NQ opening range breakout backtest results

//@version=6
// Suggested timeframe: 5-minute
strategy("MNQ Opening Range Breakout", overlay=true, initial_capital=50000, default_qty_type=strategy.fixed, default_qty_value=1,
     commission_type=strategy.commission.cash_per_contract, commission_value=0.75, slippage=1, margin_long=0, margin_short=0)

// Inputs
orSess       = input.session("0930-0945", "Opening range (New York)")
tradeSess    = input.session("0945-1200", "Entry window (New York)")
riskPct      = input.float(1.0, "Risk % per trade", minval=0.1, step=0.1)
rMult        = input.float(2.0, "Target (R)", minval=0.5, step=0.5)
maxContracts = input.int(10, "Max contracts", minval=1)
maxTrades    = input.int(1, "Max trades per day", minval=1)

// The clock is New York's; a future's day starts at the 18:00 New York reopen
inOR    = not na(time(timeframe.period, orSess, "America/New_York"))
inTrade = not na(time(timeframe.period, tradeSess, "America/New_York"))

// The day's state: every level, flag and count the setup keeps, declared here and set back on the day's first bar
var float orHigh      = na
var float orLow       = na
var int   tradesToday = 0
var bool  doneToday   = false
var float stopLevel   = na
var float targetLevel = na
if session.isfirstbar
    orHigh      := na
    orLow       := na
    tradesToday := 0
    doneToday   := false

// The setup: the first close outside the 15-minute opening range
if inOR
    orHigh := na(orHigh) ? high : math.max(orHigh, high)
    orLow  := na(orLow) ? low : math.min(orLow, low)
rangeSet   = not inOR and not na(orHigh)
longSetup  = rangeSet and close > orHigh and close[1] <= orHigh
shortSetup = rangeSet and close < orLow and close[1] >= orLow
longStop   = orLow
shortStop  = orHigh

// Entries: inside the window, flat, under the day's caps; the qty from the risk (a stop too wide skips the
// trade), the stop and target placed with the entry
canTrade = inTrade and strategy.position_size == 0 and tradesToday < maxTrades and not doneToday and barstate.isconfirmed
riskCash = math.max(strategy.equity, 0) * riskPct / 100
if canTrade and longSetup and not na(longStop) and longStop < close
    stopPts = close - longStop
    qty = math.min(maxContracts, math.floor(riskCash / ((stopPts + 2 * syminfo.mintick) * syminfo.pointvalue)))
    if qty >= 1
        stopLevel   := longStop
        targetLevel := close + stopPts * rMult
        strategy.entry("Long", strategy.long, qty=qty)
        strategy.exit("Long exit", from_entry="Long", stop=stopLevel, limit=targetLevel)
        tradesToday := tradesToday + 1
if canTrade and shortSetup and not na(shortStop) and shortStop > close
    stopPts = shortStop - close
    qty = math.min(maxContracts, math.floor(riskCash / ((stopPts + 2 * syminfo.mintick) * syminfo.pointvalue)))
    if qty >= 1
        stopLevel   := shortStop
        targetLevel := close - stopPts * rMult
        strategy.entry("Short", strategy.short, qty=qty)
        strategy.exit("Short exit", from_entry="Short", stop=stopLevel, limit=targetLevel)
        tradesToday := tradesToday + 1

// The same stop and target on every bar of the trade; flat on the session's last bar
if strategy.position_size > 0
    strategy.exit("Long exit", from_entry="Long", stop=stopLevel, limit=targetLevel)
if strategy.position_size < 0
    strategy.exit("Short exit", from_entry="Short", stop=stopLevel, limit=targetLevel)
if session.islastbar
    strategy.close_all("Session end", immediately=true)

// A win ends the day
if strategy.closedtrades > strategy.closedtrades[1] and strategy.closedtrades.profit(strategy.closedtrades - 1) > 0
    doneToday := true

plot(rangeSet ? orHigh : na, "Range high", color=color.new(#16A56A, 0), style=plot.style_linebr)
plot(rangeSet ? orLow : na, "Range low", color=color.new(#E5484D, 0), style=plot.style_linebr)
plotshape(canTrade and longSetup, "Long", style=shape.triangleup, location=location.belowbar, color=color.new(#16A56A, 0), size=size.tiny)
plotshape(canTrade and shortSetup, "Short", style=shape.triangledown, location=location.abovebar, color=color.new(#E5484D, 0), size=size.tiny)