The Graveyard / Opening range breakout
FamilyBreak of the first minutes' high or low after the open.
tested here
14
survived the screen
0
our lab studies
5
The idea
The first minutes of the session set a range; the break of that range starts the day's move.
Why it feels right
Open volatility is real and obvious on any chart. A break followed by a trend is easy to find; the breaks followed by nothing are not shown.
What the data said
Closed permanently after a grid of 282,848 rule combinations (triggers, entries, stops, exits, time masks, eight markets) produced zero survivors. A weekday split seen on social media replicates on one market and fails on the others.
A rule that works on one market and fails on the next four is a coincidence with a chart. Every survivor must transfer; the opening-range weekday effect replicated on the Nasdaq and failed everywhere else.
The toll (spread, commission, slippage, financing) is the biggest lever we have ever measured: lowering it from 2 to 0.55 basis points changed a strategy's result by more than any rule change. An edge that only exists below real costs is not an edge, and most intraday videos sit in that gap: positive gross, negative net.
Resting orders fill through the level, with slippage, or not at all. A breakout engine that arms a stop at the high and fills it there overstates the result; ours fills at the worse of the level and the next open.
Each row is a full autopsy: the exact rules, every trade, every control. Click one.
* dollars made or lost per trade on a $10,000 position, after trading costs. Green = a profit that passed our checks. Black = a profit we could not tell from luck. Grey = too few trades to trust.
Seen a video that says this one works? Run the autopsy.