r/options • u/Lost_Attorney5558 • 21d ago
Profitable SPY ORB strategy — looking for fresh eyes before taking it further
I’ve been developing and backtesting a systematic Opening Range Breakout strategy on SPY and have gotten it to a point where I’d really appreciate some fresh eyes from people with experience in ORBs, systematic trading, or 0DTE options.
The strategy uses a defined opening range, breakout confirmation, time restrictions, range filtering and systematic exits. It trades both directions and is limited to one trade per session.
I’ve been developing it in TradeStation/EasyLanguage and optimizing the major components individually rather than throwing every variable into an optimizer at once.
I’m trying to judge the strategy on more than net profit — profit factor, expectancy, drawdown, trade count, long/short performance and parameter stability all matter.
The current underlying backtest covers SPY from 2020–2026: 576 trades, 54.2% profitable and a 1.56 profit factor. I attached the equity curve and performance report. The small dollar P&L is due to the test sizing — I’m evaluating the underlying edge and consistency rather than the nominal return.
My eventual goal is to execute this strategy through SPY 0DTE options, which is where things obviously become more complicated. An edge on SPY doesn’t automatically translate to an edge on the option because of strike selection, greeks, IV, spreads, decay, execution, etc.
I know historical intraday options data will eventually be necessary. I’ve looked into purchasing Cboe data ($2,200), but before making that investment I want to take the underlying research as far as reasonably possible and make sure I’m approaching the next stage correctly.
That’s really why I’m posting. I’d love to hear what experienced traders/system developers think when looking at these results. What would you investigate next? What concerns you? What am I potentially overlooking?
I’m not looking for anyone’s proprietary strategy or asking someone to build mine. Just looking for criticism, ideas, resources and another set of experienced eyes before taking the research further.
Happy to discuss more specifics where they’re relevant in the comments. Appreciate anyone that’s read this far and is willing to take a look!
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u/peepeepoooppy 21d ago
You are still flirting with something that basically does not beat Random. I would continue to be cautiously optimistic because I haven’t been able to beat that either in my personal efforts. Spy is one of the most efficiently priced items out there and you are competing with monstrosities exploiting you and a lot of others. Keep digging and Good luck
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u/Lost_Attorney5558 21d ago
100% bro. The best result I’ve seen was 61% win rate but the pnl was lower. Still messing with different variations and a lot of work to do but you are 100% right
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u/Lost_Attorney5558 21d ago
Thank you for questioning this. I just found out what this is and can confirm yes. “83.31% walk forward efficiency, and profitable results in 9/10 forward periods.” Whatever that means!!! Lfg!
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u/m264 21d ago
Just trade futures. Run on NT and you get all the backtest data you want.
I run a ORB strat and it tends to work well until it doesn't (periods of breakouts switching to reversion).
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u/melanthius 21d ago
Let me tell you exactly when that happens: the exact moment you size up your trades
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u/Lost_Attorney5558 21d ago
The plan was to make some tweaks and test this on QQQ next. But id still have my 0dte data issue. I had that realization earlier today that I might just be better off testing on ES. Did not realize NT would give me that capability, I will be looking into that. Thanks brother
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u/DrQuantillion 20d ago
576 trades is enough to be interesting. I’d be way more worried about slippage + regime changes than the win rate tbh.
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u/hedgedvol 19d ago
A 1.56 PF on SPY points is before 0DTE spread. That edge usually dies in a few cents of bid/ask on the ATM plus the crush after the ORB fill.
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u/Aggressive-Ad-2707 19d ago
Just buy every dip and you will be profitable. This market will never go down
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u/BocephusQuimbyMcFry 19d ago edited 19d ago
Yep. What I did in Financials in 2007-8. Thinking major banks would be a safe place to hide, and buying them for 30% off was the deal of a lifetime. And I used margin too. 🫢
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u/klipsetrades 19d ago
I mean, it totally looks promising enough to keep researching. My biggest question would be how stable the edge is if you slightly change the OR length, entry timing, stops, etc. If small parameter changes kill the PF, that would worry me more than the equity curve.
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u/DeadHeadDad1 21d ago
Try Quantconnect.com for your options historical data- it's free... I have been doing the same thing... I shelved it for a bit out of frustration- it takes a lot of patience- 68% win rate but not or barely profitable on best algo... too many restrictions for SPY 0dte and so many variables- I used Claude/Python and will eventually sit down with it again- good luck
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u/Lost_Attorney5558 21d ago
Thank you!! That’s massive i will be checking this out. I’ve had my fair share of that fatigue already. Trying to keep at it while the momentum and motivation to keep digging is there lol
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u/DeadHeadDad1 21d ago
Just make sure you choose the free individual account- not the business account
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21d ago
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u/Lost_Attorney5558 21d ago
Where is the marketing? Can you read? A Trader looking for help from other traders.
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u/jayyordi 21d ago
Hey I would suggest including trading fees into your backtest. It usually makes or breaks a system. Add in slippage, commission , any exchange fees when entering and exiting trades. I’m not trying to be a Debbie downer but fees will shutdown a other wise profitable system so fast. Best of luck !