MSFT strategy validation
Validated on 5-minute candles
Validated Oct 27, 2026 — may not reflect a later revision
- Max drawdown
- −9.8%
- largest fall from a peak, net of costs
- Average per trade
- −8.7 bp
- net of costs
- Profit factor
- 0.64 → 0.62
- in-sample → out-of-sample
- Win rate
- 35% → 35%
- in-sample → out-of-sample
- Trades
- 106
- 72 in-sample · 34 out-of-sample
Opening range with pullback to gap This strategy operates long and short on 5‑minute candles during the U.S. regular session. It seeks fair value gaps that form when the price crosses the high or low of the first candle (09:30‑09:35 ET), and enters after an engulfing pattern when the price returns to the gap within the next 12 candles. During the training period, the strategy generated trades regularly but showed consistent losses. The behavior remained similar out‑of‑sample: the hit rate was comparable, but both windows closed with a profit factor below 1, indicating that losses exceeded gains. The maximum drawdown was lower out‑of‑sample, although net results remained negative in both periods. Verdict: rejected. The strategy does not generate profitability in either window. Verdict: rejected, not profitable in training or out‑of‑sample. Exits: take profit 0.6%, stop‑loss 0.3%, short side: take profit 0.6% and stop‑loss 0.3%; automatic close at session end if still open; at most one trade per day. Net results at a cost of 0.10% per trade. Past results do not guarantee future results.
Results by period
| Metric | In-sampleJan 2024 – Jun 2025 | Out-of-sampleJul 2025 – Dec 2025 |
|---|---|---|
| Trades | 72 | 34 |
| Win rate | 35% | 35% |
| Profit factor | 0.64 | 0.62 |
| Avg. win | 0.44% | 0.40% |
| Avg. loss | -0.37% | -0.35% |
| Best trade | 0.50% | 0.50% |
| Worst trade | -0.40% | -0.40% |
| Longs | 33 (45%) | 16 (44%) |
| Shorts | 39 (26%) | 18 (28%) |
| Total return | -6.26% | -2.95% |
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Strategy tested
ORB Strategy (Opening Range Breakout) or first‑candle rule: Observe the 5‑minute chart at 9:30 AM New York time and wait for the first candle to form (between 9:30 and 9:35). Identify if the price approaches one of the levels (high or low) of this candle and leaves a void (fair value gap) between the last two candles, indicating a strong move that shows who is in control (buyers or sellers). Once this fair value gap forms, wait for the price to return to this level and for an engulfing candle to form as confirmation. Upon completion of the engulfing candle, enter in the direction of the initial strong move. The goal is to seek a risk‑reward of 1 to 2 (the potential profit is twice the risk). (Note: the automatic transcription said “fail value gap”; it was interpreted as “fair value gap.”)
What we assumed
- APPROXIMATE: the video does not specify where the stop goes; a 0.3% stop adjusted to the timeframe was used. Review this rule before confirming: it completely changes the strategy’s risk.
- The engine already limits to one trade per day (the first signal), so that video rule is fulfilled automatically.
- The return to the gap is accepted within any of the next 12 candles after its formation (default window). The valid gap is the one that results from breaking the level: the preceding candle closes on this side and the central one on the other.
- Risk‑reward target 1:2 calculated from entry and stop.
- APPROXIMATE: the video says the price “approaches” the level and leaves a gap; the system has no “near,” so it requires the gap to form by crossing that level.
- Trading window 09:40‑15:30 ET, Monday‑Friday: the system calculates it so that levels and price zones do not use candles from the previous session (only size references, such as a mid‑range, may read it).
- Both directions are modeled: the opposite (short) uses the same rules with mirrored levels. The engine limits to one trade per day, the first signal of either side.
More analyzed strategies
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.