Traders Adopt ORB Strategy For Stocks In Play
A study by Carlo Zarattini, Andrea Barbon, and Andrew Aziz (analyzed by QuantifiedStrategies) finds that a 5-minute Opening Range Breakout (ORB), constrained to the top-20 stocks by opening relative volume, produced a 1,637% total return and 41.6% annualized IRR from Jan 1, 2016 to Dec 31, 2023. The refined ORB yielded a Sharpe Ratio of 2.81 and near-zero beta, indicating uncorrelated, risk-adjusted outperformance.
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Solid quantified backtest with high actionability and clear rules, but limited by single-source replication and missing peer-review validation.
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Sources
- Read OriginalStocks In Play Trading Strategy (Day Trading Stocks)quantifiedstrategies.com
