Knowledge · Strategies · Opening Range Breakout (ORB)

Opening Range Breakout (ORB)

Toby Crabel - 'Day Trading with Short-Term Price Patterns' (1990); popularized by Larry Williams
Breakout Evidence: Moderate intraday equitiesfuturesfx
4/10
Relevance for Botty
Intraday setup: the range of the first 15-30 minutes after the open defines breakout levels. Long on a break to the upside, short to the downside.
Core concept
The first trading phase of a day (usually 15-30 minutes) establishes a range through the positioning of large participants. A breakout of this range to the upside or downside signals commitment to a direction and tends to follow through over the rest of the day.
Relevance for Botty
Relevance Score 4/10
Crypto trades 24/7 - no classic market open. Possible adaptation: define a 'session' as the transition between the Asia/EU/US open (e.g. 7:00 UTC as the 'open'). On Hyperliquid BTC this works to a limited extent. Currently not in Botty; an implementation would require session-tracking infrastructure.
Rules

Entry

  • Define the opening range (OR) = high/low of the first N minutes (5/15/30) after the open
  • Long entry: price breaks above the OR high
  • Short entry: price breaks below the OR low
  • Optional filter: the prior day was NR7 (narrowest range of the last 7 days) -> higher breakout probability

Exit

  • Target: distance = OR range x multiplier (1-3x)
  • Stop: opposite end of the OR or the middle of the OR
  • Hard close: exit at the end of the day in every case (no overnight risk)
Parameter
NameTyp. valueDescription
or_duration_min 15-30 Length of the opening range
target_multiplier 1.5-2.0 Target = OR range x x
nr7_filter true/false Only trade after NR7 days
Pros & Cons

Pros

  • Clear, time-bounded setup - risk is known
  • Ideal for day-trading with a hard close
  • Works in many markets (equity indices, futures, forex sessions)
  • The NR7 combination is statistically supported

Cons

  • Considerably crowded since the 2000s - the edge has shrunk
  • Many false breakouts without volatility confirmation
  • Crypto has no clear session structure - the ORB concept must be adapted for 24/7 markets
  • Volume filter and trend context are essential - a bare ORB is too weak
Typical performance
notes
Larry Williams turned $10k into $1M+ in one year with ORB (Robbins World Cup 1987). Since 2000 it has weakened considerably (crowded). The NR7 filter (Narrow Range 7) is the key to modernizing it.
win rate
~40-55% depending on market and filter
Bot suitability
Good for equity/futures day bots with a clear session. For crypto only with adapted session definitions.
Background

Origin

Toby Crabel formalized the setup in Day Trading with Short-Term Price Patterns (1990) - the book became a cult favorite over the years and is a valuable reprint today. Larry Williams made the setup famous through the legendary Robbins World Cup 1987, where he traded $10,000 into over $1 million in one year.

The core concept: the first 15-30 minutes after the market open reflect the positioning of large participants. The range formed there is a kind of 'equilibrium'. When price breaks this range, buyers or sellers have prevailed - and the rest of the day runs in that direction with higher probability.

The rule

  1. Market opens at e.g. 9:30 NY time
  2. Wait out the first 15 minutes -> opening range = [high, low] of those 15 minutes
  3. Long: stop-buy above the OR high
  4. Short: stop-sell below the OR low
  5. Stop: opposite end of the OR
  6. Target: e.g. 2x the OR range in the trade direction, or a hard close at the end of the day

The NR7 filter

Crabel's key insight: ORB works dramatically better after NR7 days. NR7 = Narrow Range 7: a day whose range (high-low) was the narrowest of the last 7 days. Low volatility on the prior day -> compression -> often an explosive breakout the next day.

Combined: - Prior day: NR7 (check) - Today: wait out the OR - Trade the breakout

Statistically a much higher win rate than a bare ORB.

Modern performance

Since 2000 ORB has been crowded in US equities - the edge has shrunk. Current backtests show a ~40-55% win rate, often at the lower end. It still works, but needs additional filters:

  • Trend context: only trade in the direction of the broader market's trend
  • Volume confirmation: a breakout on above-average volume
  • Volatility filter: NR7 or ATR-based

Crypto adaptation

Crypto has no classic market open. Variants:

  • Session open: define a 'session' at 00:00 UTC, 07:00 UTC, or at the US cash open (14:30 UTC)
  • Rolling ORB: reset every X hours
  • Pre-US session: range of the 4h before the US open -> breakout at the US open

None of these variants is as well documented as the original.

Relevance for Botty

Not particularly high. Hyperliquid BTC perp has no natural session structure, and the existing trend and breakout strategies cover similar ideas without ORB-specific complexity.