Researchorbrelative volumestocks in playatr stop loss
Traders Adopt ORB Strategy For Stocks In Play
5.8
A study by Carlo Zarattini, Andrea Barbon, and Andrew Aziz (analyzed by QuantifiedStrategies) finds that a 5-minute Opening Range Breakout (ORB), constrained to the top-20 stocks by opening relative volume, produced a 1,637% total return and 41.6% annualized IRR from Jan 1, 2016 to Dec 31, 2023. The refined ORB yielded a Sharpe Ratio of 2.81 and near-zero beta, indicating uncorrelated, risk-adjusted outperformance.
Key Points
- 1Showcases 5-minute ORB on top-20 relative-volume stocks producing 1,637% total return (2016–2023).
- 2Demonstrates that filtering by opening-range relative volume isolates days with sustained imbalance, improving profitability.
- 3Implies traders can achieve uncorrelated, high risk-adjusted returns using ATR stops and position sizing.
Scoring Rationale
Solid quantified backtest with high actionability and clear rules, but limited by single-source replication and missing peer-review validation.
Sources
Public references used for this report.
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