ORB Breakout Strategy with VWAP and Volume Filters by luiscaballero

By luiscaballero

Performance Metrics

Description

OverviewThis strategy implements the classic Opening Range Breakout (ORB) methodology, a well-documented approach in trading literature that has been used by institutional and retail traders for decades. The strategy identifies the high and low of the first 15 minutes of the trading session, then trades breakouts with defined risk management.This implementation includes multiple customizable filters (VWAP, Volume, Candle Strength) that traders can enable, disable, and tune to find configurations that work for their specific markets and trading style.How It WorksOpening Range CalculationThe strategy captures the high and low of the first N bars after the session open (default: 3 bars on a 5-minute chart = 15 minutes). These levels become the breakout triggers for the session.Entry LogicLong Entry: When a bar closes above the ORB High and all enabled filters passShort Entry: When a bar closes below the ORB Low and all enabled filters passExit LogicTake Profit: Configurable multiple of the ORB range (default: 1x = full range beyond breakout level)Stop Loss: Opposite side of the ORB rangeBreakeven: Optional stop adjustment to entry price when trade reaches configurable profit thresholdSession Close: All positions automatically closed at end of trading sessionConfigurable FiltersAll filters can be independently enabled or disabled:1. VWAP FilterRequires price above/below session-anchored VWAPRequires VWAP slope confirmation (configurable lookback and minimum slope)Purpose: Align trades with intraday trend direction2. Volume FilterRequires minimum volume on the breakout barPurpose: Confirm institutional participation in the breakout3. Candle Strength FilterRequires close in upper/lower portion of the bar rangePurpose: Filter out weak breakouts with poor convictionStrategy PropertiesInitial Capital - $50.000USDPosition Size - 1 contract (fixed)Commission - $4.00 per contractSlippage - 2 ticksMargin - 1%Pyramiding - DisabledBacktest Results (NQ)Recent Performance (Jan 2025 - Jan 2026)Total Trades - 243Win Rate - 39.09%Profit Factor - 1.03Net P&L - $3,581 (+7.16%)Max Drawdown - $25,447 (39.96%)Long-Term Performance (2010 - 2026)Total Trades - 1699Win Rate - 37.61%Profit Factor - 0.756Net P&L - ($49,632) (-99.26%)Max Drawdown - $50,262 (99.27%)Important: Long-term results show negative expectancy with default settings. This strategy is published as a research framework, not a ready-to-trade system. Users are encouraged to experiment with different configurations to find their edge.Settings GuideMain SettingsORB Bars: Number of bars for opening range (3 = 15 min on 5-min chart)Trading Session: Time window for trading (e.g., 0930-1200 for morning only)Timezone: Your market's timezoneTake Profit: Multiple of ORB range for targetBreakeven Trigger: Distance to move stop to entryMax Trades Per Day: Daily trade limitVWAP FilterUse VWAP Filter: Enable/disableVWAP Slope Lookback: Bars to measure VWAP directionMin VWAP Slope: Minimum slope thresholdVolume FilterUse Volume Filter: Enable/disableMin BreakoutVolume: Minimum contracts requiredCandle Strength FilterUse Candle Strength Filter: Enable/disableMin Candle Strength: Required close position (0.7 = top/bottom 30%)Research SuggestionsThis strategy provides a foundation for exploring ORB-based approaches. Consider testing:Different ORB periods: 5, 10, 15, or 30 minutesSession variations: Morning only (0930-1200), afternoon, or full dayDirection bias: Long-only or short-only based on daily trendFilter combinations: Different mixes of VWAP, volume, and candle filtersTake profit ratios: 0.5x, 1x, 1.5x, or 2x ORB rangeMarket regimes: Performance may vary in trending vs ranging marketsDifferent instruments: Test on ES, NQ, MNQ, or other futuresVisual ElementsOrange Background: ORB forming periodGreen Background: Active trading sessionGreen Line: ORB High levelRed Line: ORB Low levelVWAP Line: Green = upslope, Red = downslope, Gray = flatWhite Line: Trade entry priceLime Line: Take profit levelRed Line: Stop loss levelOrange Line: Breakeven trigger levelBlue Background: Breakeven activatedTriangles: Entry signals (only appear when trade executes)LimitationsNegative long-term expectancy: Default settings do not produce profitable results over extended periodsParameter sensitivity: Results highly dependent on filter settings and market conditionsMarket regime dependent: May perform differently in trending vs choppy marketsCommission impact: Frequent trading accumulates significant transaction costsCurve fitting risk: Optimized settings may not persist in future marketsDisclaimerThis strategy is provided for educational and research purposes only. It does not constitute financial advice.Past performance does not guarantee future resultsBacktested results may not reflect actual trading conditionsThe long-term backtest shows significant negative returnsAlways paper trade before risking real capitalNever risk more than you can afford to loseConduct your own research and due diligenceThis is a research framework designed for traders to explore and customize, not a plug-and-play trading system.

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