Opening Range Breakout (ORB) 15-Minute

Entry Logic

• Exact entry trigger: Buy on a 15-minute candle close above the high of the first 15-minute candle. Sell on a 15-minute candle close below the low of the first 15-minute candle.
• Confirmation requirements: Volume on the breakout candle should be 1.5x the 20-period moving average of volume.
• Timeframe required: 15-minute chart for the primary setup. 5-minute chart for entry refinement.
• Location context: Long entries should occur above the pre-market high. Short entries should occur below the pre-market low.
• Market condition requirement: Trending market with clear directional intent from the open.

Exit Logic

• Profit target(s): Target 1 at 1.5x initial risk. Target 2 at 3x initial risk.
• Scaling out rules: Exit 50% of the position at Target 1. Trail the remaining position.
• Trailing stop rules: Use the low of the previous 15-minute candle as a trailing stop for long positions. Use the high for shorts.
• Exit on signal failure: If the breakout candle is followed by an immediate reversal candle, exit the trade.
• Exit on opposite signal: An opposing 15-minute ORB signal constitutes an exit signal.
• Exit on time expiration: Close all positions by the end of the trading session.
• Exit on momentum loss: A bearish divergence on the 15-minute RSI or MACD can signal an exit for a long position.

Stop Loss Structure

• Hard stop location: Place the stop loss 1 ATR (14 on a 15-minute chart) below the low of the breakout candle for longs, and above the high for shorts.
• Soft stop rules: Not applicable. Use a defined hard stop.
• Maximum dollar loss per trade: Capped at 1% of the trading account.
• Maximum percent loss per trade: 1%.
• Structural stop placement: The stop is placed based on the breakout candle's volatility, not a prior price level.

Risk Management Framework

• Risk per trade: Limit risk to 0.75% of account equity on any single trade.
• Maximum daily loss limit: 2.25% of account equity. Cease trading if this limit is hit.
• Maximum weekly loss limit: 6% of account equity.
• Maximum drawdown allowed: 20% peak-to-trough drawdown.
• Risk-reward ratio requirement: Seek a minimum 2:1 reward-to-risk ratio for the overall trade.

Position Sizing Model

• Recommended sizing approach: Calculate position size based on the distance to the stop loss and the account risk limit.
• Volatility-based adjustment: The ATR-based stop loss automatically adjusts the position size for volatility.
• Conviction-based sizing: A+ setups (perfect alignment) take full size. B setups (minor conflicts) take half size.
• Scaling in rules: Avoid scaling into 15-minute ORB trades.
• Scaling out rules: Scale out half the position at the first profit objective.

Trade Filtering

• Market conditions to avoid: Avoid trading in low-volume, choppy, or sideways markets.
• Specific setups required: A clean, high-volume break of a well-defined 15-minute opening range.
• Stock/instrument requirements: Focus on stocks with a daily ATR greater than 2% of the stock price.
• Time of day restrictions: The setup is only valid for the first 15-minute bar of the day.
• Chop/news avoidance rules: Do not trade if major economic news is scheduled within the first hour of trading.

Context Framework

• Trend direction assessment: The trade must align with the direction of the 1-hour and 4-hour chart trends.
• VWAP relationship: For long trades, the breakout should occur with price above the VWAP. For shorts, below VWAP.
• Moving average relationship: The 10-period and 20-period EMAs on the 15-minute chart should be angled in the direction of the trade.
• Range location: The opening range should not be excessively wide or narrow compared to the previous day's range.
• Higher timeframe alignment: The daily chart should confirm the intended trade direction.

Trade Management Rules

• When to move stop to breakeven: Move the stop to the entry price once the trade has moved 1R in your favor.
• When to scale out: At the first pre-defined profit target.
• When to add size: Do not add to the position.
• How to handle fast moves vs slow moves: During fast moves, trail the stop tighter. In slower conditions, give the trade more room to work.

Time Rules

• Optimal trading window: The first hour of the trading session.
• Times to avoid: Trading this setup after the first hour is not recommended.
• Session-specific notes: This strategy performs well in the US equities market open.

Setup Classification

• A+ setup criteria: Breakout in the direction of the higher timeframe trend, with high volume, and price action confirming the move.
• A setup criteria: Breakout with good volume but minor divergences on higher timeframes.
• B setup criteria: Breakout on average volume with some conflicting signals.
• C setup criteria: Low-volume breakout against the primary trend. Avoid.

Market Selection Criteria

• Instrument requirements: Liquid, mid-to-large cap stocks.
• Volume/liquidity requirements: Average daily volume should exceed 2 million shares.
• Volatility requirements: The stock should have a history of making clean directional moves.

Statistical Edge Metrics

• Expected win rate: 40-50%.
• Average win size: 3R.
• Average loss size: 1R.
• Profit factor: 1.6 - 2.2.
• Expectancy per trade: Positive expectancy is required before taking any trade.

Failure Conditions

• Market conditions where strategy fails: Fails in choppy, non-trending markets where ranges are not respected.
• Specific scenarios to avoid: Avoid taking breakouts that occur after an unusually wide opening range.

Psychological Rules

• Key mental discipline requirements: Requires patience to wait for the 15-minute candle to close and discipline to execute without hesitation.

Advanced Components

• Market regime detection: Use a filter to identify trending vs. ranging market conditions.
• Volatility/liquidity filters: Apply strict volume and ATR filters to the stock selection process.
• Correlation filters: Be aware of sector and market correlations.
• Multi-timeframe alignment: The 15-minute signal should be in harmony with the hourly and daily charts.

Location

• Where this setup is strongest: In stocks that are gapping up or down on news and showing strong pre-market momentum.
• Where this setup is weakest: In stocks with no clear catalyst or direction.
• Location changes outcome: A breakout from a key support or resistance level on a higher timeframe adds strength to the signal.