Research Question
Many traders claim the opening range breakout (ORB) is a repeatable edge. This project tests whether an ORB strategy in SPY produces excess risk-adjusted returns after accounting for volatility and transaction costs.
Method
- Universe: SPY
- Signal: Break above/below the first 15 minutes of the session
- Risk metrics: Sharpe, max drawdown, win rate, average trade return
- Robustness: Performance across volatility regimes + simple sensitivity checks
- Costs: Transaction cost assumptions included in evaluation
Planned Outputs
- Equity curve and drawdown curve
- Return distribution (histogram)
- Performance table (before vs after costs)
- Regime comparison (low vs high volatility periods)
Status
Current: Building dataset + backtest framework in R.
Next: Generate visuals and write an executive summary.