RR strategy validation
Validated on 1-minute candles
Validated Oct 30, 2026 — may not reflect a later revision
- Max drawdown
- −33.3%
- largest fall from a peak, net of costs
- Average per trade
- +175.5 bp
- net of costs
- Profit factor
- 1.75 → 4.36
- in-sample → out-of-sample
- Win rate
- 56% → 67%
- in-sample → out-of-sample
- Trades
- 55
- 43 in-sample · 12 out-of-sample
15m opening range breakout with bullish gap (longs, 1m) trades long on the symbol RR during the regular US session. The strategy looks for bullish breakouts after a positive gap at the open, entering when the close exceeds the high of the 09:30-09:45 range with confirmation from VWAP, RSI and elevated volume. It generates occasional trades during the 09:45-16:00 window. In the training period it was profitable with moderate gains, though with a significant drawdown. The out-of-sample period showed markedly improved behavior: a similar gain on fewer trades, a higher win rate and a considerably smaller drawdown. The main limitation is that it trades a single symbol. Verdict: the strategy held up out of sample. Exits: take profit at a price level, stop-loss at a price level; automatic close at the end of the session if still open; at most one trade per day. Results are net of a cost of 0.10% per trade. Past results do not guarantee future results.
Results by period
| Metric | In-sampleJan 2025 – Sep 2025 | Out-of-sampleSep 2025 – Dec 2025 |
|---|---|---|
| Trades | 43 | 12 |
| Win rate | 56% | 67% |
| Profit factor | 1.75 | 4.36 |
| Avg. win | 6.44% | 4.90% |
| Avg. loss | -4.65% | -2.24% |
| Best trade | 33.94% | 11.89% |
| Worst trade | -15.01% | -3.62% |
| Longs | 43 (56%) | 12 (67%) |
| Shorts | 0 | 0 |
| Total return | 66.30% | 30.21% |
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Strategy tested
Intraday strategy, long only, at most one trade per day, Monday to Friday. Times in ET, regular session only. Opening range: the high and the low of the candles from 09:30 to 09:44 (first 15 minutes). Width = high - low. Day conditions: • today's open is at least 0.3% above the previous session's close; • the opening range has a minimum width of approximately 0.1% (high x 0.9995 >= low x 1.0005). Entry: from 09:45 until the end of the day, buy at the close of the first candle that simultaneously meets: • it closes above the opening range high; • it closes above the session VWAP; • RSI(14) greater than 55, calculated using only today's candles; • its volume is greater than 1.3 times the average volume per candle of the opening range (candles from 09:30 to 09:44). Stop: entry price minus 1 times the opening range width. Target: entry price plus 3 times the width. If it touches neither, it closes at the end of the day. Uses the symbol RR with a 1-minute timeframe over a time range of 2025-01-01/2025-12-31
What we assumed
- Opening range: time window from 09:30 to 09:45 (half-open interval), that is, the 1m candles from 09:30 to 09:44. It is defined from the 09:45 candle, when the entry window starts.
- Entry window: from 09:45 to 16:00 ET, Monday to Friday, because the idea says 'until the end of the day'. The engine always closes the position at the end of the session, so no timeout is added.
- APPROXIMATE: the gap is measured using the close of the candle before the 09:30 one (offset 1), which in regular session data is the last candle of the previous day (15:59). It is evaluated on the 09:30 candle (time window 09:30-09:31 with fn first) and kept constant for the whole day. The previous session is not used because with 1m candles it requires more than 499 bars of history. The condition is 09:30 open >= previous close x 1.003.
- APPROXIMATE: 'RSI(14) calculated using only today's candles' cannot be isolated in the validator. The standard RSI(14) of the 1m chart is used, which from 09:45 onward already includes at least 15 candles from today, although its start carries over some of the previous session.
- The minimum range width is implemented literally as high x 0.9995 >= low x 1.0005.
- The average volume per candle of the opening range is the mean (time window mean) of the volume from 09:30 to 09:44; the condition requires volume > 1.3 x that mean.
- Level stop = entry close - (high - low of the range). Target = 3 times the risk (risk multiple 3), which equals entry + 3 x width because the risk is exactly 1 width.
- Maximum one trade per day: enforced by the engine by default, with no additional condition. Only the long side is modeled, as the idea requires.
- The symbol RR (the one specified by the user) was used with 1-minute candles and the date range 2025-01-01 to 2025-12-31.
- It was tested over the requested range: 2025-01-01 to 2025-09-13 (training) and 2025-09-14 to 2025-12-31 (out of sample).
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See allPast performance is not indicative of future results. Any past result shown here reflects historical data and does not guarantee similar outcomes going forward.
This content is provided for informational and educational purposes only and does not constitute investment advice, a recommendation, or an offer to buy or sell any security. Consult a qualified financial advisor before making investment decisions.
Backtested and simulated results are hypothetical and do not represent actual trading. Simulated performance has inherent limitations and may differ significantly from live results due to market conditions, slippage, and other factors.