15-Min ORB with Noise Band and VWAP Filter (Nasdaq)
A 15-minute opening-range breakout on the Nasdaq 100, filtered by the time-of-day noise band and VWAP. As posted it made money after spread (+44% over five years, £1.25 won per £1 lost), and tuned settings held up on six months they never saw. The VWAP filter changed nothing.
From r/pinescript. The idea, in our words: Opening range 9:30-9:45 NY. At each 15-minute close from 10:00 to 2:00pm, go long when the close is above the OR high + 0.3 ATR, above the upper Noise Band and above VWAP (shorts mirrored). One trade a day, a wide 10 x 5-min ATR stop, flat at 3:45pm.
held upAs posted · the rules as described (see what we assumed below)
Optimized: best settings Quant Core found · last months held back as unseen data
Improved: skip the quietest markets (volatility in its bottom 30%)
We then tried 8 changes a quant would test first (640 settings in all) and kept the best on past data only. The held-back months played no part in choosing it. It did not hold up on the unseen months.
What we had to assume
- Nasdaq 100 CFD instead of MNQ futures
- 15-minute bars, so the post's 5-minute ATR is scaled: 0.3 x ATR5 ~ 0.17 x ATR15 buffer, 10 x ATR5 ~ 5.8 x ATR15 stop
- The 1R target is left out: at a 10 x ATR stop it is almost never reached, and the post says the trade is really held to 3:45pm
- Noise Band: 20-day lookback, 1.25 multiplier, gap-adjusted, measured per 15-minute slot from the 9:30 open
A different reading of the rules could give a different result.
Backtested with the StratOS optimizer on historical data, with spread and costs charged, and the most recent months held back as unseen data. A backtest is not a forecast, and nothing here is investment advice.