What the strategy is
The Opening Range Breakout (ORB) is a mechanical day-trading strategy tested by Zarattini & Aziz (2023) on the Nasdaq-100 ETF QQQ over 2016–2023. The premise is simple: the direction established in the first few minutes of the session tends to carry, so the trader bets in that direction with a fixed, pre-defined risk.
Each morning the strategy reads the first 5-minute candle after the US open (9:30–9:35 ET). If that candle closes up, the trader goes long; if it closes down, the trader goes short; if it is a doji (open = close), no trade is taken. Entry is the open of the second candle, the stop sits at the opposite extreme of the first candle, and the position is closed for a profit target or at the closing bell — never held overnight.
Why it has an edge
The strategy is not about being right often. Its backtested win rate was only 24% — most days end in a small, capped loss. The edge comes entirely from asymmetry: every loss is capped at roughly −1R (one unit of risk), while winners are allowed to run toward a 10R target or the close. A handful of large winners more than pay for the frequent small losers, producing an average of +0.13R per trade on QQQ.
Because the strategy switches freely between long and short (about 51% long / 49% short over 1,795 trades), its returns were statistically uncorrelated with the market. In the study it stayed profitable through both the 2020 and 2022 bear markets, when buy-and-hold suffered.
The leverage trick
Most US brokers cap intraday leverage at 4x, which means a normal account often cannot put the full 1% of risk on each trade. The authors solved this with TQQQ, a 3×-leveraged QQQ ETF: a $100 position in TQQQ moves roughly like $300 of QQQ, so a $25,000 account can access the daily moves of a ~$300,000 QQQ position while staying inside broker limits. This lifted the backtested return from 676% (QQQ) to 1,484% (TQQQ).
Backtested Jan 2016 – Feb 2023, net of commissions, assuming no slippage. Past results are not a promise of future performance.
Mark the high and low of the first 5-minute candle (9:30–9:35 ET). This is your opening range — do nothing until it closes.
Read the direction. Candle closes up → prepare a long. Closes down → prepare a short. Open = close (a doji) → no trade today.
Enter at the open of the second candle (9:35 ET), in the same direction the first candle closed. No chasing, no waiting for confirmation.
Set the stop. Long → stop at the low of the first candle. Short → stop at the high. The entry-to-stop distance is your 1R — the unit everything else is measured in.
Size the position so a full stop-out loses just 1% of the account, capped by 4x leverage:
Shares = int( min( 0.01·A / R , 4·A / P ) )
where A = account size, P = entry price, R = risk per share.
Define the exit before you enter. Take profit at 10R, otherwise close the position at the bell (end of day). Whichever happens first — never hold overnight.
To beat the broker leverage cap, run it on TQQQ (3× QQQ) instead of QQQ. This lets a small account access the full move — but TQQQ decays if held, so it is an intraday-only tool.
“Why take a trade that loses 3 times out of 4?”
Because the math works: many small −1R losses, a few big winners left to run. The edge is the rules, not the prediction. Skip a day, break one stop, or turn a day-trade into a hold — and the edge is gone.
This section records the strategy after the session has finished. It reads completed 5-minute candles, simulates the entry, stop and exit, then stores the result in the ORB tester database. It is research only and does not place broker orders.
Loading ORB tester results...
Variant comparison
| Variant | Tests | Win rate | Avg R | Total R | Best / Worst | Latest |
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Latest simulated results
| Date | Variant | Instrument | Direction | Entry / Stop / Exit | Exit reason | R result | MFE / MAE |
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| Waiting for latest results... | |||||||
Read this first. These figures come from a single backtest that assumed perfect fills and no slippage. The author's most extreme variant (a tight ATR stop returning ~9,350%) is, by their own admission, unrealistic at any meaningful account size. Leveraged ETFs like TQQQ carry decay and gap risk, the 24% win rate demands real psychological discipline, and live results will differ. This is educational research, not financial advice.
Based on Zarattini, C. & Aziz, A. (2023, rev. 2025), “Can Day Trading Really Be Profitable?” · SSRN 4416622