Opening Range Breakout (ORB) Tests
Strategy Definition
Opening Range: The high and low of the first N minutes after market open (9:15 AM IST).
Entry Rules:
- LONG: Price closes above the opening range high
- SHORT: Price closes below the opening range low
Exit Rules:
- Stop loss: Opposite end of the opening range
- Target: 1:2 or 1:3 risk-to-reward ratio
- Time-based exit: 3:15 PM if no target hit
Test Parameters
| Parameter | Value |
|---|---|
| Range Window | 15 min / 30 min / 60 min |
| Market Open | 9:15 AM IST |
| Data Range | 2020–2024 |
| Universe | NIFTY 50 constituents |
| Timeframe | 5-minute candles |
Test Results
Placeholder: Fill in backtesting results as you run them.
15-Minute ORB — NIFTY 50
| Metric | Value |
|---|---|
| Total Trades | [TBD] |
| Win Rate | [TBD] |
| Average R Multiple | [TBD] |
| Max Drawdown | [TBD] |
| Expectancy | [TBD] |
30-Minute ORB — BANK NIFTY
| Metric | Value |
|---|---|
| Total Trades | [TBD] |
| Win Rate | [TBD] |
| Average R Multiple | [TBD] |
Observations
Placeholder: Add qualitative observations about ORB behavior on specific market days (expiry, budget day, RBI policy, etc.)
Filter Tests
Additional filters being evaluated:
- Gap-up / gap-down day filter
- Pre-market volume spike filter
- VIX above/below 20 filter
- Day-of-week filter (expiry Thursdays)
See also: Expiry Day Analysis