Opening range breakout strategy backtest results

The short answer

Answers here: Does the opening range breakout work? · 15 or 30 minutes? · What is the win rate?

What the script does

Opening Range Breakout Strategy, from the strategy library.

The numbers, run by run

Net and holding the symbol are after costs over the same period. Held-out is the verdict on the last third of the history judged alone: survived, decayed, did not survive, or too few trades to judge.

Year by year

09:30–10:00 range, out by 15:55 on SPY, long and short, the same rule long only, and SPY itself, each calendar year after costs. A partial first or last year counts the sessions it has.

Every trade

The newest 400 of the 597 trades of 09:30–10:00 range, out by 15:55 on SPY, long and short, oldest first: side, entry and exit days, fill prices after slippage, and the return after both commissions. The other runs' trades open below.

The script

Pine v6, exactly as it ran for 09:30–10:00 range, out by 15:55 on SPY, long and short. The variants change only the inputs listed in the table.

//@version=6
strategy("Opening Range Breakout Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100, initial_capital=100000, commission_type=strategy.commission.percent, commission_value=0.05, slippage=1, margin_long=0, margin_short=0)

sess       = input.session("0930-1000", "Opening window (exchange time)", group="Session")
exitHour   = input.int(15, "Flat at hour (exchange time)", minval=0, maxval=23, group="Session")
exitMinute = input.int(55, "Flat at minute", minval=0, maxval=59, group="Session")
useLong    = input.bool(true, "Trade longs", group="Direction")
useShort   = input.bool(true, "Trade shorts", group="Direction")

// the window and the exit run on the exchange clock, never GMT
inWindow = not na(time(timeframe.period, sess, syminfo.timezone))
newDay   = timeframe.change("D")
flatTime = hour == exitHour and minute >= exitMinute

var float orHigh = na
var float orLow  = na
var bool  traded = false
if newDay
    orHigh := na
    orLow  := na
    traded := false
if inWindow
    orHigh := na(orHigh) ? high : math.max(orHigh, high)
    orLow  := na(orLow) ? low : math.min(orLow, low)

rangeSet = not inWindow and not na(orHigh) and not flatTime
longSig  = rangeSet and not traded and close > orHigh and barstate.isconfirmed
shortSig = rangeSet and not traded and close < orLow and barstate.isconfirmed

plot(rangeSet ? orHigh : na, "Opening range high", color=color.new(#16A56A, 0), linewidth=1, style=plot.style_linebr)
plot(rangeSet ? orLow : na, "Opening range low", color=color.new(#E5484D, 0), linewidth=1, style=plot.style_linebr)
bgcolor(inWindow ? color.new(#E3A008, 92) : na, title="Opening window")

if longSig and useLong
    strategy.entry("Long", strategy.long)
    strategy.exit("Long stop", "Long", stop=orLow)
    traded := true
if shortSig and useShort
    strategy.entry("Short", strategy.short)
    strategy.exit("Short stop", "Short", stop=orHigh)
    traded := true
if flatTime and barstate.isconfirmed
    strategy.close_all()

How it was tested

Alpaca 5-minute data from the last 600 sessions, and 1-minute data from the last 120 sessions, 0.05% commission and 0.025% slippage on every fill, the last third of the history held out, textbook settings and nothing tuned. The engine, fills and what it does not model are written out once, in data and methodology.

Questions