Opening Range Breakout Strategy

Entry Setup Examples

Example #1: Entry Setup on MES

On this first example, run on MES on the 1-minute timeframe, the opening range is set to span from 09:30 to 09:35 EST, and a Fair Value Gap is required before entering a trade after the price retraces to the opening range. The stop loss is set to the 61.8% Fibonacci retracement of the range, and the take profit is set to a 2:1 win/loss ratio. The price retraced back to the opening range, then a strong bearish move occurred which made the strategy open a short trade.

Example #2: Failed First Entry, Then a Winning 2nd Entry on MES

Same settings as example #1 (1-minute timeframe, MES). The strategy can open multiple trades as long as the trading window (until 11:00 EST) is still active. The first trade was a loss; the second, opened after price broke below the range low, retraced back into the range, and broke below it again with a strong FVG, won at a 2:1 ratio.

Example #3: No Trade on Choppy Price Action

This example shows the effect of waiting for a Fair Value Gap before entering a trade: no trades were opened because the choppy price action never produced a valid FVG — a good thing, since a breakout trade here would have been a loss.

Example #4: A Retrace Into the Breakout Range Is Crucial

Price broke from the opening range once, but that alone wasn't sufficient for the strategy to enter — it wasn't until price retraced back into the opening range and rebounded with a strong move, forming an FVG, that a winning trade was triggered.

Example #5: Entries on the Previous Day's Range on Micro Gold

With the Trade Previous Days Zone parameter checked, on MGC (Micro Gold) on a 500-volume timeframe, each entry is triggered based on the previous day's opening range, calculated between 18:30 and 09:45 EST.

Example #6: Entries on Volume Profile Value Area Levels, Stop Loss on the Low Volume Node

With volume profile entry mode checked, the Value Area High/Low levels are used as entry levels instead of the whole range's high/low, and the stop loss strategy "Vol Profile Lowest Vol Node" sets the stop loss to the lowest-volume level inside the value area.

Features

The Opening Range Breakout strategy has a set of unique features:

• No pending orders are placed — only market orders
• Full-auto strategy that can be scaled into multiple instances
• Precise backtesting capabilities following NinjaTrader's official best practices, achieving precise entry/exit backtesting at the tick level
• A robust in-house order management library, resistant to connection loss, that works seamlessly on Rithmic accounts or NinjaTrader brokerage accounts

Dynamic Quantity and Risk Management

As with all our strategies, this strategy implements two methods for setting the quantity of open positions:

• Fixed Quantity: uses the same quantity for every position. If the stop loss is variable between positions, win/loss amounts will vary too.
• Dynamic Risk-Adjusted Quantity: calculates each position's quantity from its stop loss, the maximum risk (in $) allowed per position, and the maximum allowed quantity — producing equal win/loss amounts across all positions regardless of stop loss width.

Position Management

As with all our strategies, this strategy implements multiple position management methods:

• ATM Strategy: delegate position management entirely to your own ATM strategy, selected from a drop-down.
• SuperTrend: uses the SuperTrend indicator to trail the stop loss and manage exits dynamically.
• Classical Trailing Stop: trails the stop loss based on a trigger and a trailing amount.

The strategy also allows setting the stop loss based on multiple strategies and the take profit based on a ratio — see the Parameters section for details.

Account Management

The strategy implements daily stop-trading triggers based on the net winning position count, the net losing position count, the number of trades taken, or a target realized net profit or net loss.

Strategy Card on the Chart

The strategy draws a status card directly over the chart — no Chart Trader panel is needed any more. The card shows the strategy version (and a New Release Available notice when a newer version exists), the license status, what the strategy is doing right now (building the opening range, armed, trade active…) and the current position. It also holds the manual command buttons: arm or disarm long and short entries, move the stop loss to breakeven, add or remove one contract, and close the position. The card can be moved anywhere on the chart by dragging its header, and collapsed to a single status line when you want more room.

Parameters

We try to keep the parameters to a minimum — only the most important are exposed.

General
License	Your license key (found on the billing page). It is never saved in templates or workspaces, so sharing a template can't leak it. Once the key validates it is stored in a local license file that is read on every start — this parameter only has to be filled in the first time. You can also paste the key into the strategy card on the chart instead.
Execute Historical Trades	Enables executing trades when the strategy runs in Historical mode — useful to test performance on past days, but should be unchecked when running Live.
Daily TakeProfit Target	The strategy stops for the day once this daily take-profit amount is reached. Ignored when set to 0.
Weekly TakeProfit Target	The strategy stops for the week once this weekly take-profit amount is reached. Resets at the start of each new week. Ignored when set to 0.
Daily StopLoss Limit	The strategy stops for the day once the daily loss limit is reached (positive value — e.g. 300 stops trading once realized PnL ≤ -$300). Ignored when set to 0.
Stop @ Daily Winning Count	Stops trading for the day once the net winning-trade count reaches this value. Ignored when set to 0.
Stop @ Daily Losing Count	Stops trading for the day once the net losing-trade count reaches this value. Ignored when set to 0.
Stop After Trades Count	Stops trading for the day once this number of trades has been closed, whether they won or lost. Ignored when set to 0.
Execute on different Instrument	Executes trades on a different instrument than the active chart's — e.g. run logic on Minis but execute on Micros. All risk calculation happens on the execution instrument, and trades on a different instrument aren't drawn on the chart.
Execution Instrument	Choose from a list of Micros available on your NinjaTrader connection as the instrument trades execute on. Trades won't be drawn on the chart in this case.
Order Label	A label suffixed to every position sent to the broker, useful to differentiate your orders from other users of the same strategy.
Render Opacity (1-100)	Opacity used to draw the opening range zone.
Extend Zone Pivot Lines Drawing	Extends the ORB zone's pivot lines until the end of the session.
Enable/Disable Trading Days	Restricts trading on certain weekdays. Trade Mondays: enables trading Mondays and Sunday night when futures markets open Trade Tuesdays, Wednesdays, Thursdays, Fridays: same, per weekday
Entry Setup
Manual Opening Range Levels	Lets you set the range's high/low prices manually. When enabled, the opening range is created immediately, but trading still starts according to the trade-time parameter.
Manual High Price / Manual Low Price	Manually set high/low price of the range.
Time Zone	The time zone used for the Trade Time parameter below. Futures markets operate on US Eastern time (EST), so this lets you specify the trading interval relative to your own machine's time zone instead. EST, CET, or Local Time
Open Range Time (hh:mm-hh:mm)	Sets the opening range interval — e.g. 09:30-09:35. Once the interval ends, the range is drawn on the chart marking its high/low.
Trading Sessions (hh:mm-hh:mm,...)	Time interval sequences, outside the opening range time, during which the strategy is allowed to enter trades — e.g. "09:45-11:00,13:00-14:00". Open trades stay open outside those windows until the RTH session cutoff.
Trade Previous Days Zone	Trades opening ranges from previous days rather than the current day — for trading a previous day's candle breakout, or weekly opening ranges.
Enable/Disable ORB calculation Days	Only visible when Trade Previous Days Zone is enabled. Selects which weekdays the opening range is calculated on, independently of which days it's traded on. Calculate Range Mondays, Tuesdays, Wednesdays, Thursdays, Fridays
Range Offset (Ticks)	Adds an offset in ticks to both the high and low of the calculated opening range.
Quantity Strategy	Fixed Quantity: fixed quantity per trade; skipped if the evaluated risk exceeds Target Risk Per Trade ($) Risk Adjusted: dynamic contract size, calculated from the stop loss price and Target Risk Per Trade ($)
Max Qty	Maximum allowed quantity when Risk Adjusted is selected — useful since some prop firms enforce order-quantity limits that can invalidate an account.
Use Volume Profile Levels	Bases entry logic on the Volume Profile's Value Area Low/High, calculated over the opening range.
Wait For Range Retrace	Waits for: (1) price breaks from the range, (2) price retraces back and touches the range, (3) price breaks from the range a second time — before entering.
Enable Fibo Retrace Entry Setup	Replaces the standard "retrace back to the range edge" trigger with a Fibonacci retracement trigger. After the breakout, the strategy measures the move from the range edge to the extreme price reached, waits for price to retrace to the Fibo Retrace Trigger Level (%) of that move, and enters once a bar closes back beyond that level (a bounce confirmation, not just a wick through it). The trigger level is drawn on the chart when the trade is entered. It also makes the Fibo Trigger Level stop loss available.
Fibo Retrace Trigger Level (%)	Only visible when Enable Fibo Retrace Entry Setup is checked — how deep, in % of the breakout move (from 1 to 99), price must retrace before the entry is allowed. For example 30 waits for a 30% pullback of the move.
Wait For FVG	Waits for a valid Fair Value Gap while breaking from the range (which can occur after the breakout). Without this, the strategy only waits for a bar close in the trade direction.
FVG Last Candle Color Condition	Requires the entry FVG's last candle to be bullish for buy entries and bearish for short entries.
Trade Mode	Entry mode after a retest of the opening range zone. On Bar Close: triggers on bar close once all conditions are satisfied On First Tick: triggers on the first price tick once all conditions are satisfied
Min. Distance From Range (Ticks)	Minimum required distance, in ticks, from the range to the current price to trigger a trade. 0 means any break from the range can trigger.
Max. Distance From Range (Ticks)	Maximum allowed distance, in ticks, from the range to the current price to trigger a trade. 0 means no distance control.
Min. Range Height (Ticks)	Minimum range height, in ticks, required to open a trade. Ignored when set to 0.
Max. Range Height (Ticks)	Maximum range height, in ticks, required to open a trade. Ignored when set to 0.
Reset Bias On Each Side	Only used when Wait For Range Retrace is enabled — when a breakout occurs on one side of the range, resets the retrace history for that side, requiring a fresh retrace before a new breakout on the opposite side counts.
SuperTrend Entry Filter	Restricts long entries to when SuperTrend is bullish and short entries to when it's bearish — fewer trades overall, but filtered by trend.
Supertrend Filter Mode	Trigger Entry Then Filter With Supertrend: the entry engine dispatches on its own trigger sequence, ignoring supertrend at that moment, then resets — missing entries that would have been valid on the very next bar Filter Before Trigger Entry: waits for supertrend to agree before triggering, producing more trades overall at the cost of also taking more losing ones
Order Qty	Used only when Quantity Strategy is Fixed — the fixed quantity per trade (and per quantity increase, if the order management mechanism scales in). Typically 1 or 2.
Volume Profile (only when volume profile entry mode is checked)
Value Area %	Percentage of trading volume used to calculate the Value Area around the POC (Point of Control). The standard value is 68% (a normal distribution's value area), but any percentage can be used.
Vol Profile Opacity (1-100)	Drawing opacity of the volume profile, 1 (transparent) to 100 (opaque).
Order Management
Order Management Strategy	ATM Strategy: delegates position management entirely to a NinjaTrader ATM strategy template of your choice Classic Trail Stop: trails the stop loss based on a trigger and a trailing amount (see Trailing Stop Parameters below) Super Trend Indicator: closes trades using the SuperTrend indicator — the stop loss is set one tick above/below the wick of the bar that broke the supertrend level None: the stop loss defined by Target Risk Per Trade ($) is used instead
SuperTrend Close Only Profitable	Only visible with the Super Trend Indicator order management method. When checked, the SuperTrend exit is applied only while the position is in profit; a position that is not in profit keeps its original stop loss instead of being closed by a SuperTrend flip.
ATM Strategy Template Name	Only used with the ATM Strategy order management method — the exact template name of your custom ATM strategy. Must match an existing template, or no position will be opened.
Scale out % Qty at % Target	Closes a percentage of the position's quantity once price hits a percentage of the profit target (rounded down when fractional — e.g. 50% of a 5-lot position closes 2 contracts).
Scale out at % Target	The percentage of the profit target that triggers the scale-out mechanism.
Scale out % Qty	The percentage of the quantity closed by the scale-out mechanism.
Enable Price Breakeven	Enables/disables the price-based breakeven mechanism.
Price Breakeven Strategy	Points: breakeven triggers based on points Percentage: breakeven triggers based on percentage of take profit reached SuperTrend: moves the stop loss to breakeven (commissions included) when price closes back against the SuperTrend line while the position is in profit — no trigger value is needed
Price Breakeven Trigger	Available if price-based breakeven is enabled with the Points or Percentage strategy — the trigger value (in points, or a percentage from 1-100) needed to move the stop loss to breakeven.
StopLoss Strategy	Range Fibo: a Fibonacci level of the opening range, set by StopLoss Fibo Level (%) below Fixed Currency Value: only Target Risk Per Trade ($) is used Points: a fixed number of points from entry SuperTrend: set according to SuperTrend indicator levels (listed when SuperTrend Entry Filter is checked) Breakout Candle: the low (long) or high (short) of the breakout candle Last Swing Price: the most recent swing high (short) or swing low (long) FVG High/Low: the entry FVG's extreme price (listed when Wait For FVG is checked) Vol Profile POC: the Volume Profile's Point of Control (listed when volume profile levels are used) Vol Profile Lowest Vol Node: the lowest-volume node inside the value area (listed when volume profile levels are used) Fibo Trigger Level: the exact Fibonacci level that triggered the entry, plus the StopLoss Offset Points (listed when Enable Fibo Retrace Entry Setup is checked)
StopLoss Fibo Level (%)	Available with the Range Fibo stop loss strategy — the stop level in % of the opening range height, measured from the side that was broken: 0 is the broken range edge, 100 is the opposite range edge, and above 100 goes beyond the opposite edge (200 is one range height past it).
Swing Period	Available when the stop loss strategy is Last Swing Price — the minimum number of bars between successive swing highs/lows.
TakeProfit Strategy	Fixed Currency Value, Points, Fibonacci Level Win Loss Ratio: the take profit is a ratio of the stop loss distance, set by the Win/Loss Ratio parameter
TakeProfit Fibo Level	Available with the Fibonacci Level take-profit strategy — e.g. 0.5 sets the target at half the zone's height beyond its edge.
Win/Loss Ratio	Available with the Win Loss Ratio take profit strategy — e.g. 2 targets a 2:1 ratio.
Target Risk Per Trade ($)	Maximum risk, in dollars, per position — used before opening a trade to verify the calculated stop loss respects this limit; if not, the trade is skipped.
Max Allowed Risk Per ($)	Only used with Risk Adjusted quantity — controls how far the real calculated risk is allowed to deviate from the Target Risk (since an exact match is rarely possible).
StopLoss Points / TakeProfit Points	Available when the respective strategy is set to Points.
StopLoss Offset Points	Adds an offset, in points, to the calculated stop loss level — used when computing risk per trade.
TakeProfit Currency	The take-profit amount in dollars, used when the Fixed Currency Value strategy is selected.
Trailing Stop Parameters
Trailing Stop Strategy	Points: trigger and trailing amount calculated in points from entry Ratio: calculated as a ratio of the stop loss value, mirrored on the winning side
Trailing Stop Trigger	The trigger (in points or ratio) for the Classic Trail Stop method.
Trail Amount	The amount (in points or ratio) trailed once the trigger is hit.
SuperTrend
SuperTrend Mode	ATR-based, or Adaptive (based on candle close/high/low).
Period / Multiplier / Moving Avg. Type / Smooth	Standard SuperTrend calculation parameters — period, band multiplier, moving-average type, and smoothing period.
Strategy Card (drawn on the chart)
The status and the manual command buttons live on a card drawn over the chart panel — not on the Chart Trader panel, which doesn't need to be displayed. Drag the card by its header to move it; collapse it to keep only the header and a one-line summary (the buttons are hidden while it is collapsed).
Header	The strategy name, its installed version, and a New Release Available notice with the version number whenever a newer release exists.
License status	The license state: valid, valid (offline), checking, not activated, denied or cannot verify. While the strategy still needs a license, a box to paste your license key and an Activate License button appear on the card.
State and position lines	What the strategy is doing right now (disabled outside the trading window, building the opening range, armed long and/or short, entry requested, long or short trade active) and the current position.
Long / Short Armed Buttons	Manually enable/disable entering long or short trades (they read Armed or Disabled) — useful if you have a directional bias.
Set Breakeven Button	Moves the open position's stop loss to breakeven, if doing so would improve it.
Qty +1 / Qty -1 Buttons	Adjusts the current active position's quantity by ±1 contract.
Close Position Button	Immediately flattens the position on the active instrument without restarting the strategy, which keeps looking for new trades afterward. It sits alone below a divider so a slightly off-target click can't hit it by accident.

Performance Reports

Past results are not a guarantee of future results. All backtesting results are for indicative purposes only.

• The backtest period wasn't hand-picked to show the best results — it's the month prior to this strategy's first release.
• Commissions are included, using NinjaTrader's Lifetime license commission schema, for realistic results.
• We follow NinjaTrader's official guide for precise intrabar-granularity backtesting using additional tick-level data series, and only use market orders — never pending orders — in both real-time and backtest modes.