The opening range breakout is one of the most-sold day-trading strategies on the internet. First 15 minutes set a high and a low; you go long on a break above, short on a break below, flat by the close. Four bullets. Easy to explain, easy to sell.

This week I backtested it honestly. The Strategy Tester said it works. The Strategy Tester was lying — and learning to catch that is the whole point.

Run naked ORB on the Nasdaq over seven years with realistic costs and you get a winner: profit factor 1.08, positive expectancy, six of seven years green, +$118k on a single contract. Run the exact same rules on the S&P and it's dead — slightly negative, red in five of seven years.

So trade the Nasdaq, skip the S&P? No. That's exactly where the backtest fools you. Take the Nasdaq "edge" apart:

- It's almost all longs. 84% of the profit came from one direction. A real breakout edge works both ways — a one-sided one is a tell.

- It's mostly just drift. Replace the whole strategy with a dumb control — buy at 10:00, sell at the close, no breakout logic at all — and you keep most of the money. The Nasdaq drifted up intraday for seven years and ORB was along for the ride.

- There's no fat tail. A real breakout produces runners. This one goes beyond 3R about 0.3% of the time. The thing that's supposed to make a low-win-rate strategy pay isn't there.

Put it together and naked ORB — fixed range, fixed target, no context — doesn't beat just buying and holding the index. On either market. The Nasdaq only hides it better.

I built the whole thing with Claude Code. It's genuinely good at Pine Script, so I described the rules in plain English and it wrote the indicator and the strategy for me — minutes, not days. Pine Script still runs the chart; I just didn't have to be the one typing it.

That speed is a trap if you stop at the green number. A TradingView backtest guesses how price moved inside each bar, gives you a few hundred trades on one symbol, and will happily let you read future data by accident. It's a fast filter for "is this worth more work" — not a verdict on whether to trade it.

I wrote the full walkthrough the build, the five ways a backtest lies, and the honest teardown on the blog. The ORB indicator from it is free in the starter repo:

→ Does the ORB Strategy Actually Work? (~12 min — the indicator's free at the bottom)

A teardown's only half the job. Naked ORB fails because a breakout was never a strategy — it's a trigger, and a trigger is maybe a fifth of a system. The follow-up post is the constructive half: what to actually bolt on (prior-day levels, market structure, cross-market confluence, volatility-based exits) and the three-test gate that tells a real edge from an overfit one.

→ How to Make the ORB Strategy Actually Work

reply and tell me which strategy you want me to run through this next — surface and deep. i read everything.

— Drew

P.S. A small private community for builders doing the same thing opens later this year. Subscribers here get first access, no separate list to join.