5-min ORB backtested Analysis

[CliffG 31]

All,

I read an interesting thing yesterday, claiming that 66% of AMD's 5-Min ORB strategies work, which was apparently backtested over a number of months (and this 'news' item was several months old).

I was skeptical to say the least. However, I decided to test the theory out myself, especially since AMD is in play quite often.

It took a bit of work in Excel, and in historical charting software, and I stuck to the following rules & assumptions:

• SL set just beyond VWAP
• 25% partial at all R's, SL set at B/E after first R (Tested on 25% at R1, and then 50% at R2+, but it's less profitable in this instance)
• Based on 0.004 p/s commission structure, with $0.50 minimum per ticket
• ECN fees are *NOT* included

I also only managed to do only 3 and a half weeks of back-testing before my conclusions were becoming a bit clearer.

Here is the sheet for your reference (and if you wish to back-test stocks yourself). You can also customize your Risk Amount, and partial % factors.

Summary Conclusion:

Yes, indeed it does appear you get get 65-65% success rate on a 5-min ORB, at least on AMD.

However, the returns based on the above assumptions and strictly sticking by the rules, are quite low. There are a couple of really nice days, but by and large the positive days are just meh.

While many may not find value in this, I did want to verify the claim myself and after the work I put into it, felt it may be nice to share for other people's reference.

Happy to receive any feedback.

Thank You.