Trades against the first opening-range breakout after price closes back inside the range.
No AI qualification submitted
This strategy keeps its course or research provenance. A normal backtest snapshot cannot award the AI-generated label.
How the strategy works
A first close outside the opening range arms a failed-breakout setup. If price subsequently closes back inside, the model reverses against the failed move on the next bar, places its stop beyond the full failure extreme, and targets one unit of risk.
Concrete example
MNQ closes above a 30,060 range high, reaches 30,085, then closes back inside at 30,050. The next bar opens the short; 30,085 is the stop reference and the target is equally far below the attainable entry.
Published research
Grant, Wolf & Yu — Intraday Price Reversals
Published evidence motivates this candidate; it does not guarantee this implementation will pass our current sample.
Exact algorithm
- Build the 09:30–09:45 ET range and record its first closing breakout.
- Track the breakout extreme until a candle closes back inside the range.
- Enter the reversal at the following bar open with the extreme as stop and a 1R target.
- Take at most one reversal and flatten by 16:00 ET.
Required data: ohlcv
Where it may work—and where it can fail
Main risks
- A return inside can be a pause before renewed breakout
- Stops expand as the failure extreme extends
- Reversal fills can gap
- Transaction costs frequently eliminate small intraday reversal effects
“Best conditions” is an interpretation of the strategy's mechanism, not an additional course entry rule and not a performance guarantee.
Forward paper transactions
| Entry | Side | Entry price | Exit | Exit price | Capital basis | Gross notional | Outcome | P&L |
|---|---|---|---|---|---|---|---|---|
| 2026-09-29T17:30:00+00:00 | LONG | 30,568.25 | 2026-09-29T18:30:00+00:00 | 30,632.50 | $10,000.00 | $10,000.00 | HIT | $+17.02 |
| 2026-09-28T16:30:00+00:00 | LONG | 30,683.25 | 2026-09-28T19:45:00+00:00 | 30,566.75 | $10,000.00 | $10,000.00 | MISS | $-41.97 |
| 2026-09-25T15:00:00+00:00 | SHORT | 30,823.50 | 2026-09-25T16:00:00+00:00 | 30,926.25 | $10,000.00 | $10,000.00 | MISS | $-37.33 |
| 2026-09-24T14:45:00+00:00 | SHORT | 30,579.50 | 2026-09-24T15:00:00+00:00 | 30,514.75 | $10,000.00 | $10,000.00 | HIT | $+17.17 |
| 2026-09-22T14:45:00+00:00 | SHORT | 30,914.25 | 2026-09-22T18:15:00+00:00 | 30,997.75 | $10,000.00 | $10,000.00 | MISS | $-31.01 |
| 2026-09-18T19:00:00+00:00 | LONG | 29,832.00 | 2026-09-18T19:45:00+00:00 | 29,915.50 | $10,000.00 | $10,000.00 | HIT | $+23.99 |
| 2026-09-17T17:15:00+00:00 | SHORT | 29,732.25 | 2026-09-17T19:45:00+00:00 | 29,767.00 | $10,000.00 | $10,000.00 | MISS | $-15.69 |
| 2026-09-16T17:45:00+00:00 | SHORT | 29,422.75 | 2026-09-16T18:45:00+00:00 | 29,293.00 | $10,000.00 | $10,000.00 | HIT | $+40.10 |
| 2026-09-11T14:15:00+00:00 | SHORT | 29,397.50 | 2026-09-11T15:15:00+00:00 | 29,475.00 | $10,000.00 | $10,000.00 | MISS | $-30.36 |
| 2026-09-10T16:15:00+00:00 | SHORT | 29,180.50 | 2026-09-10T19:45:00+00:00 | 29,138.25 | $10,000.00 | $10,000.00 | HIT | $+10.48 |
| 2026-09-09T15:45:00+00:00 | SHORT | 29,438.25 | 2026-09-09T19:45:00+00:00 | 29,455.00 | $10,000.00 | $10,000.00 | MISS | $-9.69 |
| 2026-09-08T14:30:00+00:00 | LONG | 29,516.50 | 2026-09-08T15:00:00+00:00 | 29,608.50 | $10,000.00 | $10,000.00 | HIT | $+27.17 |
| 2026-09-04T14:30:00+00:00 | SHORT | 29,596.00 | 2026-09-04T14:45:00+00:00 | 29,500.00 | $10,000.00 | $10,000.00 | HIT | $+28.44 |
| 2026-09-01T16:45:00+00:00 | SHORT | 29,137.50 | 2026-09-01T19:45:00+00:00 | 29,125.50 | $10,000.00 | $10,000.00 | HIT | $+0.12 |
| 2026-08-31T14:45:00+00:00 | LONG | 29,425.25 | 2026-08-31T19:45:00+00:00 | 29,496.50 | $10,000.00 | $10,000.00 | HIT | $+20.21 |
| 2026-08-28T14:30:00+00:00 | LONG | 29,654.00 | 2026-08-28T15:00:00+00:00 | 29,802.50 | $10,000.00 | $10,000.00 | HIT | $+46.08 |
| 2026-08-27T14:45:00+00:00 | SHORT | 29,556.50 | 2026-08-27T15:00:00+00:00 | 29,622.25 | $10,000.00 | $10,000.00 | MISS | $-26.25 |
| 2026-08-26T14:15:00+00:00 | SHORT | 29,245.75 | 2026-08-26T14:15:00+00:00 | 29,158.25 | $10,000.00 | $10,000.00 | HIT | $+25.92 |
| 2026-08-25T16:30:00+00:00 | LONG | 29,294.25 | 2026-08-25T19:45:00+00:00 | 29,270.25 | $10,000.00 | $10,000.00 | MISS | $-12.19 |
| 2026-08-21T15:00:00+00:00 | LONG | 29,332.00 | 2026-08-21T15:30:00+00:00 | 29,443.75 | $10,000.00 | $10,000.00 | HIT | $+34.10 |
| 2026-08-20T16:30:00+00:00 | LONG | 29,340.50 | 2026-08-20T18:00:00+00:00 | 29,269.25 | $10,000.00 | $10,000.00 | MISS | $-28.28 |
| 2026-08-19T14:45:00+00:00 | LONG | 29,563.75 | 2026-08-19T19:45:00+00:00 | 29,521.75 | $10,000.00 | $10,000.00 | MISS | $-18.21 |
| 2026-08-18T14:30:00+00:00 | LONG | 29,669.00 | 2026-08-18T14:45:00+00:00 | 29,568.25 | $10,000.00 | $10,000.00 | MISS | $-37.96 |
| 2026-08-17T15:45:00+00:00 | SHORT | 30,228.00 | 2026-08-17T16:45:00+00:00 | 30,177.00 | $10,000.00 | $10,000.00 | HIT | $+12.87 |
Capital basis is allocated paper equity. Gross notional uses the exposure stored with that exact fill; legacy fills with no recorded exposure are shown as unknown. A new semantic paper generation archives the prior run and restarts the forward clock.
Archived paper versions
Read-only prior runs preserve their executable manifest, balances, and fills. They never contribute to the active clock, cash, or qualification.
| Version | Market | Exposure | Allocation | Cost | Code hash | Started | Archived | Fills | Starting cash | Ending cash | Realized P&L | Final status |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| legacy-v1 | unknown · unknown | unknown | unknown | unknown | legacy | 2026-08-16T16:54:09.212635+00:00 | 2026-08-16T22:55:39.915747+00:00 | 0 | $100,000.00 | $100,000.00 | $+0.00 | running |
Rolling 70/30 diagnostic
This moving 70/30 split is a dashboard diagnostic, not frozen qualification evidence. It cannot award AI-qualified status.
Candles and execution signals
Shows the latest 120 available bars. BUY/SELL marks strategy entries and exits whose timestamps fall in this visible window.
Historical equity curve
Compounds each encoded net trade sequentially, including the strategy's declared exposure and modeled costs. The forward ledger starts only after deployment.
Backtest specification
This isolates the reversal branch from continuation. The short sample and continuous-contract roll effects prevent a profitability claim.
Historical transactions
HIT = profitable after the 4 bps cost assumption; MISS = loss after costs; FLAT = break-even. Showing the most recent 100 of 35 transactions.
| Entry | Side | Entry price | Exit | Exit price | Outcome | Net return |
|---|---|---|---|---|---|---|
| 2026-09-30T14:45:00+00:00 | SHORT | 30,796.75 | 2026-09-30T15:45:00+00:00 | 30,893.00 | MISS | -0.353% |
| 2026-09-29T17:30:00+00:00 | LONG | 30,568.25 | 2026-09-29T18:30:00+00:00 | 30,632.50 | HIT | +0.170% |
| 2026-09-28T16:30:00+00:00 | LONG | 30,683.25 | 2026-09-28T19:45:00+00:00 | 30,566.75 | MISS | -0.420% |
| 2026-09-25T15:00:00+00:00 | SHORT | 30,823.50 | 2026-09-25T16:00:00+00:00 | 30,926.25 | MISS | -0.373% |
| 2026-09-24T14:45:00+00:00 | SHORT | 30,579.50 | 2026-09-24T15:00:00+00:00 | 30,514.75 | HIT | +0.172% |
| 2026-09-22T14:45:00+00:00 | SHORT | 30,914.25 | 2026-09-22T18:15:00+00:00 | 30,997.75 | MISS | -0.310% |
| 2026-09-18T19:00:00+00:00 | LONG | 29,832.00 | 2026-09-18T19:45:00+00:00 | 29,915.50 | HIT | +0.240% |
| 2026-09-17T17:15:00+00:00 | SHORT | 29,732.25 | 2026-09-17T19:45:00+00:00 | 29,767.00 | MISS | -0.157% |
| 2026-09-16T17:45:00+00:00 | SHORT | 29,422.75 | 2026-09-16T18:45:00+00:00 | 29,293.00 | HIT | +0.401% |
| 2026-09-11T14:15:00+00:00 | SHORT | 29,397.50 | 2026-09-11T15:15:00+00:00 | 29,475.00 | MISS | -0.304% |
| 2026-09-10T16:15:00+00:00 | SHORT | 29,180.50 | 2026-09-10T19:45:00+00:00 | 29,138.25 | HIT | +0.105% |
| 2026-09-09T15:45:00+00:00 | SHORT | 29,438.25 | 2026-09-09T19:45:00+00:00 | 29,455.00 | MISS | -0.097% |
| 2026-09-08T14:30:00+00:00 | LONG | 29,516.50 | 2026-09-08T15:00:00+00:00 | 29,608.50 | HIT | +0.272% |
| 2026-09-04T14:30:00+00:00 | SHORT | 29,596.00 | 2026-09-04T14:45:00+00:00 | 29,500.00 | HIT | +0.284% |
| 2026-09-01T16:45:00+00:00 | SHORT | 29,137.50 | 2026-09-01T19:45:00+00:00 | 29,125.50 | HIT | +0.001% |
| 2026-08-31T14:45:00+00:00 | LONG | 29,425.25 | 2026-08-31T19:45:00+00:00 | 29,496.50 | HIT | +0.202% |
| 2026-08-28T14:30:00+00:00 | LONG | 29,653.75 | 2026-08-28T15:00:00+00:00 | 29,802.00 | HIT | +0.460% |
| 2026-08-27T14:45:00+00:00 | SHORT | 29,557.25 | 2026-08-27T15:00:00+00:00 | 29,622.25 | MISS | -0.260% |
| 2026-08-26T14:15:00+00:00 | SHORT | 29,246.50 | 2026-08-26T14:15:00+00:00 | 29,159.75 | HIT | +0.257% |
| 2026-08-25T16:30:00+00:00 | LONG | 29,294.25 | 2026-08-25T19:45:00+00:00 | 29,270.25 | MISS | -0.122% |
| 2026-08-21T15:00:00+00:00 | LONG | 29,332.00 | 2026-08-21T15:30:00+00:00 | 29,443.75 | HIT | +0.341% |
| 2026-08-20T16:30:00+00:00 | LONG | 29,340.50 | 2026-08-20T18:00:00+00:00 | 29,269.25 | MISS | -0.283% |
| 2026-08-19T14:45:00+00:00 | LONG | 29,563.75 | 2026-08-19T19:45:00+00:00 | 29,521.75 | MISS | -0.182% |
| 2026-08-18T14:30:00+00:00 | LONG | 29,669.25 | 2026-08-18T14:45:00+00:00 | 29,568.25 | MISS | -0.380% |
| 2026-08-17T15:45:00+00:00 | SHORT | 30,228.00 | 2026-08-17T16:45:00+00:00 | 30,177.00 | HIT | +0.129% |
| 2026-08-12T16:15:00+00:00 | LONG | 29,873.50 | 2026-08-12T18:30:00+00:00 | 29,928.25 | HIT | +0.143% |
| 2026-08-10T15:00:00+00:00 | SHORT | 29,779.75 | 2026-08-10T19:45:00+00:00 | 29,744.25 | HIT | +0.079% |
| 2026-08-07T14:30:00+00:00 | LONG | 29,760.75 | 2026-08-07T19:45:00+00:00 | 29,834.00 | HIT | +0.206% |
| 2026-08-06T16:30:00+00:00 | SHORT | 29,471.75 | 2026-08-06T19:45:00+00:00 | 29,497.25 | MISS | -0.127% |
| 2026-07-31T17:30:00+00:00 | LONG | 28,462.25 | 2026-07-31T19:45:00+00:00 | 28,402.50 | MISS | -0.250% |
| 2026-07-29T18:45:00+00:00 | LONG | 27,974.50 | 2026-07-29T19:45:00+00:00 | 27,409.00 | MISS | -2.061% |
| 2026-07-28T14:45:00+00:00 | LONG | 27,771.00 | 2026-07-28T15:15:00+00:00 | 27,938.75 | HIT | +0.564% |
| 2026-07-24T15:15:00+00:00 | LONG | 28,493.75 | 2026-07-24T19:00:00+00:00 | 28,254.25 | MISS | -0.881% |
| 2026-07-23T16:30:00+00:00 | LONG | 28,707.00 | 2026-07-23T19:45:00+00:00 | 28,614.25 | MISS | -0.363% |
| 2026-07-22T14:45:00+00:00 | SHORT | 29,185.75 | 2026-07-22T15:00:00+00:00 | 29,284.25 | MISS | -0.377% |