Trading the 15 minute ORB the MAX way!
Loses money
No edge after realistic trading costs
- trades tested
- 6,484
- per trade after costs
- -1.21bp
- winners
- 33%
- years of data
- 15.9
Mark the high and low (wicks included) of the first 15-minute candle of the New York session on SPX; on the 15-minute chart, go long when price breaks out above the range and the next candle confirms, short on the mirror breakdown. The trade is invalidated (exit) when price reverses back into the range; positions are day trades.
The exact rules we tested
- 01Instrument: SPX | Signal timeframe: 15m | Direction: both
- 02Session: 09:30-16:00 (exchange tz), flat at session end
- 03LONG when: [[close > orb.high] on each of the last 2 bars] just became true this bar
- 04SHORT when: [[close < orb.low] on each of the last 2 bars] just became true this bar
- 05Entry: market at next bar open
- 06Stop: at the orb.low (longs) / orb.high (shorts) level
- 07Exit longs when: close < orb.high
- 08Exit shorts when: close > orb.low