NQ 15-Minute Opening Range Breakout
The 15-minute opening range breakout on the Nasdaq 100 made +69% over five years with costs included, but won only £1.09 per £1 lost and 28 of 61 months lost money. Tuning and a trend filter looked better on past data, yet both barely made money on the six unseen months (+1.6% and +2%).
From r/algotrading. The idea, in our words: Mark the high and low of Nasdaq futures' first 15 minutes after the US cash open, trade a breakout in either direction, and take profit at a distance equal to the range's height.
mixedAs posted · the rules as described (see what we assumed below)
Optimized: best settings Quant Core found · last months held back as unseen data
Improved: only trade with the trend (price above/below the 60min 200 EMA)
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
- Session open taken as 09:30 ET (US cash open); the post only says 'opening range'.
- Entry is on a touch or trade-through of the range boundary, filled at the boundary price.
- Stop placed at the opposite side of the opening range; the post gives no stop.
- One trade per day, first breakout only. This is inferred from roughly 1,000 trades over about 4 years.
- Unfilled or open trades are closed at 16:00 ET.
- No cutoff time for new entries.
- NQ futures are mapped to the NAS100TV CFD.
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.