I Backtested the ORB Breakout + Pullback Strategy (5 Years of Data)
Doesn't work
No edge after realistic trading costs
- trades tested
- 2,017
- per trade after costs
- -1.05bp
- winners
- 42%
- years of data
- 15.9
S&P 500 on the 5-minute chart, New York time: the opening range is the first 15 minutes from 09:30. After a candle breaks out and closes above the range (breakout at least 1x ATR), wait for a pullback candle that dips below the range high but closes back above it, then buy when the next candle breaks that pullback candle's high; stop at the bottom of the range, target 1.5R, no entries after 12:00.
The exact rules we tested
- 01Instrument: SPX | Signal timeframe: 5m | Direction: long
- 02Session: 09:30-16:00 (exchange tz), positions may hold overnight
- 03No new entries after 12:00
- 04LONG sequence: 1. (close crosses above or.high) AND (rng > atr14) THEN 2. (low < or.high) AND (close > or.high) (within 24 bars)
- 05Entry: stop order at the break of the signal bar signal_high (expires after 3 bars)
- 06Stop: at the or.low (longs) / or.high (shorts) level
- 07Target: 1.5R (risk-multiple of stop)
- 08Where rng = high minus low