Opening Range Breakout
A breakout of the first fifteen minutes' range, stop on the opposite side, three-to-one target.
How it works
The opening range is the highest and lowest price in the first fifteen minutes after the market opens, 09:30 to 09:45 New York time. The idea is simple: if price breaks out of that range and holds, it tends to keep going.
None of this is ours. The opening range breakout is one of the most widely shared intraday setups there is, and you can find a hundred free versions of it. That is exactly why it was worth testing. Common does not mean wrong, and it does not mean right either. Nobody had shown us the numbers.
The rules we tested
- Mark the high and low of the first three 5-minute candles
- Go long when a candle closes above the range high
- Go short when a candle closes below the range low
- Enter at the open of the next candle
- Stop loss at the opposite side of the range
- Target three times the distance from entry to stop
- One trade per day, the first signal only
- No new trades after 11:30
- Close any open trade before the session ends
- If price never closes outside the range, no trade that day
- Instrument
- MNQ
- Timeframe
- 5 minute
- Session
- 09:30-16:00 ET
- Test period
- Aug 9, 2021 to Aug 7, 2026
- Account size
- $50,000
- Risk per trade
- $500
The results
| Year | Trades | Win rate | Avg per trade | Total | Net P&L |
|---|---|---|---|---|---|
| 2021 Partial | 100 | 56.0% | +0.30R | +30.33R | $12,826 |
| 2022 | 250 | 46.4% | +0.10R | +25.64R | $9,515 |
| 2023 | 249 | 41.8% | +0.09R | +22.12R | $10,753 |
| 2024 | 249 | 43.4% | +0.10R | +23.97R | $10,933 |
| 2025 | 246 | 46.3% | +0.08R | +20.33R | $9,728 |
| 2026 Partial | 152 | 45.4% | -0.03R | -4.61R | -$2,336 |
| All Total | 1,246 | 45.5% | +0.095R | +117.80R | $51,420 |
Largest drawdown over the period: 23.2R.
Net of costs: $0.74 round turn commission per contract, 1 tick slippage per side.
Example trades
How we tested it
This part is boring and it is also the part that decides whether any of the numbers on this page mean anything.
Data. MNQ 1-minute data from Databento, combined into 5-minute candles after filtering to regular trading hours. 1,270 sessions with no missing candles.
Costs. $0.74 commission per contract for a full round trip, plus one tick of slippage each way on every fill. Slippage is the difference between the price you wanted and the price you got. $0.74 is a good rate, so if your broker charges more, expect worse results than these.
Time zones. We checked every daylight saving change in the five years. All ten of them. Every session starts at 09:30 New York time, which is the single most common thing to get wrong in an opening range test.
Contract rollovers. Futures contracts expire and get replaced, which creates a price jump in the data. We confirmed every one of those jumps falls between sessions, so no trade in this test sits across one.
Peeking at the future. We scrambled every candle from the entry point onward with random noise and re-ran the whole thing. The trades came out identical, which proves the entry decision cannot see anything that has not happened yet.
Data: Databento MNQ 5-minute, regular trading hours.