Two Nasdaq opening range breakouts made more than $22,000 over seven years with a single contract. But one of them made about five times more per year in the years it was designed on than in the years before, and both had drawdowns of $8,000 to $11,500 and blew up almost half of the 50K accounts.
The strategy
The opening range breakout (ORB) is the most taught strategy on YouTube: you mark the high and the low of the first minutes of the session and enter when price breaks one of them. We tested two classic Nasdaq versions, both using the first half hour's range with different entry and exit rules, and both designed looking at 2024-2026 data.
Seven years of micro Nasdaq
| 2024-2026 (design) | 2019-2023 (unseen) | 7 years | Worst drawdown | 50K accounts blown | |
|---|---|---|---|---|---|
| Breakout A | +$17,127 | +$5,764 | +$22,891 | $11,562 | 47-48 % |
| Breakout B | +$9,714 | +$12,848 | +$22,562 | $8,157 | 43-48 % |
Three takeaways
- Making money is not enough. An $8,000 to $11,500 drawdown per contract does not fit in the $2,000 cushion of a 50K account. Starting an evaluation every week between 2019 and 2026, they blew up between 43% and 48% of the accounts.
- The glow of the design period. What is fitted to some years works in those years. That's why you always have to look at the years that weren't used to design it.
- The toughest test. On 2006-2019 Nasdaq data, which we had never used for anything, even their improved versions came to nothing: a result indistinguishable from chance.
Two traps that cost us dearly
- Knowing too early which side breaks. Our first analysis showed almost 92 points a day. Without noticing, it only counted days that broke a single side, which you only know at the close. Walking through the session in order and taking the first breakout, about 11.5 were left.
- The backtest that lied. In NinjaTrader's managed order mode, a buy stop order cancels the sell stop placed on the same bar. Our backtest showed a profit factor of 2.23; with the orders coded properly (OCO, unmanaged mode), it fell to 1.30.
How it was calculated
Python replicas of the two NinjaTrader strategies, on 1-minute micro Nasdaq bars, 1 contract and a $0.62 commission per side plus 1 tick of slippage. 50K accounts with the Lucid and APEX rules of the time, no time limit, starting one every week. Per-year figures are approximate: about 4.5 years of data in 2019-2023 and 2.5 in 2024-2026.
Simulated and hypothetical results, with the limitations that implies. Not investment advice. Firm rules change: check them on each firm's website. This article contains no affiliate links.