Opening Range Breakout Strategy Success Rate on SPY Sectors

Testing the ORB Across All 11 SPY Sectors

We applied the opening range breakout backtester to all 11 major SPY sector ETFs over the past 30 days with identical settings. The goal: find which sectors produce the best ORB results during the current market environment. For all Volatility Box members, you can download the backtester from tosindicators.com/backtesters and repeat this process. If you are not a VB member, the free ORB indicator gives you the levels on your chart so you can follow along.

What We Looked For

Three things matter when scanning each sector:

• Long-side win percentage: We expect this to be elevated given the past 30 days have been fairly bullish in the broader markets.
• Short-side percentage: If the short side is positive during a rally, that tells you the strategy is working well even against the prevailing trend. That is notable.
• P&L graph shape: We want a climbing curve, not just one or two big trades driving the total. A consistently climbing P&L means the edge is repeatable.

Sector-by-Sector Results

Here is how each sector performed with the default ORB settings (close above entry, half range stop, half range target, 30-minute opening range):

Deep Dive: Optimizing Settings on XLV

With XLV identified as the top sector, we tested several parameter changes to find the best settings. Here is what each change did to the numbers:

Close above vs. wick touch entry: Switching from close above to wick touch caused the win rates to drop (from 81.8%/87.5% down to approximately 60%/80%). Waiting for the candle to close above the breakout level is the better entry method on XLV.

Half range stop vs. full range stop: Widening the stop to a full range improved the numbers to 90% long-side and 100% short-side. The P&L jumped to $6,944. A wider stop keeps you in trades that would have been shaken out by a narrow stop.

Full range target with full range stop: Going for the bigger target while keeping the wider stop still produced strong results: 87.5% long-side and 80% short-side with a higher P&L. Both numbers stayed well above the 50% threshold, suggesting the full range target is a worthy trade-off inside XLV.

Changing to a 15-minute opening range: Shrinking the opening range from 30 minutes (9:30-10:00) to 15 minutes (9:30-9:45) with a half range stop/target produced a deep red P&L. The 15-minute range does not provide a reliable sense of direction on XLV. Switching to full range stops brought the numbers back to positive (long side above 80%, short side 100%), but the half range test revealed that pullbacks to the half range level are common when using the shorter opening range. The 30-minute range remains the better default for this sector.

The 11 SPY Sector ETFs

Running Your Own Sector Scan

The sector rankings change over time. A sector that performs well over 30 days may underperform over the next 30. The process in this video is repeatable: load the backtester on each sector, note the three metrics (long win rate, short win rate, P&L curve), rank them, then drill into the top performers with parameter adjustments.

You can also change the lookback period. Use 30 days for a current snapshot, extend to 90 days for a more robust sample, or shorten to 10-15 days if you want the most recent data. Each timeframe tells you something different about the strategy's performance in that sector.

Frequently Asked Questions

Which SPY sector performed best with the ORB strategy?

XLV (Health Care) ranked first with an 81.8% long-side win rate and a consistently climbing P&L graph. XLRE (Real Estate) was a close second at 75% long and 100% short. Both sectors showed the most reliable ORB behavior over the 30-day backtest period.

Did wider stops improve ORB results on sectors?

On XLV, switching from a half range stop to a full range stop improved the long-side win rate to 90% and short-side to 100%, with P&L jumping to $6,944. Wider stops kept the backtester in trades that would have been shaken out by narrow stops.

Is the 15-minute or 30-minute opening range better for sectors?

On XLV, the 30-minute opening range was more reliable. Shrinking to 15 minutes with half range stops produced a deep red P&L. The 30-minute range provides a better sense of direction for sector ETFs.

Should I use close above or wick touch for sector ORB entries?

Close above. On XLV, switching from close above to wick touch caused win rates to drop from 81.8%/87.5% to approximately 60%/80%. Waiting for the candle to close beyond the breakout level filters out false signals.

Can I download the ORB backtester?

The backtester is included for free with your Volatility Box membership. Download it from tosindicators.com/backtesters. The free ORB indicator (available to everyone) plots the levels on your chart for manual analysis.