The Opening Range Breakout is one of the oldest mechanical day-trading ideas in existence: mark the high and low of the first 30 minutes after the open, then trade the first decisive break of that range. It is simple enough to test honestly — which is rare in this genre.
We ran it on 12 months of BTC and ETH (the 9:30–10:00 New York range — for crypto that anchors to the US equities-open volatility, since the market itself never closes), entering on the first 5-minute close beyond the completed range between 10:00 and 12:00, with costs and 1% risk. Results below.
Verified Result
Weak: the mechanical version barely cleared, or failed to clear, the fee hurdle.
| Market | TF | Trades | Win | PF | Max DD | Net |
|---|---|---|---|---|---|---|
| ETH | 5m | 403 | 42.2% | 0.80 | 31.7% | -26.9% |
| BTC | 5m | 417 | 39.3% | 0.65 | 45.9% | -44.8% |
How the SVS 32 breaks down ▾
12 months of real 1-minute data, fees on (0.05%/side), $10k start, 1% risk. How the score works →
The exact rules we tested
- Opening range = the high and low of 09:30–10:00 New York time (anchored, not rolling).
- From 10:00 to 12:00 NY: enter on the FIRST 5-minute close beyond the completed range (cross semantics — staying beyond the range does not re-signal).
- Long on a break of the range high; short on a break of the range low.
- Stop beyond the last opposing swing (fractal lookback 3); target 2R; any open position closes at 12:00 NY.
- Risk 1% per trade; 0.05% commission per side; 10× max notional leverage.
Results
Binance spot 1-minute klines (data-api.binance.vision), aggregated per strategy timeframe · starting balance $10,000 · risk 1%/trade · Commission 0.05% per side; no spread/slippage modeled (BTC/ETH spot spreads are sub-basis-point); position size capped at 10× notional leverage. Generated 2026-06-12 by the Secuora ai-strategy deterministic runner (same engine as the in-app AI backtester).
| Month | Trades | Win rate | Net P&L |
|---|---|---|---|
| 2025-06 | 33 | 33% | −$524 |
| 2025-07 | 33 | 55% | −$217 |
| 2025-08 | 39 | 36% | −$905 |
| 2025-09 | 31 | 26% | −$662 |
| 2025-10 | 38 | 39% | −$194 |
| 2025-11 | 33 | 45% | −$67 |
| 2025-12 | 31 | 45% | $77 |
| 2026-01 | 39 | 36% | −$801 |
| 2026-02 | 31 | 45% | −$166 |
| 2026-03 | 35 | 37% | −$337 |
| 2026-04 | 37 | 35% | −$474 |
| 2026-05 | 37 | 41% | −$216 |
| Month | Trades | Win rate | Net P&L |
|---|---|---|---|
| 2025-06 | 34 | 32% | −$811 |
| 2025-07 | 33 | 52% | $90 |
| 2025-08 | 29 | 59% | $712 |
| 2025-09 | 30 | 33% | −$474 |
| 2025-10 | 38 | 47% | −$89 |
| 2025-11 | 34 | 50% | $269 |
| 2025-12 | 32 | 47% | $64 |
| 2026-01 | 36 | 42% | −$359 |
| 2026-02 | 29 | 48% | −$117 |
| 2026-03 | 35 | 23% | −$905 |
| 2026-04 | 36 | 36% | −$966 |
| 2026-05 | 37 | 41% | −$102 |
Assumptions (how loose terms were pinned down)
- Opening range = the high/low of 09:30–10:00 New York time
- Entry on the FIRST 5m close beyond the completed range (cross, no re-entry signal while price stays beyond)
- Entries allowed 10:00–12:00 NY; any open position closes at 12:00
- Stop beyond the last opposing swing (fractal lookback 3); 2R target; 1% risk per trade
- Crypto trades 24/7 — the NY window captures the US-equities-open volatility, not an exchange open
Why the exact mechanics matter
Most published ORB "results" never say whether the range is anchored or rolling, whether entries re-arm, or where the stop goes — and those choices change everything. Ours are pinned: anchored 30-minute range, first-cross-only entry, structure stop, hard 2R, flat by noon. Change any of them and you are testing a different strategy.
ORB is also the classic example of a strategy whose edge is regime-dependent: it pays in expansion phases and bleeds in balance phases. The monthly breakdown below shows that texture honestly.
Methodology, in one paragraph
Data: Binance spot 1-minute klines (data-api.binance.vision), aggregated per strategy timeframe, June 1, 2025 – June 1, 2026 (12 months). Execution: Secuora’s deterministic strategy runner (the same engine behind the in-app AI backtester) — single position at a time, entries at the close of the signal candle, commission 0.05% per side; no spread/slippage modeled (btc/eth spot spreads are sub-basis-point); position size capped at 10× notional leverage, starting balance $10,000, 1% risk per trade. Swings are confirmed fractals with no look-ahead. These are mechanical results: no discretion, every signal taken. Past performance does not predict future results; this is research, not financial advice.
Frequently asked questions
What is the Opening Range Breakout (ORB) strategy?
Mark the high and low of the first 15, 30 or 60 minutes after the session open, then trade the break: long above the range high, short below the range low, typically with a stop at the opposite side or the nearest structure and a fixed reward multiple. This page tests the 30-minute variant mechanically.
What win rate does the ORB strategy have?
In our mechanical 12-month BTC/ETH test (30-minute NY opening range, first-close-beyond entry, structure stop, 2R target, costs on), the win rate and profit factor are shown in the results table above. Breakout strategies with 2R targets typically run sub-50% win rates and rely on the winners being twice the losers — judge the expectancy, not the win rate alone.
Does ORB work on crypto?
Crypto has no session open, but the 9:30am New York equities open still creates a real volatility window on BTC and ETH. Our results measure exactly that window. On index futures (NQ/ES) the open is structural and the setup is more pronounced — you can replay those sessions on Secuora to compare.
How do I backtest ORB myself?
Describe it in plain English to Secuora’s AI backtester ("mark the 9:30–10:00 high and low, trade the first close beyond it, stop at structure, 2R") — it compiles to the same engine that produced these numbers — or replay any session bar by bar and trade it manually.