What is Open Range Breakout (ORB)?
The Opening Range Breakout is one of the most time-tested intraday strategies in markets worldwide. The concept is simple: the first 15–30 minutes of market trading establishes a "range" (high and low). A breakout above this range signals bullish momentum; a breakdown below signals bearish momentum.
This AFL automates the entire ORB process — it calculates the opening range, places buy and short entries at the right breakout levels, sets stop-losses and targets automatically, and squares off all positions at end of day.
Technical Specifications
How the ORB Strategy Works
Opening Range Formation (9:15–9:30 AM)
The AFL records the Highest High (ORB-H) and Lowest Low (ORB-L) of the first 15-minute window. An optional entry buffer % is added/subtracted to avoid false breakouts at the boundary.
Breakout Detection
Buy signal triggers when price crosses above ORB-H + buffer. Short signal triggers when price breaks below ORB-L − buffer. Only one trade direction is taken per day.
Auto Stop-Loss & Target
Stop-loss is set as a % below entry (default 0.5%). Target is set as a % above entry (default 3%). Both are fully optimizable for backtesting.
End-of-Day Square-Off
Any open position is automatically closed at 3:15–3:30 PM to avoid overnight risk. The exact square-off time is derived from each day's actual EndDay bar.
Configurable Parameters (Optimize-Ready)
| Parameter | Default | Optimize Range | Description |
|---|---|---|---|
Entry Buffer % | 0% | 0–2% | Confirmation buffer above/below ORB level |
SL % | 0.5% | 0.5–2% | Stop-loss distance from entry |
Target % | 3% | 0–3% (0=unlimited) | Profit target from entry. Set 0 for trail-only. |
Entry Time Start | 55 min | 5–120 min | Minutes after open for entry window start |
Entry Time End | 70 min | 10–300 min | Minutes after open for entry window end |
ORB Strategy Tips for Indian Markets
Best Instruments
Nifty Futures, BankNifty Futures, high-beta NSE stocks (>₹500 price), MCX Gold and Crude Oil. Avoid low-liquidity stocks.
Best Days to Trade
Tuesday to Thursday typically shows cleaner ORB breakouts. Avoid Mondays (gap risk) and Fridays before long weekends. Expiry day requires extra caution.
Trending Days
ORB works best on trend days when the opening range is broken decisively. Add a pre-market SGX Nifty direction filter to qualify the trade.
Risk Management
Never risk more than 1–2% of capital per trade. Use the SL% parameter strictly. On gap-up/gap-down days, the ORB may form outside the range — be cautious.