Strategy graveyard / Opening range breakout (ORB)

Verdict: doesn't work Backtest only

The opening range breakout lost on SPX, SPY, QQQ, gold and silver. The breakout side was no better than a coin flip.

Backtested on SPX, SPY and QQQ (about 70 sessions each), plus the gold and silver ETFs. Updated 25 Sep 2026.

What is an opening range breakout?

The opening range is the high and low of the first few minutes of the trading day, commonly the first 5, 15, 30 or 60 minutes. The idea is that this early range sets the battle lines for the day. When price breaks out of it, the side that wins the break is likely to keep going, so you trade in the direction of the breakout with a stop on the other side of the range.

It's one of the oldest day-trading strategies, simple to follow, and a favourite of trading courses. That makes it worth testing properly.

The exact rules I tested

The classic 15-minute ORB

1. The range: the high and low from 09:30 to 09:44 New York time, on one-minute candles.
2. Entry: at the close of the first one-minute candle, from 09:45 on, that closes outside the range. Long above, short below. One trade a day.
3. Stop: the opposite side of the range.
4. Target: twelve versions: 0.5, 0.75, 1, 1.5, 2 or 3 times the risk; a fixed 5, 10, 15, 20 or 30 points; or hold to the close.
5. Scoring: if a single one-minute candle touched both the stop and the target, I counted it as a stop, the cautious assumption.

The 30 and 60-minute versions

1. The range: 09:30 to 09:59, or 09:30 to 10:29.
2. Two entries: at the close of the first candle outside the range, or with a limit order back at the broken edge (the "retest").
3. Stop: the opposite edge, or the middle of the range. Targets from half the risk to three times it, fixed points, or the close.

Also tested

• A "tested level" version: the range edge only counts once price has tested it several times with a pullback in between.
• The random-side check: every version was also run with the side picked at random, to see whether the breakout direction added anything.

Results

The classic 15-minute ORB on SPX, 74 sessions from June to September 2026, in index points per trade after the stop or target:

Ten of the twelve targets are shown; the other two (0.75 and 1.5 × risk) lost as well. The one positive target, 20 points, made half a point a trade, well within what chance produces when you try twelve settings. Win rates went up as targets got closer, but the losses grew to match. Splitting by month, the results flipped sign from one month to the next.

• SPY and QQQ: the same 15-minute rules lost on both. On QQQ every target lost when measured against the risk taken.
• 60-minute range: the best setting looked positive, but it came almost entirely from June and July and lost in every September test. On QQQ, every setting lost.
• Waiting for the retest: the breakout candle usually closed less than a point past the edge, so the "retest" filled within a minute 94% of the time. Same trade, slightly better price, but it missed the few runners that never looked back, so it did worse. Waiting for price to run further before buying the pullback made it clearly negative: a pullback after a real extension was usually a failing breakout.
• Gold and silver ETFs: 30 and 60-minute ranges, both entries. Nothing came close to working, and on gold the 30-minute breakouts tended to reverse.
• The "tested level" version: every profitable setting was carried by June alone, and August lost in most of them.

Why it failed

1. A breakout happens almost every day. With a 15-minute range, price left it on nearly every session, three times out of four by 10:00. A signal that fires every day can't be telling you much about any particular day.
2. The direction didn't matter. Trading the opposite side of each breakout did about as well. Early breaks of the range are as likely to fail as to follow through.
3. The stop is wide and the follow-through is short. The stop sits on the other side of the range, around 20 SPX points away. Breakouts tended to stall well before covering that distance in profit.
4. Good months and bad months cancel out. Every version that looked good was carried by one or two months. The opening range breakout seems to work in some markets and fail in others, and nothing in the rules tells you which kind of month you're in.

Did I test it wrong?

Quite possibly. I tested the version of Opening range breakout (ORB) described above, with settings I thought were fair, and it didn't work. That doesn't prove every version fails. I may have picked the wrong settings, the wrong market or timeframe, or missed a filter that experienced traders take for granted. Many strategies also depend on judgement that a set of fixed rules can't capture.

If you trade Opening range breakout (ORB) and it works for you, I'd genuinely like to hear how. Tell me the chart and timeframe, what counts as a setup, any filters, where you get in, where your stop and target go, and when you get out. I'll test your version on the same data, the same way, and publish the result here, whichever way it comes out.

Send me your version

What would change my mind

An ORB filter that genuinely separates breakout days from fake-out days, decided before the break and tested across several years and markets, and that beats a random side clearly, not just in one good month.

Questions

How it was tested

• Data: one-minute candles for SPX (74 sessions), SPY (67) and QQQ, June to September 2026, and the gold and silver ETFs (about 54 usable sessions). SPX was also tested with its unreliable 09:30 opening print removed from the range; the answer didn't change.
• Checks: a random-side comparison for every setting, the chance of the best of all settings looking this good by luck, and month-by-month splits.
• Backtest, not live trading: these results come from historical prices with trading costs included. Backtests usually flatter a strategy, so a failed backtest is a strong "no".

This page records my own testing. It isn't financial advice.

Disclosures · Privacy · [email protected]