ORB - Opening Range Breakout Backtest — Strategy by tkey1
By tkey1
Performance Metrics
- Author: tkey1
- Symbol: CME_MINI:NQ1!
- Timeframe: 5 minutes
- Net P&L: −7,645.00 USD (−0.76%)
- Win Rate: 40.0%
- Profit Factor: 0.538
- Max Drawdown: 12,155.00 USD (1.22%)
- Total Trades: 10
Description
EMA trend filter was the biggest win - it blocked almost all the losing longs. NQ was in a downtrenc the entire backtest period, so the 20-day EMA filtered out trades against the trend. Longs dropped from 13 → 4 trades.EOD exit at 15:55 ET also helped significantly - trades that didn't hit TP intraday now close with whatever profit/loss they have instead of holding overnight and getting worse. You can see most exits are now "EOD" rather than SL hits.Shorts now dominant: 19 short trades, 63.2% win rate, profit factor 2.34 - the strategy istrades,essentially a short-side trend-following tool in this market.Input panel now has:- EMA Trend Filter toggle + EMA length (default 20-day)- Trade Direction - Both / Long Only / Short Only- Force Exit 15:55 ET toggle- Breakout Confirm (pts) - extra confirmation beyond the OR level- Original R:R, Max Trades/Day, Min OR Range inputsThe strategy is now profitable and the settings let you tune it to market conditions. In trending markets, set "Short Only" or "Long Only" and leave EMA on. In ranging markets, turn the EMA filter off.Release NotesUpdate for all assetsRelease NotesUpdated StrategyRelease NotesFixed TP readded