Does the opening range breakout work

Checked October 2026

An opening range breakout waits for price to break away from the start of the session, and trades in the direction of the break. Backtoast ran two. The stock version lost 92.5% a year and Toby Crabel's NR7 on futures made 0.2% a year, and both failed.

Buy stop First 5 minutes, closed up Stop

The stock version on five-minute bars. The buy stop sits at the first bar's high and the stop a tenth of the daily range under it. A first bar that closed down is the mirror. A drawn example, not market data.

Version	Trades	A year	Test
Stocks in play, first 5 minutes	1,936	−92.5%	Failed
Futures, Crabel NR7	39	+0.2%	Failed

Both runs are after costs. A positive year is not a pass. Failed means Backtoast wouldn't trade it with its own money.

Backtoast

You pay $99 for two full tests of your own strategy, and a pass is an offer of 30% of the profit Backtoast makes trading it with its own money.

Stocks in play

The stock version trades the 20 stocks with the most unusual volume in the first five minutes, among stocks over $5 that normally trade a million shares a day. If that first five-minute bar closed up, a buy stop goes at its high, and if it closed down, a sell stop goes at its low. The stop is a tenth of the stock's average daily range away, and anything still open is closed at 4:00 p.m.

Crabel NR7

NR7 is a day with a narrower high-to-low range than each of the six before it, and Crabel trades the morning after. A buy stop goes a set stretch above the open and a sell stop the same stretch below, the first one filled is the trade, and the other is its stop.

Crabel's stretch is the 10-day average of the smaller move off the open. The run couldn't build that, so it used half the average daily range of the last 10 days, which sits further out and triggers less often, and it closed each trade at 4:00 p.m. It traded ES, the E-mini S&P 500.

Larry Williams volatility breakout puts its stops half of yesterday's range from the open, every day.

Where it comes from

The stock rules are from Zarattini, Barbon and Aziz's 2024 paper, A Profitable Day Trading Strategy For The U.S. Equity Market, which reported 41.6% a year from 2016 to 2023. Crabel set out the stretch in a 1988 Stocks & Commodities article, and his 1990 book, Day Trading with Short Term Price Patterns and Opening Range Breakout, is the usual source for NR7. The book wasn't in hand. Both runs are from late 2021 to October 2026.

Both runs are Backtoast's, from 29 October 2026, after costs.

99% of trading strategies fail. Test yours.

$99 for two full tests. If one passes, we offer you 30% of the profit we make trading it.

Run the test