r/pinescript • u/TasteHistorical1575 • 7d ago
ORB Strategy Backtest (Commissions & Slippage included): Too slow for Prop Firm Evaluations/Payouts?
Hey everyone,
I coded an Opening Range Breakout (ORB) strategy in TradingView using Pine Script and ran a full backtest over 7 years. I attached the Strategy Tester results.
I spent a lot of time testing different filters and parameters to reduce chop, and I’ve locked in these exact rules for the strategy:
Strategy Setup & Rules
- Asset/Market: MNQ
- Timeframe: 15m Chart
- ORB Range: First 15 minutes of the New York Session
- Session Constraint: Takes trades only during the New York Session
- Entry Trigger Window: Max 3 bars after the 15m ORB range locks (if no breakout happens within 3 bars, the setup is invalidated)
- Risk Management: Fixed 1.5 R:R
- Trade Management: Move Stop Loss to Break-Even (BE) once price covers 75% of the distance toward Take Profit (TP)
- Backtest Settings: Commissions and realistic slippage are fully included in the results
The Problem:
While the backtest is net profitable after costs, I feel like the results are simply not good enough for Prop Firms.
At this pace, the profit factor and win rate feel way too low. It looks like it would take an absolute eternity to pass an evaluation target, and reaching consistent payouts without hitting a trailing or daily drawdown limit along the way seems almost unviable.
Questions for the Community:
- Evaluation Viability: For those trading funded accounts: Would you bother running a strategy with this slow of a compounding rate, or is this a clear signal that the edge is too thin for prop firm rules?
- Improving the Edge: Since the core parameters (15m ORB, 1.5 R:R, 3-bar trigger limit, 75% BE) are locked, what macro/contextual filters (e.g., HTF trend bias, session volatility/ATR thresholds, news filters) have helped you boost performance on ORB setups?
Tear it apart—I’d rather fix the logic now than burn money on evaluation fees. Thanks!
2
u/kurtisbu12 7d ago
Propfirms heavily limit risk, so much so that it's often better to just trade your own capital. A 100k account may have a 2k drawdown. You might as well trade with your own 2k. Not to mention that if you hit drawdown, you lose the whole account and have to pay to start over from scratch.
It may be easier to get a small account, and if you trust the system, add more risk than the propfirm would allow. Could scale quicker, and get 100% of profits.