Opening Range Breakout

What It Does

Opening Range Breakout runs on intraday bars during the contract’s regular trading hours session. For each new session it walks through three phases:

1. Window: starting from the RTH open, the strategy records the high and low of every bar that falls inside the configured opening window (15 minutes by default).
2. Tradable: once the window closes, the recorded high and low become fixed levels. On the next bar that closes outside the range, the strategy enters in the direction of the break.
3. Flatten: at the end of the RTH session, any open position is flattened. The strategy never holds overnight.

Each session resets the range, the entry flag, and the position state. Only one trade per session by design - once an entry fires (or the day passes without a break), the strategy waits for the next session.

The configured side controls which direction is tradeable. Both sides takes whichever direction breaks first; Long only ignores downside breaks; Short only ignores upside breaks. There are no stops, no profit targets, and no other filters. The session close is the only exit.

Why It Works (Sometimes)

The opening range is a real intraday structure. Liquidity providers and overnight participants resolve their imbalances in the first 15-30 minutes after the cash open, and the high and low of that window often act as reference levels for the rest of the session. A clean break of that range frequently runs.

The flip side: many sessions are slow, the range gets tagged on both sides without a sustained move, and the strategy ends the day with one whippy losing trade. Win rates around 50% are typical; the strategy lives or dies on average win versus average loss. Without a sweep stop and target it can also give back a big intraday move during the back half of the session.

Presets

Five presets ship out of the box:

• ORB 15min / 30min / 60min, Both Sides: progressively wider windows. Shorter windows produce more trades per year with worse signal quality; longer windows produce fewer, cleaner setups but enter further from the day open.
• ORB 15min / 30min, Long Only: long-bias variants for use when you want directional exposure without fading rallies.

Use the form to set your own window and side; the presets are starting points.

Best In

• Liquid equity index futures (NQ, ES) where the RTH opening structure is well-defined.
• Strategies that need to be flat overnight by design. ORB by construction never carries risk past the session close.
• Research where you want to test how range definitions interact with intraday follow-through.

Where It Struggles

• Slow trend days where the range tags but does not break. Most ORB losses come from days with a 1-tick break that mean-reverts immediately.
• Range-bound sessions. ORB is structurally directional; it has nothing to do during a session that respects the opening range.
• Holidays and half-sessions. The strategy uses the regular RTH window; on shortened sessions the window-then-tradeable timing can produce odd entries.

Possible Uses

• A clean baseline for “breakout” research. If a layered intraday breakout strategy does not consistently beat ORB, the added complexity may not be earning its keep.
• A starting point for layered strategies. ORB combined with a volume filter, with a market-breadth filter, or with a daily-bias filter often produces more usable backtests than the bare strategy does.
• A regime probe. Comparing ORB performance year over year can flag periods where intraday momentum weakens or strengthens.

What It Does Not Do

• No stops, no targets. A position that goes deeply against the entry sits there until session close.
• No filter on the strength of the break - a 1-tick close outside the range counts the same as a 10-point close.
• No support for contracts without an RTH session definition. GC and similar are not currently available; the strategy panics if you try.
• No re-entry within a session. Once it has triggered or skipped a day, it is done until the next session.