DP_ORB_Edge

An Opening Range Breakout strategy built to a published day-trading methodology, with every stop, target and end-of-day exit wired to a real backtestable order.

$10 one time Introductory price, while the line is being built out

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Fig. 1 The rule and the exit. The same opening range as DP_ORB Pro, but the first candle's own direction sets which side is permitted, and each level ends at the point where a real order closed it. Drawn from generated data, not a capture.

01 Function

Built to a published methodology

DP_ORB_Edge is a backtestable Opening Range Breakout strategy built to reproduce the rules of two named academic papers: Zarattini & Aziz, "Can Day Trading Really Be Profitable?" (SSRN 4416622), and Zarattini, Barbon & Aziz, "A Profitable Day Trading Strategy For The U.S. Equity Market" (SSRN 4729284). Four rules carry the result: a short five-minute opening range, direction taken from the first candle's own colour rather than the breakout side, a stop at the opposite range extreme, and a mandatory flat position at the close.

Both papers study US equities. This script applies their rules to index futures, which trade nearly around the clock and open differently. That transfer is the open question the script exists to test. What is sold here is a faithful implementation of the published rules; whether they hold on futures is what running the backtest is for.

02 Method

Every level is a real order

DP_ORB Pro draws a stop loss and three take-profit levels and never acts on them; its only real exit is a same-bar close reversal. DP_ORB_Edge exists to fix that. Every stop, target and end-of-day level it draws is wired to a live strategy.exit or strategy.close_all order, so the ladder on the chart is the ladder the backtest actually traded.

It also implements the papers' first-candle-direction filter, which most retail ORB scripts skip: a bullish opening range permits longs only, even if the eventual breakout runs the other way, and a bearish range permits shorts only. A doji range stands aside entirely.

Position size is computed from account risk percentage and stop distance, capped by a hard maximum contract count. The backtest engine itself is configured with a $5,000 initial capital, one contract fixed, $0.82 commission per contract and two ticks of slippage: the settings the strategy runs under, stated here so they can be checked.

03 Settings

What you tune

Opening Range Window: 5 minutes, default
First-Candle Direction Filter: Toggle
Entry mode: Stop order or close-confirm
Stop Placement: Range extreme or ATR multiple
Target: R-multiple of initial risk
Risk per trade: Percent, with a max-contracts cap

04 Spec

Specification

Type: Strategy
Pine version: v6
Chart placement: Overlay
Plots: Range box, entry / SL / target lines, dashboard
Alerts: Long / short entry, session-end flat
Market: MNQ1! / MES1! micro futures
Timeframe: 1–5 minute, NYSE 09:30 open
Backtest engine: $5,000 capital, 1 contract, $0.82 commission, 2-tick slippage

05 Licence

What a licence is

Every product on this site is sold on the same terms. There is no tier above this one and no plan below it.

Price: $10.00
Billing: Once
Machines per licence: 3
Future versions: Included
Renewal date: None
Account required: No
Verification: Offline, on your machine
Trial: 30 days, nothing disabled

$10 is an introductory price. It is what these products cost while the lines are being built out, and it is not the long-term price. What a licence buys does not change when the price does. Buy at $10 and it stays a full lifetime licence for three machines, every future version included, whatever it costs afterwards.

Activation happens once. Every launch after that is checked locally, so a studio with no internet opens normally and a licence cannot be switched off from here. Read the terms.