Opening Range Breakout Backtest Results: What Survived After Realism Fixes

Repository reference: cutebacktests

Abstract

Opening range breakout remains one of the most popular ideas in intraday trading because it is intuitive, compact, and visually persuasive. The problem is that ORB is often discussed as if it were one strategy. In practice it is a family of strategies, and large parts of that family become much less impressive once option execution, parity, and timing assumptions are tightened.

The strongest evidence for that claim in this repository is ORB Framework Audit. The audit's short answer is blunt: broad ORB did not survive well, but a narrow ORB pocket did. The surviving lane was directional ORB with 5-7DTE, a 5 minute opening range, and range-stop geometry. Broad 0DTE, 1DTE, and 2-3DTE ORB lanes did not survive as general claims.

Question

The practical question is not whether one ORB configuration can be made to look good. The real question is what remained credible after the framework stopped flattering the family.

That is the right question because ORB research can become an endless tuning exercise. Opening-range duration, breakout trigger type, stop geometry, DTE bucket, relative-volume filter, context overlay, and option-selection logic can all be varied. If the framework is permissive, that search space will almost always produce a few exciting candidates. The audit asked the more useful question: which part of that search space still holds up after realism fixes?

Method: What an Opening Range Breakout Backtest Is Actually Testing

In this repository, ORB is not a vague "trade the first move after the open" heuristic. As Episode 4 explains, the engine builds an opening range from the underlying's first regular-session bars, measures range width and early context, waits for a breakout or reversal setup after that range completes, and only then selects an option contract if the strategy is monetized with options. Entries occur on the next bar after the signal, not on the same signal bar.

This definition matters because it means the ORB family here is testing several layers at once. It tests signal geometry on the underlying, context gating on the session, and then an option-expression layer on top. Once those layers are evaluated honestly, the family's broad appeal turns into a more selective question. Which combinations of range duration, DTE bucket, and stop style still survive?

Evidence / Results

The ORB audit reported one narrow survivor and a much larger set of failures.

The surviving pocket was:

• directional ORB
• 5-7DTE
• 5 minute opening range
• range-stop geometry
• breakout-open-inside-range disabled

What failed broadly included:

• classic close-breakout matrix
• broad touch and open-any matrix
• broad 0DTE, 1DTE, and 2-3DTE lanes
• 10, 15, and 20 minute ORB as generic rescue attempts

The audit also reported parity improvements, which matter because realism fixes should improve live-to-backtest alignment even when they weaken the family overall:

• bar_open: 13/18 exact matches
• live_poll_c30_l10: 15/18 exact matches

That combination of results is scientifically healthy. The framework became more believable, and the strategy space got smaller. That is the right direction of travel.

What Worked

What worked was narrowness. The repo did not produce a broad ORB victory. It produced a constrained ORB claim with specific DTE, timing, and stop assumptions. That is much more useful than the generic statement that "ORB still works."

The audit also worked because it separated framework progress from strategy weakness. The repo did not use better parity as an excuse to keep broad ORB optimism alive. It improved the framework and then reported that the broad ORB search space was still mostly weak or too sparse. That is exactly how a public research process should behave.

What Failed

What failed was the idea that one more broad ORB matrix would save the family. The repo kept testing, and the conclusion became clearer rather than looser. Broad 0DTE and near-dated lanes did not become convincing general solutions. Longer ORB windows did not repair the problem as a generic move. The family narrowed instead of expanding.

This is an important negative result because ORB is so easy to over-market. It gives strong chart narratives, it produces clean screenshots, and it feels mechanically disciplined. The audit shows that those surface qualities are not enough. Once causal option fills, next-bar entry logic, and parity checks are enforced, much of the apparent frontier disappears.

Takeaway

The honest answer to the title is that one small part of ORB survived after realism fixes, while broad ORB enthusiasm did not. That is a much better research outcome than a vague claim of continued success because it tells the reader where the evidence still exists and where it no longer does.

If you want the blunt version of the broader question, Does Opening Range Breakout Still Work? Evidence From 0DTE and 5-Minute Tests pushes the comparison further. If you want the option-expression angle, Why Most Opening Range Breakout Strategies Fail Under Realistic Options Fills focuses on the monetization layer. Join the research log to get the next backtest and failure report.