibrusco/zarattini-2023-orb-qqq, independent replication with execution-cost stress tests","https://github.com/giovannibrusco/zarattini-2023-orb-qqq",[46,47],"The opening-range breakout paper, replicated on five indices (MQL5 blog)","https://www.mql5.com/en/blogs/post/776235",[49,50],"Concretum Group (Mohamed Gabriel, 11 March 2025), Backtesting the Opening Range Breakout (ORB) Strategy in Python using Polygon.io (TQQQ, 2016 to February 2025, first-candle stop, no target)","https://concretumgroup.com/backtesting-the-opening-range-breakout-orb-strategy-using-polygon-io/","loss",{"status":53,"verdict":51,"period":54,"total_return":55,"cagr":56,"sharpe":57,"deflated_sharpe":58,"max_dd":59,"win_rate":60,"profit_factor":61,"trades":62,"spy_return":63,"spy_cagr":64,"spy_sharpe":65,"spy_max_dd":66,"beta":67,"alpha":68,"cost_share":69,"checks":70},"done","Oct 30, 2023 to Oct 30, 2026",-47.39,-19.27,-3.24,-7.28,-47.72,23,1.07,751,88.6,23.54,1.22,-18.68,0.04,-25.95,806.2,[71,74,77,80,83,86],[72,73],"Strategies tested together","10",[75,76],"Beta to SPY","0.04",[78,79],"Alpha vs SPY","−26.0% a year",[81,82],"Costs paid","$54,101, 806% of the gain before costs",[84,85],"Data","1m decisions on 1-minute bars, 754 sessions",[87,88],"Fills","Next open at market, sized at the fill",{"curve":90,"spy":565},{"id":4,"name":5,"bars_label":25,"window":22,"ret":55,"cagr":56,"sharpe":57,"spy":63,"points":91},[92,95,98,101,104,107,110,113,116,119,122,125,128,131,134,137,140,143,146,149,152,155,158,161,164,167,170,173,176,179,182,185,188,191,194,197,200,203,206,209,212,215,218,221,224,227,230,233,236,239,242,245,248,251,254,257,260,263,266,269,272,275,278,281,284,287,290,292,295,298,301,304,307,310,313,316,319,322,325,328,331,334,337,340,343,346,349,352,355,358,361,364,367,370,373,376,379,382,385,388,391,394,397,400,403,406,409,412,415,418,421,424,427,430,433,436,439,442,445,448,451,454,457,460,463,466,469,472,475,478,481,484,487,490,493,496,499,502,505,508,511,514,517,520,523,526,529,532,535,538,541,544,547,550,553,556,559,562],[93,94],"2023-10-30",1,[96,97],"2023-11-03",1.0035,[99,100],"2023-11-10",0.9898,[102,103],"2023-11-17",0.9839,[105,106],"2023-11-24",0.9805,[108,109],"2023-12-01",0.965,[111,112],"2023-12-08",0.9701,[114,115],"2023-12-15",0.9654,[117,118],"2023-12-22",0.9625,[120,121],"2023-12-29",0.9633,[123,124],"2024-01-05",0.9588,[126,127],"2024-01-12",0.9617,[129,130],"2024-01-19",0.9499,[132,133],"2024-01-26",0.9349,[135,136],"2024-02-02",0.9352,[138,139],"2024-02-09",0.9301,[141,142],"2024-02-16",0.9282,[144,145],"2024-02-23",0.9166,[147,148],"2024-03-01",0.9165,[150,151],"2024-03-08",0.9128,[153,154],"2024-03-15",0.9026,[156,157],"2024-03-22",0.8912,[159,160],"2024-03-28",0.8841,[162,163],"2024-04-05",0.8773,[165,166],"2024-04-12",0.8659,[168,169],"2024-04-19",0.8897,[171,172],"2024-04-26",0.8835,[174,175],"2024-05-03",0.8709,[177,178],"2024-05-10",0.8652,[180,181],"2024-05-17",0.8637,[183,184],"2024-05-24",0.8753,[186,187],"2024-05-31",0.8748,[189,190],"2024-06-07",0.8638,[192,193],"2024-06-14",0.8689,[195,196],"2024-06-21",0.8594,[198,199],"2024-06-28",0.8473,[201,202],"2024-07-05",0.8567,[204,205],"2024-07-12",0.8532,[207,208],"2024-07-19",0.8515,[210,211],"2024-07-26",0.8534,[213,214],"2024-08-02",0.8369,[216,217],"2024-08-09",0.8408,[219,220],"2024-08-16",0.8558,[222,223],"2024-08-23",0.8449,[225,226],"2024-08-30",0.8315,[228,229],"2024-09-06",0.8611,[231,232],"2024-09-13",0.8517,[234,235],"2024-09-20",0.8374,[237,238],"2024-09-27",0.8385,[240,241],"2024-10-04",0.8345,[243,244],"2024-10-11",0.8243,[246,247],"2024-10-18",0.8187,[249,250],"2024-10-25",0.8172,[252,253],"2024-11-01",0.8231,[255,256],"2024-11-08",0.8245,[258,259],"2024-11-15",0.8296,[261,262],"2024-11-22",0.8197,[264,265],"2024-11-29",0.8158,[267,268],"2024-12-06",0.8227,[270,271],"2024-12-13",0.8218,[273,274],"2024-12-20",0.829,[276,277],"2024-12-27",0.8342,[279,280],"2025-01-03",0.8215,[282,283],"2025-01-10",0.8341,[285,286],"2025-01-17",0.832,[288,289],"2025-01-24",0.8331,[291,247],"2025-01-31",[293,294],"2025-02-07",0.8169,[296,297],"2025-02-14",0.8168,[299,300],"2025-02-21",0.8272,[302,303],"2025-02-28",0.826,[305,306],"2025-03-07",0.812,[308,309],"2025-03-14",0.8047,[311,312],"2025-03-21",0.8004,[314,315],"2025-03-28",0.7887,[317,318],"2025-04-04",0.7802,[320,321],"2025-04-11",0.7963,[323,324],"2025-04-17",0.7948,[326,327],"2025-04-25",0.7816,[329,330],"2025-05-02",0.7695,[332,333],"2025-05-09",0.758,[335,336],"2025-05-16",0.7522,[338,339],"2025-05-23",0.755,[341,342],"2025-05-30",0.7542,[344,345],"2025-06-06",0.7407,[347,348],"2025-06-13",0.7327,[350,351],"2025-06-20",0.7284,[353,354],"2025-06-27",0.7229,[356,357],"2025-07-03",0.7267,[359,360],"2025-07-11",0.7191,[362,363],"2025-07-18",0.7168,[365,366],"2025-07-25",0.7139,[368,369],"2025-08-01",0.7216,[371,372],"2025-08-08",0.7242,[374,375],"2025-08-15",0.7186,[377,378],"2025-08-22",0.7189,[380,381],"2025-08-29",0.7141,[383,384],"2025-09-05",0.712,[386,387],"2025-09-12",0.7078,[389,390],"2025-09-19",0.7054,[392,393],"2025-09-26",0.7096,[395,396],"2025-10-03",0.7013,[398,399],"2025-10-10",0.7008,[401,402],"2025-10-17",0.6884,[404,405],"2025-10-24",0.6915,[407,408],"2025-10-31",0.6892,[410,411],"2025-11-07",0.6937,[413,414],"2025-11-14",0.6957,[416,417],"2025-11-21",0.6817,[419,420],"2025-11-28",0.6831,[422,423],"2025-12-05",0.6716,[425,426],"2025-12-12",0.6614,[428,429],"2025-12-19",0.6761,[431,432],"2025-12-26",0.6728,[434,435],"2026-01-02",0.6719,[437,438],"2026-01-09",0.6662,[440,441],"2026-01-16",0.6667,[443,444],"2026-01-23",0.6584,[446,447],"2026-01-30",0.6554,[449,450],"2026-02-06",0.6565,[452,453],"2026-02-13",0.6511,[455,456],"2026-02-20",0.6494,[458,459],"2026-02-27",0.6501,[461,462],"2026-03-06",0.6421,[464,465],"2026-03-13",0.6336,[467,468],"2026-03-20",0.6311,[470,471],"2026-03-27",0.6299,[473,474],"2026-04-02",0.6346,[476,477],"2026-04-10",0.6266,[479,480],"2026-04-17",0.6267,[482,483],"2026-04-24",0.6177,[485,486],"2026-05-01",0.6105,[488,489],"2026-05-08",0.6215,[491,492],"2026-05-15",0.6165,[494,495],"2026-05-22",0.6098,[497,498],"2026-05-29",0.6047,[500,501],"2026-06-05",0.597,[503,504],"2026-06-12",0.5805,[506,507],"2026-06-18",0.5778,[509,510],"2026-06-26",0.5699,[512,513],"2026-07-02",0.5652,[515,516],"2026-07-10",0.56,[518,519],"2026-07-17",0.5597,[521,522],"2026-07-24",0.5495,[524,525],"2026-07-31",0.5455,[527,528],"2026-08-07",0.5499,[530,531],"2026-08-14",0.5509,[533,534],"2026-08-21",0.5453,[536,537],"2026-08-28",0.5371,[539,540],"2026-09-04",0.531,[542,543],"2026-09-11",0.5294,[545,546],"2026-09-18",0.5282,[548,549],"2026-09-25",0.5395,[551,552],"2026-10-02",0.5361,[554,555],"2026-10-09",0.5339,[557,558],"2026-10-16",0.543,[560,561],"2026-10-23",0.5356,[563,564],"2026-10-30",0.5288,[566,567,569,571,573,575,577,579,581,583,585,587,589,591,593,595,597,599,601,603,605,607,609,611,613,615,617,619,621,623,625,627,629,631,633,635,637,639,641,643,645,647,649,651,653,655,657,659,661,663,665,667,669,671,673,675,677,679,681,683,685,687,689,691,693,695,697,698,700,702,704,706,708,710,712,714,716,718,720,722,724,726,728,729,731,733,735,737,739,741,743,745,747,749,751,753,755,757,759,761,763,765,767,769,771,773,775,777,779,781,783,785,787,789,791,793,795,797,799,801,803,805,807,809,811,813,815,817,819,821,823,825,827,829,831,833,835,837,839,841,843,845,847,849,851,853,855,857,859,861,863,865,867,869,871,873,875,877],[93,94],[96,568],1.0463,[99,570],1.0606,[102,572],1.0843,[105,574],1.0953,[108,576],1.1043,[111,578],1.107,[114,580],1.1345,[117,582],1.1444,[120,584],1.1478,[123,586],1.1305,[126,588],1.1514,[129,590],1.1653,[132,592],1.1772,[135,594],1.1928,[138,596],1.2103,[141,598],1.2062,[144,600],1.2264,[147,602],1.2386,[150,604],1.2374,[153,606],1.2358,[156,608],1.2632,[159,610],1.2674,[162,612],1.256,[165,614],1.2382,[168,616],1.1993,[171,618],1.2317,[174,620],1.2395,[177,622],1.2617,[180,624],1.2822,[183,626],1.2832,[186,628],1.2782,[189,630],1.2936,[192,632],1.3149,[195,634],1.3237,[198,636],1.3234,[201,638],1.3476,[204,640],1.3612,[207,642],1.3352,[210,644],1.3229,[213,646],1.2951,[216,648],1.2955,[219,650],1.3475,[222,652],1.3662,[225,654],1.3693,[228,656],1.3124,[231,658],1.366,[234,660],1.3852,[237,662],1.3932,[240,664],1.3968,[243,666],1.4134,[246,668],1.4254,[249,670],1.412,[252,672],1.3933,[255,674],1.4589,[258,676],1.4297,[261,678],1.4529,[264,680],1.4693,[267,682],1.4825,[270,684],1.473,[273,686],1.4483,[276,688],1.456,[279,690],1.4479,[282,692],1.4208,[285,694],1.4619,[288,696],1.4871,[291,684],[293,699],1.4707,[296,701],1.4912,[299,703],1.4686,[302,705],1.4531,[305,707],1.4082,[308,709],1.3757,[311,711],1.3846,[314,713],1.3632,[317,715],1.2407,[320,717],1.3112,[323,719],1.2921,[326,721],1.3511,[329,723],1.3909,[332,725],1.3847,[335,727],1.4577,[338,692],[341,730],1.4488,[344,732],1.4698,[347,734],1.4655,[350,736],1.465,[353,738],1.5122,[356,740],1.5391,[359,742],1.5346,[362,744],1.5446,[365,746],1.5675,[368,748],1.5304,[371,750],1.5686,[374,752],1.5829,[377,754],1.5881,[380,756],1.5871,[383,758],1.5923,[386,760],1.6178,[389,762],1.638,[392,764],1.6334,[395,766],1.6518,[398,768],1.6115,[401,770],1.6395,[404,772],1.6709,[407,774],1.6829,[410,776],1.6565,[413,778],1.6576,[416,780],1.6274,[419,782],1.6866,[422,784],1.6927,[425,786],1.6834,[428,788],1.6843,[431,790],1.7085,[434,792],1.6919,[437,794],1.7178,[440,796],1.7122,[443,798],1.7055,[446,800],1.7117,[449,802],1.7086,[452,804],1.6878,[455,806],1.7059,[458,808],1.6976,[461,810],1.6639,[464,812],1.6386,[467,814],1.6109,[470,816],1.5724,[473,818],1.6277,[476,820],1.6856,[479,822],1.7625,[482,824],1.7723,[485,826],1.7886,[488,828],1.83,[491,830],1.832,[494,832],1.8502,[497,834],1.8783,[500,836],1.8299,[503,838],1.8407,[506,840],1.8583,[509,842],1.8204,[512,844],1.8524,[515,846],1.8788,[518,848],1.8481,[521,850],1.8383,[524,852],1.8594,[527,854],1.9237,[530,856],1.9312,[533,858],1.905,[536,860],1.9143,[539,862],1.9162,[542,864],1.9019,[545,866],1.9016,[548,868],1.9243,[551,870],1.9202,[554,872],1.9421,[557,874],1.9024,[560,876],1.8958,[563,878],1.886,1794261303665]