Buy at opening candle range breakoutlongBacktest Results @ EURUSD • 5 Minutes
This intraday breakout strategy seeks to enter once price breads above the opening candle High, at any stage of a day. It takes profit on Opening Range High+Opening Range Size, and it has a stop loss at Opening Range Low. It never carries a position overnight; it always exits at the last candle of a day in case if no other exit conditions were met.
Equity Curve
Backtest covers 49 days of EURUSD • 5 Minutes (Euro vs USD spot (Interactive Brokers)) data, from June 13, 2025 to August 1, 2025.
Equity curve is the strategy's performance over time. You should compare it to the asset's Buy & Hold performance. In general, you want the blue area to be well above the gray area.
Drawdown is how much losses (realized or unrealized) the strategy has had if compared to the highest equity peak. Compare this to the asset's drawdown to see whether your strategy does a decent job of isolating you from downside volatility. In general, the red area must be well within the gray area.
So, we have backtested Buy at opening candle range breakout on 49 days of EURUSD • 5 Minutes candles. This backtest resulted in 32 positions, with the average win rate of 88% and reward-risk ratio of 0.24. If you assume that 0.24 reward-to-risk ratio holds, you need a minimum win rate of 80.7 to be profitable. So you're looking good so far. However, 32 positions is a small sample size, so take the results with a huge grain of salt. The key metrics are as follows:
- Total Return: Total Return: 0.70% vs 0.80% for the asset
- Max Drawdown: Max Drawdown: -0.70% vs -3.70% for the asset
- Exposure: Exposure: 22.70% time in the market
- Win Rate: Win Rate: 88.0%, vs 80.7% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 0.24
With that exposure in mind, you can tell that for 23% time-in-market, you get 87.50% of the asset upside potential, and 18.92% of the asset downside potential.
Buy at opening candle range breakout: enter a position when
All of the following: # Papa 5min Opening range JS, Entry Signal emerged
Buy at opening candle range breakout: exit a position when
All of the following: # X-ray 5min Opening range JS, Exit Signal emerged
Buy at opening candle range breakout @ EURUSD • 5 Minutes (0.7%) backtest results explained by Alex C, Sarah
Alex C
AuthorThis strategy looks quite interesting from statistical perspective, but I have some concerns about its real-world applicability. The win rate of 88% is impressively high, but when you look at the risk/reward ratio of 0.24, it shows we are winning small and losing big - this is typical mistake many beginners do.
The market exposure of 22.7% and average position duration of 69.9 candles suggests this is more of an intraday strategy, which fits well with the opening range breakout concept. However, the net profit of 0.7% over 49 days is barely beating buy & hold at 0.8%, and with Sharpe ratio of just 0.05, the risk-adjusted returns are not convincing. The volatility metrics show the strategy is less volatile than the underlying asset, which is good, but the low correlation (0.09) suggests it might not be capturing meaningful market moves.
From pure mathematics perspective, the strategy is statistically valid - the win rate leeway is healthy and the sample size of 32 trades gives us enough data points to make some conclusions. But I would want to see how it performs over different market regimes before considering real money deployment. Also the negative 1-month performance (-0.1%) raises red flags about strategy's recent effectiveness. Maybe some parameter optimization could help improve the risk/reward ratio without sacrificing the high win rate.
Sarah
AuthorMadre mía, what a disaster of a strategy! The numbers look pretty, but they are pure garbage when you look deeper.
Let me tell you why this is complete mierda: First, your net profit is 0.7% over 49 days, which is even worse than buy & hold (0.8%). You're basically doing worse than doing nothing! And for what? To sit there watching 32 trades like some kind of masochist?
The most ridiculous part is your risk/reward ratio of 0.24 - you're risking 4 times more than what you're winning per trade! Even with your fancy 88% win rate, you're walking on very thin ice, amigo. One bad streak and ¡poof! - your account goes bye-bye.
Your Sharpe ratio is pathetic at 0.05 - might as well be gambling in Las Vegas, at least they give you free drinks there. And that market exposure of 22.7%? You're spending way too much time in the market for such miserable returns.
Do yourself a favor and go back to the drawing board. This strategy is like a beautiful car with no engine - looks nice on paper but completely useless in real life. And don't get me started on that correlation of 0.09 - you're basically trading random noise!
Tabular metrics of Buy at opening candle range breakout backtested on EURUSD • 5 Minutes
| Total Trades | 32 | Net Profit | 0.7% | Buy & Hold Profit | 0.8% |
| Win Rate | 88% | Reward/Risk Ratio | 0.24 | Max Drawdown | -0.7% |
| Asset Max Drawdown | -3.7% | Exposure | 22.7% | Avg Candles in Position | 69.9 |
| Sharpe Ratio | 0.05 | Sortino Ratio | 0.29 | Realized Volatility | 1.59% |
| Max Winning Streak | 11 | Avg Winning Streak | 5.6 | Max Losing Streak | 1 |
| Avg Losing Streak | 1.0 | Avg Trades per Month | 39.2 | Avg Trades per Day | 1.3 |
| Return Std Dev | 0.1 | Loss Std Dev | 0.2 | Win Std Dev | 0.0 |
| Expectancy | 0.1 | Beta | 0.14 |
All backtests for Buy at opening candle range breakout
| backtest | exposure | peformance vs asset | drawdown vs asset | win% | reward/risk |
|---|---|---|---|---|---|
BTCUSDT • 10 Minutes | 15% | (1.0%/4.2%) 0.24x | (-4.6%/-11.1%) 0.41x | 56 | 0.9 |
EURUSD • 10 Minutes | 22% | (0.8%/2.1%) 0.38x | (-1.7%/-3.6%) 0.47x | 87 | 0.2 |
GLD • 10 Minutes | 24% | (0.8%/39.2%) 0.02x | (-2.6%/-8.3%) 0.31x | 60 | 0.7 |
NVDA • 10 Minutes | 32% | (25.9%/41.7%) 0.62x | (-15.6%/-42.8%) 0.36x | 54 | 1.1 |
PLTR • 10 Minutes | 33% | (38.1%/439.0%) 0.09x | (-25.4%/-46.5%) 0.55x | 58 | 1.0 |
SPY • 10 Minutes | 22% | (16.4%/12.3%) 1.33x | (-5.5%/-20.7%) 0.27x | 68 | 0.8 |
TSLA • 10 Minutes | 29% | (-7.9%/23.0%) -0.34x | (-34.7%/-55.3%) 0.63x | 60 | 0.7 |
WMT • 10 Minutes | 32% | (13.3%/40.0%) 0.33x | (-9.1%/-23.8%) 0.38x | 63 | 0.8 |
BTCUSDT • 15 Minutes | 20% | (2.3%/33.4%) 0.07x | (-7.2%/-12.0%) 0.60x | 52 | 1.1 |
EURUSD • 15 Minutes | 27% | (3.9%/8.2%) 0.48x | (-1.4%/-4.3%) 0.33x | 83 | 0.3 |
GLD • 15 Minutes | 31% | (4.0%/66.4%) 0.06x | (-4.4%/-8.3%) 0.53x | 59 | 0.8 |
NVDA • 15 Minutes | 34% | (69.7%/211.7%) 0.33x | (-10.1%/-42.8%) 0.24x | 57 | 1.2 |
PLTR • 15 Minutes | 33% | (124.3%/846.9%) 0.15x | (-14.3%/-46.5%) 0.31x | 56 | 1.4 |
SPY • 15 Minutes | 24% | (13.3%/31.8%) 0.42x | (-4.4%/-21.1%) 0.21x | 62 | 0.8 |
TSLA • 15 Minutes | 27% | (16.3%/41.6%) 0.39x | (-20.0%/-55.6%) 0.36x | 56 | 0.9 |
WMT • 15 Minutes | 33% | (27.2%/83.0%) 0.33x | (-4.9%/-23.8%) 0.21x | 64 | 0.9 |
BTCUSDT • 30 Minutes | 21% | (-3.7%/14.3%) -0.26x | (-20.8%/-31.2%) 0.67x | 57 | 0.7 |
EURUSD • 30 Minutes | 35% | (-1.1%/5.7%) -0.19x | (-5.2%/-7.4%) 0.70x | 75 | 0.3 |
GLD • 30 Minutes | 34% | (11.1%/87.3%) 0.13x | (-6.9%/-11.8%) 0.58x | 55 | 1.0 |
NVDA • 30 Minutes | 34% | (58.6%/1089.5%) 0.05x | (-29.2%/-42.9%) 0.68x | 54 | 1.1 |
PLTR • 30 Minutes | 30% | (19.4%/1516.1%) 0.01x | (-41.6%/-48.4%) 0.86x | 54 | 0.9 |
SPY • 30 Minutes | 35% | (18.1%/65.6%) 0.28x | (-6.8%/-20.2%) 0.34x | 63 | 0.7 |
TSLA • 30 Minutes | 29% | (62.0%/33.8%) 1.83x | (-20.9%/-67.1%) 0.31x | 56 | 1.0 |
WMT • 30 Minutes | 32% | (32.0%/138.6%) 0.23x | (-6.5%/-23.8%) 0.27x | 58 | 1.1 |
BTCUSDT • 5 Minutes | 18% | (2.2%/5.7%) 0.39x | (-2.1%/-8.9%) 0.24x | 64 | 1.0 |
EURUSD • 5 Minutes | 23% | (0.7%/0.8%) 0.87x | (-0.7%/-3.7%) 0.19x | 88 | 0.2 |
GLD • 5 Minutes | 23% | (-3.0%/21.5%) -0.14x | (-7.3%/-8.0%) 0.91x | 61 | 0.5 |
NVDA • 5 Minutes | 29% | (14.6%/42.5%) 0.34x | (-9.3%/-38.8%) 0.24x | 61 | 0.9 |
PLTR • 5 Minutes | 26% | (18.3%/95.6%) 0.19x | (-14.7%/-46.6%) 0.32x | 55 | 1.1 |
SPY • 5 Minutes | 14% | (5.4%/3.4%) 1.59x | (-4.0%/-21.1%) 0.19x | 61 | 0.9 |
TSLA • 5 Minutes | 21% | (47.4%/-22.2%) -2.14x | (-7.1%/-48.5%) 0.15x | 68 | 0.9 |
WMT • 5 Minutes | 27% | (12.5%/1.2%) 10.42x | (-4.8%/-23.8%) 0.20x | 63 | 0.9 |