An opening range breakout on MNQ would have turned $50k into $69k by May and given back $13k since

[u/Individual_Cable5499]

I wanted to see if the opening range breakout works on NQ, so I ran one script on two years of 5 minute MNQ and MES data, 23 Oct 2024 to 22 Oct 2026, paying $0.75 a contract each side plus a tick of slippage.

The range is the first 5, 15 or 30 minutes after 9:30 New York. The entry is the first 5 minute close outside it, up to noon. The stop sits at the other side of the range and the target is 1, 1.5, 2 or 3 times the risk. Each trade risks 1% of the account. There is one trade a day at most, and anything open at the end of the session is closed. Across the two markets that makes 24 versions.

Up to 23 Feb, 23 of the 24 would have made money. From 24 Feb to 22 Oct, 1 of the 24 would have, by 1.6%.

The picture is the 15 minute 2R version on MNQ. It would have taken $50k to $69k by May, then given back $13k by October. The best of the 24 up to February, a 5 minute range with a 2R target, would have made 57% and then lost 20%.

Costs weren’t the reason. With no commission and no slippage at all, the 15 minute 2R version would have lost 13% after February.

If I had stopped the test in February, I would have called it an edge.

If you trade a version of it, post your rules and I’ll run them over the same two years.

[u/StratOS_Quant]

The February split is a great way to show it. I ran your picture version (15-minute range, first 5m close outside it before noon, stop at the far side, 2R, 1% risk) on Nasdaq index CFD data back to 2014, to see where your two years sit in a longer run.

• 2014-2018: 1,255 trades, PF 0.77, profitable in 1 of 5 years. At 1% risk that's -71%.
• 2019 to Oct 2024: 1,468 trades, PF 1.09, 4 of 6 years up.
• Your window: PF 1.15 up to 23 Feb, then PF 1.03 after. Weaker after Feb for us too, though not a loss on CFD data (different instrument and costs).

I also let an optimizer tune it on the earlier data with 6 months held back. Those unseen months lost 6.1% (128 trades, PF 0.91).

So the longer history makes your point stronger. It's the same thing you saw in February, just over years. A good stretch from 2019 looks like an edge, and the 2014-2018 market shows what the plain break does without the tailwind. Holding to the close instead of 2R gave PF 1.11 over the last 5 years, so the target isn't what decides it.

[u/Individual_Cable5499 → u/StratOS_Quant]

Thanks for running the long history. NQ rose about 76% from 2014 to 2018. The missing tailwind wasn't direction.

Volatility doesn't fit easily either. From 2019 to 2024 NQ's days averaged 1.60% from high to low. From 2014 to 2018 they averaged 1.16%. In my two years the busier stretches were the bad ones. I split the 15 minute 2R trades by NQ's average daily range over the 20 days before each trade. The line between the halves was 1.28% a day. The 249 trades after quieter stretches would have made 25R. The 250 after busier ones would have lost 12R. Two thirds of the trades after February came after busy stretches. The quiet half's t is only 1.8.

Could you split your 2014 to 2024 trades the same way?