The textbook opening range breakout made +$16,401 on 1 micro over five years, but it lost $6,542 in the last 8 months, and random entries matched it about one time in four

Contents

The script and the research engine agree on all 1,255 trades, so every number in this report is the script's own

+$16,401 over five years, made mostly before 2026; the last 8 months gave back $6,542

The last 8 months lost $6,542 on 170 trades, the deepest drop of the five years

Entering at a random time on the same mornings did as well 23.5%-23.9% of the time, so the result can't be told from luck

5 of the 9 checks pass; the last 8 months, random entries, the deflated Sharpe and the evaluation fail

On a typical 50K evaluation it failed more often than it passed at every size tested, and random entries did no worse

A normal month is about 21 trades and a result near zero; 33 of 60 months made money

Three days from the last 8 months: the middle winner, the middle loser, and a day it sat out

Three versions were written down before any result; each is counted as a try, and none changes the answer

Only new trades can change the answer; nothing in these five years can be tuned into a better one

Glossary

Disclosures

//@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

// A win ends the day: counted before the entries, so the bar it closes on opens nothing; a winner held to the
// session's end is booked on the next session's first bar and ends nothing there
if strategy.closedtrades > strategy.closedtrades[1] and strategy.closedtrades.profit(strategy.closedtrades - 1) > 0 and not session.isfirstbar
    doneToday := true

// 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)

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)