A popular day-trading strategy is the n-minute Opening Range Breakout (ORB), with 5-, 15-, 30-, and 60-minute variants. It defines the Opening Range by the high and low of the first n-minutes, then enters a trade when price breaks above or below that range.
Zarattini et al. identify the 5-minute ORB as the most profitable S&P 500 strategy, using the 9:30–9:35 a.m. ET Opening Range:
►Bearish Opening Bar: Go short if it closes below its open; hold even if price breaks above the Opening Range.►Bullish Opening Bar: Go long if it closes above its open; hold even if price breaks below the Opening Range.►Doji Bar: No trade if the close equals the open.
Equity curves for S&P 500 buy-and-hold (red) versus long/short ORB trading using 5-, 15-, 30-, and 60-minute ranges. COMBO (black) is equally weighted across all four. Period: 2016–2023; initial capital: $25,000; commission: $0.0035 per share.
S&P 500 buy-and-hold vs. long/short day trading the 5-, 15-, 30-, and 60-minute ORBs. COMBO is equally weighted across all four. Period: 2016–2023; initial capital: $25,000; commission: $0.0035 per share.
►Entry: Buy-stop at a bullish bar's high; sell-stop at a bearish bar's low.►Stop Loss and Exit: Stop at 10% of ATR from entry; otherwise, exit at 4:00 p.m. ET.
►Position Sizing: Risk approximately 1% of account equity per trade.►Performance: Outperforms longer ORB time frames and buy-and-hold.
Reference:
[ Zarattini et al.’s 5-Minute ORB Strategy may perform even better when restricted to Toby Crabel's
narrow-range days (NR7, IDnr4, and xBNR) and/or refined with ICT Entry Models and Time Macros. ]
NR7 and IDnr4 (gold-colored bars) in Crude Oil on Oct 22, 2026, and range expansion on Oct 23.
