ORB Pro | Session Breakout Scalper — Strategy by blitz_locked
By blitz_locked
Performance Metrics
- Author: blitz_locked
- Symbol: NASDAQ:MSFT
- Timeframe: 5 minutes
- Win Rate: 40.0%
- Profit Factor: 1.786
Description
A precision-filtered Opening Range Breakout strategy built for intraday scalping — with multi-layer confirmation designed to cut false breakouts and size risk intelligently.This strategy trades breakouts of a configurable opening range, but only when volume, volatility, VWAP trend, and price confirmation all line up — reducing whipsaw entries.FeaturesFlexible Opening RangeFully configurable range length, session start/end times, and timezoneWorks across regular trading hours and overnight/futures sessions that cross midnightMulti-Layer Entry Filters (each toggleable independently)Range-size filter — only trades when the OR is a healthy size relative to ATR (avoids both dead-quiet and blown-out ranges)Volume confirmation — requires breakout volume to exceed a multiple of average volumeVWAP directional filter — longs only above session VWAP, shorts only belowFalse-breakout confirmation — requires price to hold beyond the range for N bars before enteringBuilt-In Risk ManagementChoice of stop-loss method: range-based or ATR-basedConfigurable risk-reward target with partial profit-taking at a separate R-multipleOptional breakeven stop after partial exitDaily trade cap to prevent overtradingAutomatic flatten at session end — no overnight scalp exposureSmart Position SizingRisk-based sizing (% of equity per trade, scaled to stop distance) or flat % of equityHard position-size cap to prevent excessive leverage on tight stopsClean, Toggleable VisualsGradient-shaded opening range box (color intensity reflects range size vs. ATR)Session VWAP lineOR high/low levels plotted for the remainder of the sessionSession separators and failed-breakout markersOne-time OR size label (as an ATR multiple) for quick read on range qualityRealistic Cost ModellingCommission and slippage assumptions built into the backtest engine, so results reflect real-world friction rather than frictionless fillsNotesIntraday timeframes only. This strategy requires multiple bars within the opening range window to function (e.g. 1–15 min charts). Loading it on Daily+ charts will throw an explicit error rather than silently doing nothing.Commission/slippage defaults are generic starting points (0.05% commission, 2 ticks slippage) — tune these to match your actual broker/instrument before trusting backtest P&L numbers.All filters can be disabled individually if you want to isolate and test the raw breakout logic, or strip it down to a simpler ORB system.