What the opening range is
The opening range is the high and low of the first N minutes after the 09:30 New York cash open. Common choices are 5, 15 and 30 minutes. The idea: the first burst of regular-session volume sets a range, and a decisive break of it often starts the day’s move.
Pin down every rule
Decide each of these before you replay a single day:
- Range length — 5, 15 or 30 minutes. Test one at a time.
- Entry — a buy stop a tick above the high and a sell stop a tick below the low, or wait for a candle to close outside the range.
- Stop — the opposite side of the range, the midpoint, or a fixed number of points.
- Target — a multiple of risk (1R, 2R), a multiple of the range height, or exit at a fixed time.
- Trades per day — one attempt, or allow a reversal if the first break fails.
- Filters — skip unusually wide or narrow ranges, large overnight gaps, or major scheduled news such as FOMC afternoons.
- Time stop — flat by a fixed time if neither stop nor target is hit.
Setting up the backtest in Charts Replay
- Create a session on ES or NQ and choose fixed daily window replay, New York time — for example 09:30 to 12:00. Each day replays only that window, then moves to the next trading day.
- Replay the first 5, 15 or 30 minutes and mark the high and low with a rectangle or two horizontal lines. Drawings stay put when you switch between 1m and 15m.
- Place a buy stop above the high and a sell stop below the low, each with a bracket for your stop and target. When one side fills, cancel the other.
- Keep replaying until the trade is stopped, hits its target or reaches your time stop, then continue to the next day.
- After 100 or more days, open the session report.
Breakout entries are stop orders, and stop orders are where optimistic backtests lie. In Charts Replay a stop that’s gapped through fills at the worse open plus slippage, never at your trigger price.
What to measure
- Expectancy and profit factor after commissions, in R.
- Results by range length — run one session per variant so the reports stay separate.
- MFE on winners and losers: if losers often run 1R in your favor first, a closer target or a breakeven rule may help.
- False-break rate: how often the first break reverses through the other side.
- Results by day of week and on gap days versus quiet opens.
Pitfalls specific to ORB
- Defining the range after you’ve seen how the day played out.
- Testing only trending months — ORB loves trends and bleeds in ranges.
- Ignoring slippage on stop entries during fast opens.
- Mixing ES and NQ in one sample: NQ’s larger point moves and back-adjusted levels make results not directly comparable unless you work in R.