Concept · Opening range
Opening Range Backtester (ORB)
The opening range breakout is one of the few strategies simple enough to be fully specified in a sentence — and therefore one of the few that can be backtested without any judgement calls at all. Which makes it the ideal first strategy to test properly, and a brutal test of whether your process is honest.
Specify it before you test it
Four decisions, all of which must be made before the first candle: which open (the 09:30 cash open and the 10:00 open behave differently), how long the range builds, what counts as a break (a wick or a close), and where the stop goes (the other side of the range, or a fraction of it).
Every one of those is a fork, and testing them one at a time is the difference between a result and a story. CRTLAB's ORB detector takes the open time and the range length as inputs, so changing one and re-running is a two-second edit rather than a new drawing exercise.
The trap, and it catches almost everyone
Opening range breakout has a very high false-break rate on index futures — price breaks the range, takes the stops, and reverses back through it. If your backtest was run by scrolling a chart and looking for clean examples, you will find dozens of perfect ORB trades and conclude the strategy is superb. Stepping candle by candle, you will find the false breaks first, because you have to sit through them.
That is precisely why the replay matters more here than almost anywhere: the strategy's numbers are dominated by the trades you'd rather not remember. See the backtesting mistakes that produce inflated results.
Where the opening range works
Index futures are the natural home — a single, sharp, well-attended open. NAS100, SP500, US30 and DAX each have their own personality at the bell, and CRTLAB carries a regular-trading-hours variant of the US indices specifically so the range is built off the cash session rather than the overnight one.
FX has no single open in the same sense, but the London and New York session opens serve the same function, and the detector will build a range from either.
Frequently asked questions
Can I change the opening range time and length?
Yes — the open time and the range duration are both inputs, so testing a 15-minute range against a 30-minute range is a setting change and a re-run rather than a rebuild.
Does it use the cash open or the futures open?
Whichever you point it at. CRTLAB carries both a full-session and a regular-trading-hours variant of the US indices, so you can build the range off the 09:30 cash open specifically.
Is the ORB backtester free?
Yes — free on 21 markets for the most recent two weeks of data, with no account. Pro extends the same test across ten years, which for a strategy this regime-sensitive is where it gets interesting.
Open NAS100 with the opening range drawn
One click — 5-minute Nasdaq, the range built live from the open, break by break.
Open the chart →