The opening-range breakout is real — and about 5× smaller than your costs

The opening-range breakout is one of the most widely taught intraday setups: mark the high and low of the first stretch of the session, buy the break of the high, trail a stop, flatten at the close. It has a plausible mechanism behind it — overnight information gets priced in a burst when the main session opens, and the first range is a decent proxy for where that burst settles.

We pre-registered it, tested it properly, and killed it. The interesting part is how it died: not because the pattern isn't there, but because it is smaller than the cost of trading it. This is the clearest example in the research log of a strategy that is simultaneously real and untradable.

The test

Fixed before any run, as part of a sweep that added session structure to the strategy language (hour_utc, day_of_week, session open/high/low/VWAP, opening ranges — all fixed UTC windows):

S1 — US-open ORB long. During the first hour of the US session (13:30–20:00 UTC), enter long when the close crosses above the session's opening range high. No entries after 18:00. Exit on a 2×ATR trailing stop or at session end.

Run on BTC, ETH and BNB perpetuals at 15m, with a 1h probe. Two independent windows (Aug 2018 → Aug 2022 and Aug 2022 → Aug 2026). Costs: 0.1% per side plus funding on every held bar. Gates: net positive in both windows, survives deleting the best trade, max drawdown ≤ 20%, at least two of three majors. A short mirror and two neighbouring session hypotheses ran alongside it.

The net result

All 42 net-of-cost cells across the four session hypotheses were negative, with profit factors between 0.38 and 0.98. Nothing reached the neighbour or stress phases, because the pre-registration rule only runs neighbours for families whose primary shows genuine signal.

By the usual standard that is the end of the story. It isn't, because of what the diagnostic showed.

The gross diagnostic

To find out why a family died, the same runs were repeated with fees switched off and funding left on. This is not a tradable configuration — no one trades for free — but it separates "the pattern isn't there" from "the pattern is there and costs ate it".

The opening-range breakout on BTC and ETH is the only one of the four that behaves like a genuine effect: positive in both independent windows, surviving strip-best-trade, on roughly 870 trades per window. That is a lot of evidence for a small, consistent tendency.

The arithmetic that kills it

Across ~870 trades per window, the gross result works out to roughly +0.04% per trade.

Retail taker costs on crypto perpetuals are about 0.2% round-trip at the fee schedule these sweeps assume. Break-even for this edge is around 0.02% per side.

That is maker-rebate and market-maker territory, not what a retail account pays and not what this library models. The edge is real, and it is about five times smaller than the cost line.

It is worth being precise about what this does and does not mean:

• It is not "the opening-range breakout doesn't work." It works, in the sense that the price tendency exists and repeats across regimes.
• It is "you cannot collect it at retail execution costs." Every dollar of the effect and then some goes to the exchange.
• If your execution is genuinely different — a maker-rebate tier, an internalised fill, a venue where you're paid to provide liquidity — the conclusion changes, and the honest version of that statement is that you would be running a different business than the one this library measures.

The same result on the world's most liquid instruments

A reasonable objection: crypto perpetual fees are high, so try it somewhere cheap.

That was tested. A later sweep ran intraday session-VWAP reversion on SPY and QQQ using real regular-hours SIP bars, extended hours filtered out, DST-aware, at 2 basis points per side — about the friendliest honest cost model a retail trader can claim anywhere.

All four cells failed. SPY nets to roughly zero (PF 0.98 and 1.00, −3.1% and +0.3%) and fails strip-best in both windows. QQQ is outright negative (PF 0.94 and 0.97) with 24–42 point drawdowns and Monte-Carlo p95 tails of 34–55. With 500–1,000 trades per window paying about 0.04% round-trip, the implied gross edge is +0.02–0.04% per trade — once again the size of the cost line, on the most liquid instruments in existence at nearly zero fees.

Two asset classes, two cost structures, same answer. The sub-daily structure exists faintly almost everywhere and clears trading costs almost nowhere.

What we kept

The session atoms stayed in the strategy language. No standalone intraday entry cleared the bar, but session structure is genuinely useful as a filter or an exit on higher-timeframe strategies — a session-end flatten, a day-of-week gate, a "don't enter in the last hour" rule. The Sensei coach can compile all of them.

What we did not keep is the idea that an intraday breakout is a strategy on its own.

Related

• Does any low-timeframe crypto strategy actually work? — the full six-sweep answer this result belongs to.
• The research log — every hypothesis, in the order it was run.
• The strategy library — the six that survived, all of them on daily bars or above except one.