Does the Opening Range Breakout Work? 15 Years of Nasdaq Data, Tested

The opening range breakout, or ORB, is one of the oldest day-trading strategies. You watch the first few minutes after the market opens, then trade in whichever direction price breaks out.

In 2023 it got a lot more popular. A research paper tested a 5-minute version on QQQ, the Nasdaq 100 fund, and reported a 1,484% gain from 2016 to 2023, against 169% for just holding QQQ. So we ran the same rule on every trading day from January 2011 to October 2026, on the Nasdaq 100 and the S&P 500, one minute at a time.

How the opening range breakout works

The opening range is the high and low of the first part of the day: 5, 15, 30 or 60 minutes after the open. If price breaks above it, you buy. If it breaks below, you sell short. You close the trade by the end of the day.

We tested the paper's version, because it's the one most people now trade. It uses New York time, when US stocks open at 09:30.

1. 1Look at the first 5-minute candle, from 09:30 to 09:35. If it closed higher than it opened, buy at 09:35. If it closed lower, sell short. If it closed flat, don't trade.
2. 2Put your stop at the other end of that candle: its low if you bought, its high if you sold.
3. 3Set a profit target 10 times as far away as your stop. It's rarely hit, so in practice most winners run to the close.
4. 4If neither the stop nor the target is hit, close the trade at the end of the day.
5. 5Size each trade so a stop-out costs 1% of your account, with no more than 4x leverage.

How we tested it

We used one-minute prices for the Nasdaq 100 and the S&P 500 from HistData.com, which tracks the index futures. That gave us 3,811 full Nasdaq trading days and 3,603 S&P 500 days. We checked the timing against Yahoo Finance's own 5-minute index prices, so a 09:35 entry really is 09:35.

Then we ran the rule on every day, exactly as written. We tried it with no costs, like the paper, and with costs. Costs are shown in basis points (bp), where 1 bp is 0.01% of the trade. Last, we compared it with simply buying the index at the first open and holding it to the end.

We also ran a control. We took the same days, the same entry time, the same stop and the same target, but picked the direction with a coin flip. We did that 200 times. If the first candle's direction tells you nothing, the real rule should do no better than the coin.

The edge is real, but tiny

On the Nasdaq 100 the rule took 3,779 trades and won only 23% of them. That's normal for this kind of strategy. 76% of trades hit the stop, and 80% of those stops came within the first hour.

What makes it work is the size of the winners. The average winning trade made 0.84%. The average loser lost 0.21%. Winners were about 4 times bigger, because a stop at the first candle is tight and the good days trend until the close.

Put together, the average trade made 0.03%. On $10,000, that's about $3.05 a trade before costs.

The coin flip made 1.32 bp a trade on average, and the best of its 200 runs made 2.68 bp. The real rule made 3.05 bp and beat all 200. So the first candle's direction does tell you something. But part of the profit comes from the setup itself: a tight stop plus letting winners run. Even the coin made a little.

Where the big returns come from

0.03% a trade can't turn into a 1,484% gain on its own. The leverage does that. Because the stop is so close, risking 1% of the account means a position several times its size. In our test the position averaged 3.6x the account, and it hit the 4x cap on 67% of days.

With no costs, the ORB beat the index easily: 24.8% a year against 15.7%. Over the paper's own dates, 4 January 2016 to 17 February 2023, $10,000 grew to $104,159, a 942% gain. That's less than the paper's 1,484%, but the same picture, and our index rose 175% where the paper's QQQ rose 169%. So the result reproduces.

Costs decide it

Leverage cuts both ways. A cost of 1 bp on a position 4 times your account costs you 4 bp of the account, and it comes out of every trade, winners and losers.

At 0.88 bp a trade, the ORB only tied with holding the index. At 2.57 bp, $10,000 ended where it started.

Is 1 bp realistic? It depends on what you trade. On QQQ, a one-cent spread is about 0.15 bp, and index futures are just as tight. But 76% of these trades end at a stop, and a stop becomes a market order. On a fast morning it often fills a cent or two past your price. A CFD or spread-betting account usually charges a wider spread than that, every trade.

The paper assumed a tiny commission and no spread or slippage at all. That's fine for showing the edge exists. It isn't what a trader pays.

It did best in the paper's own years

We split our 16 years into three parts: before the paper's test window, the window itself, and after the paper came out in April 2023.

In the paper's years, the average trade made 0.04% and the ORB made 39.0% a year with no costs. Before that, the average trade made 0.02% and the ORB trailed the index even with no costs. Since the paper came out, it made 0.02% a trade and 18.4% a year, against 20.1% for the index.

That's a common pattern in trading research. A strategy is tested on the years where it worked, and those years look better than what follows. The edge didn't vanish, but it shrank by about half.

It did best when the index struggled. In 2018 the Nasdaq 100 went −1.7% and the ORB made +71.3% with no costs. In 2022 the index fell 33% and the ORB made +49.9%, because its short trades caught the down days. In steady rising years it fell behind: −1.2% in 2017 while the index made +30.6%. With costs of 1 bp it beat the index in 4 of 16 years.

On the S&P 500, the edge is half the size

The same rule on the S&P 500 won 20% of trades and made 0.02% a trade, about half the Nasdaq's edge. It beat 187 of 200 coin-flip runs, not all of them.

With no costs, $10,000 became $77,640, against $46,497 for the index. With costs of 1 bp it became $19,957. At 1.51 bp a trade it made nothing at all. The S&P 500 moves less than the Nasdaq 100 in a day, so its winners are smaller.

What about the 15, 30 and 60-minute range?

The classic version waits for price to break the range's high or low, not just the first candle's direction. We tested that with four range lengths: buy when price goes above the range, sell when it goes below, stop at the other side, close at the end of the day.

A longer range wins more often, up to about 49% of the time with a 60-minute range. But the average trade doesn't get bigger. No version made more than 0.03% a trade. Picking a longer range changes how the strategy feels, not how much it makes.

What it's like to trade

A strategy that wins 23% of the time is hard to stick with. In our test the longest run of losing trades was 37 in a row on the Nasdaq 100, and 42 on the S&P 500. That's nearly two months of trading days without a win.

Even with no costs, the leveraged ORB fell 31% from its high at one point. It also had losing years: 2015 and 2017 with no costs, and 2015, 2017, 2023 and 2026 with costs of 1 bp. Many people would have stopped long before the good years came.

What this test can't tell you

• We used index prices, not QQQ or futures fills. The rule's entry, stop and close are exact on our data, and real fills would usually be a little worse.
• The data has gaps. Holidays and half days are left out, and the archive is missing most of March to July 2023. The index comparison skips the same days, so neither side gets those months.
• The index comparison leaves out dividends. With them the index did better still, so the ORB's real lead with no costs was a little smaller.
• Leverage of up to 4x needs a margin account or futures. In the US the old $25,000 minimum for day traders is gone, but brokers still set their own margin rules. Outside the US many traders would use futures or CFDs.
• We tested two indices. The paper's follow-up picks a different stock each day, the ones moving most at the open. That needs data on thousands of stocks, and we didn't test it.

So does the opening range breakout work?

Partly. The 5-minute rule has a real edge on the Nasdaq 100: it beat every one of our coin-flip versions over 16 years. But it's about 0.03% a trade, and smaller since the paper came out.

That's why it needs leverage to look good, and why costs matter so much. At about 0.88 bp a trade it only matches buying the index and holding it. If you trade it, use the cheapest market you can, like a liquid ETF or futures, and expect to lose most days.