The Test Bench › Opening range breakout › Study 005
We tested one 15-minute opening range breakout rule on 149 large US stocks over six months.
STUDY 005We tested one 15-minute opening range breakout rule on 149 large US stocks from 1 April 2026 to 25 September 2026. It produced 9,417 trades.
The average trade was -0.013% before trading costs and -0.053% after our assumed costs. A $10,000 test portfolio finished at $9,674 after costs.
More than half of the trades were winners, but the losing trades were larger. The overall result was negative.
The opening range is the high and the low of the first 15 minutes of trading, from 09:30 to 09:45 New York time. A bullish opening range breakout (ORB) buys when price breaks above the range high. Traders choose the range length, the entry trigger, the stop and the targets, so there are many ORB rules. This study tests one:
These are historical analyses. They are neither advice nor forecasts. A backtest describes what a rule would have done over a past window. It does not say what the rule will do next.
One opening range breakout rule: a 15-minute range, a whole-candle entry above the range high, a partial sale at a first target, and the rest sold at a second target, at breakeven, below the range or at the end of the day. Long trades only, on 149 large US stocks, on 5-minute candles, from 1 April 2026 to 25 September 2026. The question is whether this rule made money over those six months, before and after an assumed trading cost.
The rule was fixed on 28 September 2026, before this run on the 149 stocks. Its parts came from exploratory work on the same six months of data. The 15-minute range is the opening range GU Analyser uses by default. The whole-candle entry replaced a candle-close entry tried earlier. The exits were set at 70% at one range, with the rest at 2.5 ranges and a breakeven exit after the first sale. Their mechanics were reviewed on 10 stocks before the full run.
Nearby values of the range length, the entry, the targets and the exits were not tested in this study.
Every signal is read at the close of a 5-minute candle. Every order fills at the open of the next candle.
| Part | Definition |
|---|---|
| Opening range | High and low of the first 3 five-minute candles, 09:30 to 09:45 New York time. The range is the high minus the low. |
| Entry signal | A candle's low is above the range high: the whole candle trades above the range. |
| Entry | Buy at the next candle's open. At most one entry per stock per day, and none after the end-of-day signal. |
| First target | After a candle closes above the range high plus one range, sell 70% at the next open. Once per trade. |
| Breakeven | After the first target, sell the rest after a close below the entry price. |
| Second target | Sell the rest after a close above the range high plus 2.5 ranges. |
| Stop | Sell what is left after a close below the range low. |
| End of day | Sell anything still open at the open of the day's last candle, 15:55. |
| Position size | Each stock has an equal share of the money. Each trade uses that stock's whole share. |
| Trading cost | 0.02% of the value of each purchase and each sale (assumed). The 70% and 30% sales are each charged on their own value, so together they cost 0.02% of the exit value. A complete trade costs about 0.04% of the position's value. Also run at 0.00%, 0.02% and 0.08% a round trip. |
| Portfolio | $10,000 split equally across the 149 stocks. Each share compounds its own stock's trades and is never pooled with the others. |
The average trade was -0.018% before costs from 1 April 2026 to 31 July 2026 and -0.003% over the rest of the window, to 25 September 2026. After the assumed 0.04% round-trip cost the averages were -0.058% and -0.043%, over 9,417 trades.
| Period and cost | Trades | Winning trades | Average trade | Median trade | Standard deviation |
|---|---|---|---|---|---|
| First period, no cost | 6,539 | 55% | -0.018% | +0.111% | 1.16% |
| First period, 0.04% | 6,539 | 53% | -0.058% | +0.071% | 1.16% |
| Second period, no cost | 2,878 | 53% | -0.003% | +0.050% | 0.98% |
| Second period, 0.04% | 2,878 | 50% | -0.043% | +0.010% | 0.98% |
For descriptive comparison, the average trade was negative in both parts of the six-month window. Both periods were included in the exploratory work that shaped the rule, so this split is not an out-of-sample test.
52% of trades finished positive after costs. The average winner was +0.74% and the average loser -0.92%. The larger losses outweighed the higher number of winning trades, leaving the average trade at -0.053%. The sum of the winning trades' returns was 0.88 times the sum of the losing trades' returns, giving a profit factor of 0.88.
| Cost | Winning trades | Average winner | Average loser | Profit factor |
|---|---|---|---|---|
| No cost | 54% | +0.75% | -0.92% | 0.97 |
| 0.04% (assumed) | 52% | +0.74% | -0.92% | 0.88 |
The standard deviation of individual trade returns was about 1.1%, compared with an average return of -0.053% after costs.
| Round-trip cost | Average trade | Winning trades | $10,000 after six months | Largest fall from a high |
|---|---|---|---|---|
| 0.00% | -0.013% | 54% | $9,922 | 3.5% |
| 0.02% | -0.033% | 53% | $9,797 | 4.2% |
| 0.04% (assumed) | -0.053% | 52% | $9,674 | 4.9% |
| 0.08% | -0.093% | 50% | $9,433 | 6.4% |
The average trade was -0.013% with no trading cost. At the assumed 0.04% round-trip cost it fell to -0.053%. Each higher cost lowered the result, and none changed its sign.
The 0.04% is an assumption for the test. A trader's actual cost depends on the broker, the order type, the spread and any slippage at the time of the trade.
Over the six months, $10,000 split equally across the 149 stocks ended at $9,922 (-0.8%) with no costs and at $9,674 (-3.3%) after the assumed cost. Its largest fall from a previous high was 4.9% after costs. 29% of the stocks finished higher under the rule; the median stock finished at -3.8%.
The portfolio ended at -3.3% after costs, while the average trade was -0.053%. The two figures cannot be multiplied together. Each stock starts with 1/149 of the portfolio and compounds only its own trades; the 149 stock allocations are then added together.
For context, an equal-weight investment in the same 149 stocks changed by +20.3% over the period, from the first to the last daily close, with dividends included. This is not a risk-matched benchmark: the rule is intraday only and holds far less market exposure. Positions were open for about 31% of market hours and were always closed before the end of the day. Counting only the part of each position still held after the 70% sale, weighted exposure was about 27%.
The best single trade was PLTR on 4 August 2026, +5.8% after costs. The best week was RKLB from 4 May 2026, +10.1%. In a typical week of the study, about 5 stocks gained more than 3% on the rule. The median stock-week was -0.05%, and 48% of stock-weeks were positive. 2.8% of all trades made more than 2%.
PANW returned +50.3% under the rule, while SNOW returned -28.8%. These are the five strongest and five weakest stock-level results.
The trade and the week named above were checked against a second, independent source of daily prices for the same days.
Across 9,417 trades, the average return was -0.013% before costs and -0.053% after the assumed 0.04% round-trip cost.
The average trade was negative in both parts of the six-month window. Both periods were included in the exploratory work that shaped the rule.
52% of the trades won. The average winner was +0.74% and the average loser -0.92%.
The equal-split $10,000 portfolio finished at $9,674 after costs, a loss of 3.3%.
These results apply to the rule, stocks, dates and assumptions tested here.
A different ORB definition, stock universe, market, data feed or test period can produce a different result.
Every part of this rule — the opening range, the entry, the targets, the stop and the cost — is a block on GU Analyser's canvas. You can rebuild this test, change any part of it, or test your own ORB setup on the stocks you trade.
Using this research. The analysis, tables and figures on this page are GU Analyser Ltd’s own work, published under a Creative Commons BY-NC 4.0 licence. You are welcome to quote it, cite it and build on it, with credit and a link. Suggested credit: GU Analyser, The Test Bench, Study 005, linking to guanalyser.com/test-bench/opening-range-breakout/. For commercial use, ask us at hello@guanalyser.com.
Rebuild the test, or test a different ORB rule
On the strategy canvas: the opening range of the first three 5-minute candles; buy at the next open after a candle whose low is above ORB High, once a day; sell 70% after a close one range above ORB High; sell the rest after a close 2.5 ranges above it, below the entry price, below ORB Low, or at the last candle of the day. Then change the entry, stop, targets or cost.
Create a free account and build your own strategies → or read how the Opening Range is calculated →The method: how a backtest is built