Opening-range breakout confirmed by bar-level order-flow delta.
DEFAULT MARKETNQ=F
BAR INTERVAL5m
GROSS EXPOSURE1.0x
PAPER CASH$100,000.00
REALIZED P&L$+0.00
PROMOTION AUDIT
No AI qualification submitted
This strategy keeps its course or research provenance. A normal backtest snapshot cannot award the AI-generated label.
NOT TESTEDLocked evidenceRequires 100+ trades over 180+ untouched calendar days.
NOT TESTEDCost survivalMust beat exposure-matched Buy & Hold at 4 and 8 bps.
NOT TESTEDIntraday flatnessEvery position must close within its trading session.
NOT TESTEDImmutable provenanceExact algorithm, dataset, and trade-ledger SHA-256 fingerprints are mandatory.
How the strategy works
Fabio ORB first defines the morning auction range, then requires both a price breakout and positive order-flow participation. The delta filter is intended to reject price breaks that are not supported by aggressive buying.
Concrete example
If the 08:30–09:00 ET range is 19,950–20,020, a 5-minute close at 20,025 qualifies only when that bar's Upticks minus Downticks is at least 200. The stop is 19,950 and the 1R target is 20,100.
Exact algorithm
Build the 08:30–09:00 ET opening range.
Require a 5-minute close above the range high.
Require Upticks − Downticks ≥ 200.
Stop at range low, target 1R, one trade, flatten at 15:00 ET.
Required data: uptick_downtick
Where it may work—and where it can fail
EXPECTED BEST CONDITIONS
Opening sessions with genuine directional order flow and a clean range expansion.
IMPORTANT CONTEXT
Blocked until a genuine uptick/downtick data feed is connected.
Main risks
Delta definitions vary by platform and feed
The opening range can be unusually wide
A close beyond the range may be late
Cannot be reproduced from OHLCV alone
“Best conditions” is an interpretation of the strategy's mechanism, not an additional course entry rule and not a performance guarantee.
Forward paper transactions
LEDGER START2026-08-16T22:55:34.268546+00:00
PAPER VERSIONv2 · 14d10e85fdc8
STATUSdata_blocked
STATUS DETAILRequired field unavailable: bar_delta
Entry
Side
Entry price
Exit
Exit price
Capital basis
Gross notional
Outcome
P&L
No forward-paper transactions yet. The ledger began at deployment and never imports historical P&L.
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
2026-08-16T22:55:34.268546+00:00
0
$100,000.00
$100,000.00
$+0.00
data_blocked
TRADES0
AVERAGE TRADE+0.00 bps
STRATEGY 1.0x / BUY & HOLD 1x+0.00% / +5.51%
VS 1x REFERENCE-5.51% · LAGS
DRAWDOWN: STRATEGY / B&H+0.00% / +7.12%
HITS / MISSES0 / 0
HIT RATE+0.00%
AVG HIT / MISS+0.00% / +0.00%
LONGEST MISS STREAK0
Rolling 70/30 diagnostic
This moving 70/30 split is a dashboard diagnostic, not frozen qualification evidence. It cannot award AI-qualified status.
FINAL 30% TRADES0
STRATEGY / B&H 1x+0.00% / +0.00%
FINAL 30% VS B&H+0.00%
FINAL 30% HIT RATE+0.00%
FINAL 30% DRAWDOWN+0.00%
INDEPENDENT EVIDENCE?No
Candles and execution signals
▲ BUY▼ SELLHover a candle or marker for exact values
Shows the latest 120 available bars. BUY/SELL marks strategy entries and exits whose timestamps fall in this visible window.
Historical equity curve
No executable historical trades
Compounds each encoded net trade sequentially, including the strategy's declared exposure and modeled costs. The forward ledger starts only after deployment.