ORB window 9:30-9:45 AM EST. Entry at first breakout (ORB high/low), exit 16:00 close. LONG on up-breakout, SHORT on down-breakout. Window: 2020-01-02 .. 2025-12-30 (1506 trades). IS/OOS 2024-01-01. Fee-free.
All breakouts (directional)
| Signal | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| ORB directional | +11.56% | 0.24 | -32.29% | 1.04 | 1506 |
| up-breakout (LONG) | +34.64% | 0.92 | -15.80% | 1.15 | 770 | | down-breakout (SHORT) | -17.14% | -0.43 | -27.37% | 0.94 | 736 |
Clean (no false break) vs whipsaw
| Signal | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| clean breakout | +2541.98% | 18.70 | -0.82% | 61.39 | 555 |
| whipsaw (both broke) | -95.78% | -7.06 | -95.84% | 0.31 | 951 |
IS/OOS
| Segment | Ret | Sharpe | MaxDD | PF | Days |
|---|---|---|---|---|---|
| IS | +10.70% | 0.29 | -32.29% | 1.04 | 1005 |
| OOS | +0.78% | 0.11 | -15.82% | 1.02 | 501 |
OOS bootstrap p: 0.437
IS/OOS by direction
| Segment | Direction | Ret | Sharpe | Days |
|---|---|---|---|---|
| IS | up | +26.29% | 1.07 | 519 |
| IS | down | -12.35% | -0.39 | 486 |
| OOS | up | +6.61% | 0.62 | 251 |
| OOS | down | -5.47% | -0.59 | 250 |
Decision memo
Adopt if OOS Sharpe > 0 and p < 0.05. OOS Sharpe 0.11, p 0.437. VERDICT: REJECT
Note: entry approximated at ORB high/low (not exact breakout bar). Directional (long up, short down). Fee-free assumed.