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.
What I Have Built So Far
- Dataset foundation: Started a structured historical SPY dataset for intraday ORB evaluation.
- Backtest framework in R: Building reusable logic for entries, exits, and trade-by-trade tracking.
- Performance metrics setup: Framing outputs for Sharpe, drawdown, win rate, and average trade return.
- Evaluation approach: Cost-aware analysis and robustness checks by volatility regime.
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 + 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)
- Short executive summary with key conclusions and caveats
Next Steps
Finalize dataset integrity checks
Validate timestamps, missing bars, and assumptions around session boundaries before final run outputs.
Run full backtest + diagnostics
Generate benchmark comparisons, turnover statistics, and stability analysis over subperiods.
Publish report-quality visuals
Create clean charts and a concise narrative for replication-ready communication.