Larry Williams volatility breakout

Checked October 2026

Larry Williams buys when price rises from today's open by a set fraction of yesterday's range, and sells short the same move down. Backtoast ran it on E-mini S&P 500 futures with half the range. It made 2.5% a year over 1,081 trades, the best futures result in the set, and it failed.

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Larry Williams volatility breakout

At the 9:30 open the run placed a buy stop at the open plus half of yesterday's range and a sell stop at the open minus half. Whichever filled first was the trade, and the other level was its stop.

Williams exits at the first open that shows a profit. The run couldn't check for a profit at the open, so it closed every trade at the next morning's open.

Crabel's NR7, on the opening range breakout page, also puts stops a set distance either side of the open, but only after a narrow day, and Williams oops is his gap-reversal rule.

Where it comes from

The rule is from Larry Williams's Long-Term Secrets to Short-Term Trading (Wiley, 1999). The book wasn't in hand, so this is the version quoted in later write-ups, and they don't agree on the fraction of the range, using 25%, 50%, 60% or 100%. The run used ES on the 9:30 to 4:00 session from late 2021 to October 2026.

The run is Backtoast's, from 29 October 2026, after costs.