Opening Range Breakout Strategy: NQ Rules and a Worked Example
Test an NQ opening range breakout with a 15-minute range, next-bar entry and defined exits. Includes risk calculations and a replay checklist.
An opening range breakout, or ORB, uses the high and low of a fixed opening period as reference levels. A complete strategy specifies when a breakout is confirmed, when an order can enter, where it exits and which sessions it skips.
Below is one NQ replay exercise with a fifteen-minute range and five-minute confirmation candles. The rules are illustrative research choices, not optimized parameters or evidence of profitability.
Freeze the opening range
Use New York time. Build the range from the five-minute candles opening at 09:30, 09:35 and 09:40. After the third candle closes at 09:45, the highest high and lowest low form the fixed range.
If any required bar is missing, record the day as excluded for missing data. Do not borrow later candles to complete the range. Keep daylight-saving conversion correct if your chart displays another timezone.
The rules for this version
| Decision | Rule |
|---|---|
| Signal window | Completed candles opening from 09:45 through 10:25 New York time |
| Long signal | First close above the fixed range high |
| Short signal | First close below the fixed range low |
| Entry | Next available candle's open |
| Stop | Opposite edge of the opening range |
| Target | 2R, measured from the assumed entry to the stop |
| Time exit | Open of the 11:00 candle if still in a position |
| Frequency | First qualifying signal only; at most one trade per day |
| Invalid entry | Skip if the next open leaves the stop on the wrong side |
If no valid signal occurs, the result is a no-trade day. Decide the treatment of scheduled announcements before testing, and apply it across the complete date block.
A worked NQ example
Suppose the opening range runs from 20,000 to 20,020. A completed candle closes above the high, and the next candle opens at 20,022.
The hypothetical long entry is 20,022. The stop at 20,000 creates twenty-two points of initial price risk. With NQ's $20 multiplier, that is $440 per contract before costs. The target at 2R is 20,066.
For one MNQ contract at the same hypothetical prices, planned price risk would be $44 because its multiplier is $2 per point. These are contract arithmetic examples, not a recommendation to place the trade. CME's Micro E-mini FAQ covers the contract scale.
Use the futures calculator and NQ/MNQ comparison to check the effect of the actual symbol and quantity.
The breakout close is not the same as the fill
A close-based signal is known after the bar finishes. Entering at that candle's earlier high, low or opening price would use information the signal did not yet provide. The next-open rule makes the sequence explicit.
The entry can also gap away from the reference level. Recalculate initial risk and the 2R target using that assumed entry. Do not keep a range-based target and label it 2R when the entry-to-stop distance has changed.
If the candle after entry reaches both stop and target, OHLC values alone may not resolve the order. Use finer available observations, a predefined conservative policy or an outcome range. Mark the trade so it remains visible in the review.
Compare variations as separate experiments
You might want a five-minute opening range, a retest requirement or a maximum range-size filter. Each changes which trades qualify.
Finish a baseline first. Record the proposed change, keep the original result, and evaluate the variation on a development block. Reserve new dates for a test that does not choose the rule after seeing the outcome.
A retest condition may reduce false breaks and miss moves that never return. Report both participation and net outcomes. There is no universal ORB win rate that follows from the pattern's name.
Build a review table with no-trade days
Record the date, timezone, range high/low, signal direction/time, entry, stop, target, costs, exit reason and net R. Add the reason for any skipped date.
The journal guide helps keep the record concise. Calculate expectancy and drawdown from the full chronological sequence. Use the win-rate calculator to inspect average wins and losses, while retaining the individual trades behind those averages.
Check whether the result depends on a few large days or a specific part of the sample. A positive development result can weaken on the reserved dates. That outcome is useful information, not something to hide by changing the range window again.
Practice the process in replay
TestMax lets you reveal historical price action and place simulated orders as the session develops. NQ and ES are on the Free plan with a limited recent history window. MNQ, MES and GC currently require Pro.
Open the NQ replay overview and check current plans. Then create an account and start a short, complete block of available sessions with the same ORB rules.
For the first pass, focus on whether every signal and entry can be reconstructed. The backtesting guide explains how to expand the sample without letting hindsight rewrite the experiment.