Testing and Combining Three Intraday Opening Range Breakout Strategies

Summary

The article adapts three opening range breakout strategies from Concretum Group research for intraday trading of a Nasdaq-100 CFD. It describes opening-period signals, moving-average and VWAP filters, stop placement, position risk, and end-of-day exits. The stated evaluation covers five years of data and compares strategy performance with buy-and-hold using return, drawdown, and other statistical measures. Beyond individual results, the discussion examines diversification by combining the strategies and comparing their equity curves, monthly returns, and correlations. The reported combined maximum drawdown is lower than those of the individual strategies, though this is backtest evidence rather than proof of future performance. The article emphasizes replication and robustness checks, while noting that broker time zones and CFD volume can differ from the original ETF research. Trading costs, leverage, and strategy decay are important limits when interpreting the results or applying them live.

Key ideas

• Opening range breakouts use early session price behavior to define a directional intraday signal.
• The variants apply moving-average or VWAP filters, fixed percentage stops, risk allocation, and scheduled exits.
• The research adapts strategies developed on QQQ to a Nasdaq-100 CFD, so instrument and broker differences matter.
• The article evaluates performance against buy-and-hold and considers drawdown, return distribution, and correlation.
• Combining strategies can reduce historical portfolio drawdown, but backtests do not establish future profitability.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.