Intra-day Trading Strategy: Opening Range Breakout (ORB)

This report presents a quantitative analysis of the Opening Range Breakout strategy applied to three financial instruments - SPY, GLD, and NVDA - across multiple configurations. Building on the original research by Zarattini and Aziz (2023), Sefirot Financial Research tests the strategy's real-world profitability, its sensitivity to stop loss parameters, and its adaptability across different asset classes. The findings challenge some of the strategy's most common assumptions, offering practitioners and researchers an evidence-based perspective on its actual effectiveness.

Key topics covered:

• Structure and logic of the ORB intraday strategy

• Performance comparison across long-only and long/short configurations

• Impact of stop loss on returns and win rate

• Asset-specific behavior: ETFs vs. high-volatility equities

• Structural limitations and actionable suggestions for improvement