We Backtested the NQ Opening Range Breakout Since 2010
Fixed rules, 16 years of NQ data, and every result by year. Win rate, profit factor, worst drawdown and the days we dropped. Simulated, not a promise.
We tested the classic NQ opening range breakout on every session we could from June 2010 to September 2026. After costs, it lost money. There were 3,616 trades, a 48.8% win rate, a profit factor of 0.96, and a total of -47.4R.
We sell backtesting software, and a headline that said "this strategy made 900R" would probably do better for us. But it didn't, and the way it fails is more useful than a win would have been.
R means one unit of risk. If your stop was 30 points away, then 1R is 30 points. Using R lets a 2011 trade sit next to a 2025 trade, even though NQ was around 1,800 then and around 29,000 now.
The rules, written before we ran anything
We used the exact rules from our opening range breakout guide. We didn't tune them, and we ran them once.
| Decision | Rule |
|---|---|
| Market | NQ futures, regular session, New York time |
| Opening range | High and low of the 09:30, 09:35 and 09:40 candles |
| Signal | First 5-minute close outside the range, 09:45 to 10:25 candles |
| Entry | Open of the next 5-minute candle |
| Stop | The other side of the range |
| Target | 2R from the entry |
| Time exit | Open of the 11:00 candle |
| Frequency | One trade a day at most |
| Costs | 1 tick of slippage each way plus $4.50 a round trip |
That cost works out to $14.50 per NQ contract, or 0.725 points. If both the stop and target fell inside one 1-minute candle, we counted the stop.
The headline numbers
| Measure | Before costs | After costs |
|---|---|---|
| Trades | 3,616 | 3,616 |
| Win rate | 50.1% | 48.8% |
| Average trade | +0.020R | -0.013R |
| Total | +73.3R | -47.4R |
| Profit factor | 1.07 | 0.96 |
| Worst drawdown | 29.3R | 100.6R |
| Longest losing streak | 10 | 10 |
Of the 4,187 sessions in the window, 63 were dropped because a bar the rules needed was missing from our data. Another 508 had no signal. No session was dropped for any other reason.
Long and short were the same
| Side | Trades | Win rate | Total | Profit factor |
|---|---|---|---|---|
| Long | 1,862 | 51.5% | -21.0R | 0.96 |
| Short | 1,754 | 46.0% | -26.4R | 0.96 |
You'd expect longs to do better, since NQ rose about sixteenfold in this window. They won more often, but they didn't make more money.
Year by year
| Year | Trades | Win rate | Total | Profit factor |
|---|---|---|---|---|
| 2010 (from June) | 123 | 52.0% | +4.6R | 1.13 |
| 2011 | 227 | 45.4% | -13.0R | 0.85 |
| 2012 | 217 | 49.8% | -13.1R | 0.83 |
| 2013 | 214 | 46.7% | -7.8R | 0.89 |
| 2014 | 217 | 44.7% | -25.6R | 0.68 |
| 2015 | 207 | 44.9% | -12.4R | 0.80 |
| 2016 | 223 | 44.8% | -12.1R | 0.85 |
| 2017 | 215 | 46.0% | -1.8R | 0.97 |
| 2018 | 221 | 52.5% | +11.8R | 1.19 |
| 2019 | 219 | 49.3% | +6.9R | 1.11 |
| 2020 | 215 | 51.2% | -7.0R | 0.89 |
| 2021 | 228 | 51.8% | +4.9R | 1.08 |
| 2022 | 228 | 49.1% | +4.0R | 1.06 |
| 2023 | 229 | 48.0% | -2.4R | 0.97 |
| 2024 | 238 | 50.8% | +11.4R | 1.15 |
| 2025 | 226 | 53.1% | +14.4R | 1.22 |
| 2026 (to Sept 16) | 169 | 50.9% | -10.3R | 0.81 |
The pattern is there if you want it. From 2010 to 2017 the strategy lost 81.2R. From 2018 to 2025 it made 44.0R. So has the market changed in its favor?
Maybe. But look at 2024 and 2025: two good years in a row, the best stretch in the whole test. A trader testing just those two would have seen 464 trades, +25.8R and real confidence. Then came 2026, with -10.3R in less than nine months.
We can't tell you whether the 2018 change is real or a long run of luck. Neither can anyone else, and you should be wary of anyone who says otherwise.
Why the target almost never got hit
This is the strangest part of the test:
| How the trade ended | Trades | Share |
|---|---|---|
| 11:00 time exit | 2,812 | 77.8% |
| Stop | 691 | 19.1% |
| 2R target | 113 | 3.1% |
More than three of every four trades simply ran out of time. The median stop was 32.5 points away, because a signal usually comes after price has already left the range. A 2R target then needs a 65-point run in about an hour, and that rarely happened.
So the 2R in the rules is mostly decoration. If we traded this, the real strategy would be "enter on the break, leave at 11:00". We didn't test that as a separate version, and we won't call it better. It's an idea for a new test on fresh data.
The mistake that turns this into a great strategy
Here's the part we'd frame on the wall. We changed one thing: instead of the next candle's open, we assumed the entry happened right at the range line.
| Entry assumption | Win rate | Total | Profit factor |
|---|---|---|---|
| Next open (realistic) | 48.8% | -47.4R | 0.96 |
| Range line (impossible) | 57.2% | +699.1R | 1.67 |
Same rules, same dates, same costs. A signal that needs a candle to close can't fill at a price from before that close, yet an easy spreadsheet or a sloppy script will do exactly that. If you see an ORB backtest with numbers like the second row, ask how it handled the entry.
What we'd take from this
- Plain ORB on NQ isn't a free lunch. With these rules and these costs, it paid slightly less than nothing.
- Costs decide thin strategies. Roughly $14.50 a trade moved the total by 120R.
- Fill assumptions can matter more than the strategy. Ours was worth over 700R.
- Two good years prove little. Single years ran from -25.6R to +14.4R on the same rules.
None of this says opening ranges are useless. Filters might help: skipping wide ranges, news days or certain weekdays. Each of those is a new test. Run enough of them on the same data and something will work by luck, so hold back dates you haven't seen.
Limits of this test
Be fair to these numbers and know what they aren't:
- We used 1-minute bars for exits and 5-minute candles for signals.
- Prices come from our historical NQ data, with no back-adjustment. All trades are inside one morning, so contract rolls don't affect them.
- Slippage is a flat assumption. Real slippage is worse on some days, like big news mornings.
- 2010 starts in June and 2026 stops on September 16.
- It tests one set of rules. It doesn't test the idea of an opening range.
Every trade is in this CSV file (155 KB, 3,616 rows). Each row has the date, the side, the signal time, why the trade closed, the risk in points, and the result in R before and after costs. Prices are left out. Check our numbers or test your own filters on it.
Try it by hand
Numbers are one thing. Sitting through a morning is another. Our free NQ walkthrough runs this rule on one real session, and you can replay it yourself on NQ for free within the latest 2 months of data. Full history is on Pro.
This is a simulated test on historical data. Simulated results do not predict real results. Nothing here is trading advice.