Claim check · NQ futures
ORB Scalper 1.1 opening range strategy backtest on NQ futures: 3,601 trades, 2016–2025
Summary
An opening range scalper that risks about five times what it targets, run on NQ futures from 2016-06-01 to 2025-11-02, took 3,601 trades with an 84.6% win rate and +$58,294 gross, then −$168,749.84 after $2.22 per contract in costs. Net of those costs, nine of ten calendar years were below zero, and geometry alone gives 83.3%: a target one fifth of the stop is reached first 5 times in 6 by a random walk. Tested by CE Market Solutions (cemarketsolutions.com), a backtesting service for CME futures strategies.
The claim tested
The seller of ORB Scalper 1.1, an invite-only TradingView script.
The script wins 85% of the time. Its rules are not shown to buyers.
Rules exactly as tested
- Range: the high and low (wicks included) of the 15-minute candle from 09:15 to 09:30 ET.
- Signal: a 15-minute candle from 09:30 onward closes above the range high (long) or below the range low (short).
- Entry: the next bar’s open.
- Stop: 80% of the way back from the signal close to the far side of the range. With D the distance from the signal close to the stop, D = 0.8 × (signal close − far side of the range).
- Target: one fifth of the stop distance from the signal close, 0.2 × D, so the target is 0.2R. Prices are rounded to the tick.
- Size: floor($1,000 ÷ (D × $2)) MNQ contracts, with D taken from the signal close.
- At most 2 trades a day. The second trade is in the opposite direction only, and a reversal is allowed while a position is open.
- The last entry fill is at 14:30 ET. Exchange holidays are skipped. Anything still open at the end of the day is closed at the last bar’s close.
Assumptions where the rules were ambiguous:
- Signals are built from 15-minute bars made from 1-minute NQ data, with stops, targets and fills tested on the 1-minute bars.
- Costs are $2.22 per contract round turn: a $1.22 commission plus 1 tick of slippage per side ($0.50 × 2).
- The 2025-11-03 to 2026-09-11 period is the period the rules were developed on, so it is in-sample.
Data
- Instrument
- NQ (E-mini Nasdaq-100) futures prices, 1-minute data; sizing in MNQ contracts at $2 per point
- Date range
- 2016-06-01 to 2025-11-02 (the test sample), then 2025-11-03 to 2026-09-11 (in-sample)
- Sample size
- 3,601 trades in the test sample, 313 in the in-sample period
- Costs
- Gross is the trades before any cost. Net subtracts $2.22 per MNQ contract round turn times the contracts in each trade: a $1.22 round-turn commission plus 1 tick (0.25 point, $0.50) of slippage on each side. The mean position was 28.4 contracts, so the cost averaged about $63 a trade.
- In-sample or out-of-sample
- 2016-06-01 to 2025-11-02 is out-of-sample for the rules. 2025-11-03 to 2026-09-11 is in-sample.
Results
| Year | Trades | Win rate | Gross profit or loss | Net of $2.22 per contract | Max drawdown, gross |
|---|---|---|---|---|---|
| 2016 (June on) | 227 | 86.3% | +$8,049 | −$26,099 | −$4,735 |
| 2017 | 381 | 82.7% | −$1,378 | −$57,482 | −$8,342 |
| 2018 | 378 | 82.8% | −$2,404 | −$32,072 | −$10,564 |
| 2019 | 371 | 86.5% | +$14,552 | −$16,453 | −$4,096 |
| 2020 | 384 | 83.9% | +$3,676 | −$12,952 | −$11,288 |
| 2021 | 384 | 86.2% | +$11,962 | −$3,448 | −$5,525 |
| 2022 | 388 | 85.6% | +$9,348 | −$211 | −$5,824 |
| 2023 | 384 | 80.7% | −$11,102 | −$25,717 | −$18,230 |
| 2024 | 390 | 87.9% | +$21,126 | +$8,654 | −$3,692 |
| 2025 (to 11-02) | 314 | 84.1% | +$4,466 | −$2,971 | −$13,450 |
| All | 3,601 | 84.6% | +$58,294 | −$168,749.84 | −$18,230 |
| Period | Trades | Win rate | Gross profit | Max drawdown, gross |
|---|---|---|---|---|
| 2025-11-03 to 2026-09-11 | 313 | 85.6% | +$8,558 | −$5,301 |
- The mean position was 28.4 MNQ contracts across the test sample: 67.8 in 2016, 66.3 in 2017, falling to 10.7 in 2025.
- Cost model: $2.22 per MNQ contract round turn, from a $1.22 commission and 1 tick of slippage per side.
- Geometry, not a backtest: with the target at one fifth of the stop distance, a driftless random walk reaches the target before the stop with probability 5/6, or 83.3%. A 1:1 bracket gives 50%.
Questions and answers
How was ORB Scalper 1.1 backtested?
The rules were run on NQ futures 1-minute data from 2016-06-01 to 2025-11-02: a 15-minute 09:15–09:30 ET range, a 15-minute close outside it as the signal, a stop 80% of the way back to the far side and a target one fifth of the stop distance, sized to risk $1,000 in MNQ contracts.
What win rate did ORB Scalper 1.1 have over ten years?
84.6% of 3,601 trades from 2016-06-01 to 2025-11-02, close to the 83.3% that the 5-to-1 stop and target geometry gives a random walk.
What happens to ORB Scalper 1.1 after costs?
With $2.22 per contract round turn the 3,601 trades lost $168,749.84, and nine of the ten calendar years were below zero. Gross they made $58,294.
What sample size was used?
3,601 trades from 2016-06-01 to 2025-11-02, plus 313 trades in the in-sample period from 2025-11-03 to 2026-09-11.
Related reports
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- Kasen Kennedy 8:00 ET opening range retest backtest on NQ futures: 500 trades, 2020–2026
- CE 50% Model backtest on NQ futures: 2,625 trades, 2016–2026
Read more: R multiples and expectancy, explained · How many trades does a backtest need?
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