Opening Range Breakout Strategy Success Rate on Indices

We run the ORB backtester on all four major index futures (S&P, Dow, NASDAQ, Russell) across 10-day and 30-day lookback periods during the current high-volatility environment. The Dow emerges as the top performer with a $4,280 P&L and 81% short-side win rate over 30 days. The S&P comes in second. The NASDAQ and Russell both underperform. Testing permutations on the winners, we find that close above entry, half range stop, and half range target is the optimal combination. Wider stops, wider targets, and wick touch entries all made results worse.

Testing the ORB Across Four Major Index Futures

In the companion video, we apply the opening range breakout backtester to all four major index futures: the S&P 500, Dow, NASDAQ, and Russell. The goal is to find which markets produce the best ORB results during the current high-volatility environment. For all Volatility Box members, the backtester is included free with your membership at tosindicators.com/backtesters. If you are not a VB member, the free ORB indicator gives you the levels on your chart so you can follow along.

10-Day Backtest: 1-Minute Chart

We started with a 10-day lookback on a 1-minute chart using default settings: close above entry, half range stop, half range target.

S&P 500: 9 total breakouts. Long side went 1 for 3, a 33% win rate. Short side performed better at 5 for 6. The short side was clearly the stronger direction on the S&P during this period.

Dow: Long side went 1 for 1 (one trade only, so small sample). Short side went 7 for 8. The P&L graph was green, confirming the strategy was profitable across both longs and shorts on the Dow.

NASDAQ: Long side went 1 for 3, a 25% win rate (the worst long-side result across all four markets). Short side went 3 for 5, a 60% win rate. The NASDAQ was the worst performer on both the long side and the short side during this window.

Russell: Similar story to the NASDAQ. Long side went 1 for 4. Short side went 3 for 5, also 60%. The same pattern of underperformance carried over from the NASDAQ to the Russell.

30-Day Backtest: 3-Minute Chart

Expanding to 30 days of data, we switched to a 3-minute chart (to keep load times manageable on ThinkOrSwim). The same default settings applied: close above, half range stop, half range target. More data points give us a clearer picture of whether the 10-day patterns hold up.

Market	Long Win Rate	Short Win Rate	P&L	P&L Graph
S&P 500	62.5%	80%	$3,906	Green
Dow	69%	81%	$4,280	Green (best)
NASDAQ	46.6%	64%	Negative	Red
Russell	50%	66.67%	$632.50	Fading green

The Dow produced the best overall P&L at $4,280 with 69% on the long side and 81% on the short side. The S&P came in second at $3,906 with 62.5% long and 80% short. The NASDAQ was the worst performer with a 46.6% long-side win rate and a clearly red P&L graph. The Russell was marginally positive at $632.50 but had a P&L graph that took a sharp hit on the final day.

The 30-day results confirmed the 10-day pattern: the Dow and S&P are the two markets where the ORB strategy is working. The NASDAQ and Russell are not producing a reliable edge with these settings during this period.

Testing Permutations on the Dow

With the Dow identified as the top performer, we tested parameter changes one at a time against the $4,280 baseline.

Full range stop (wider stop): P&L dropped to $4,142.50. Close enough to not justify the additional risk. The wider stop did not save enough losers to offset the larger losses when trades did fail.

Full range target (wider target): P&L went negative. This tells us something specific about the Dow during this period: breakouts are reaching the half range target but not the full range target before reversing. Going for the bigger move does not pay off on the Dow right now.

Wick touch entry (no confirmation): P&L dropped from $4,280 to $2,797. The confirmation provided by waiting for a close above or below the breakout level matters on the Dow. Being more aggressive with entries reduces profitability.

Testing Permutations on the S&P

We ran the same tests on the S&P against its $3,906 baseline.

Full range stop: P&L decreased. Cutting losers faster with the half range stop is the better approach on the S&P as well.

Full range target: P&L dropped significantly. Same pattern as the Dow. The S&P breakouts are reaching the half range but not the full range during this period.

Wick touch entry: P&L dropped to $3,287. Again, the close above confirmation improved results. The S&P and Dow both reward patience on the entry.

Why the NASDAQ and Russell Underperform

The NASDAQ produced a 46.6% long-side win rate and 64% short-side rate, with a red P&L graph. The Russell was slightly better at 50%/66.67% but showed a fading P&L. In both cases, these markets lacked the follow-through needed for the ORB strategy to produce consistent profits.

During periods of high volatility, the NASDAQ and Russell tend to produce wider opening ranges that are harder to break cleanly. The result is more false breakouts and more trades that reverse after triggering the entry. The S&P and Dow, with their different composition and volatility profiles, gave more reliable breakout signals.

How to Repeat This Process

The rankings change over time. A market that works well during one 30-day window may underperform in the next. The process is repeatable: load the ORB backtester on each market, note the three metrics (long win rate, short win rate, P&L curve), rank them, then test permutations on the top performers.

You can also change the lookback period or the opening range timeframe. The video used a 30-minute opening range (9:30 to 10:00), but you can test 15-minute (9:30 to 9:45) or adjust the entry time window. Each change tells you something different about how the strategy performs in that market under current conditions.

This same approach works on individual stocks and sector ETFs, not just index futures. Load the backtester on any chart, check the numbers, and let the data tell you where the strategy is working. For all Volatility Box members, the backtester is available at tosindicators.com/backtesters.

Frequently Asked Questions

Which index market performed best with the ORB strategy?

The Dow produced the best results with a $4,280 P&L over 30 days, a 69% long-side win rate, and an 81% short-side win rate. The S&P came in second at $3,906. Both outperformed the NASDAQ and Russell during this high-volatility period.

What ORB settings work best on index futures?

Close above entry, half range stop, half range target. These default settings outperformed every permutation tested on both the Dow and S&P. Wider stops dropped the Dow P&L to $4,142.50. Wider targets made the Dow P&L go negative. Wick touch entries dropped it to $2,797.

Why did the NASDAQ underperform?

The NASDAQ had the worst results across both timeframes: 25% long-side win rate on the 10-day chart and 46.6% on the 30-day chart. The P&L graph was clearly red. During this high-volatility period, NASDAQ breakouts lacked the follow-through needed for the strategy to work.

Should I use a wider stop or narrow stop?

The half range (narrow) stop performed better on both the Dow and S&P. On the Dow, a full range stop only changed the P&L from $4,280 to $4,142.50, not enough improvement to justify the additional risk. Cutting losers faster is the better approach during this period.

Does close above entry matter compared to wick touch?

Yes. Waiting for a close above the breakout level consistently outperformed wick touch entries. On the Dow, wick touch dropped the P&L from $4,280 to $2,797. On the S&P, it dropped from $3,906 to $3,287. The confirmation from a candle close filters out false breakouts.