ORB Strategy January Update | My Algo Trading Bot Results

ORB Strategy — January Finance-Focused Summary

High-level performance (January)

• Total trades: 7 (3 winners, 4 losers) — monthly win rate 43% (backtest win rate ~45–50%).
• Monthly P/L: about -2% (first losing month after six consecutive winning months).
• Average realized reward:risk (TP:SL) for January: 1.03 (target: 1.5).
• Typical risk per trade targeted: 1.5% of capital.
• Key outlier: a single weekend gap loss that wiped out ~3.88% on one trade (more than double the usual risk).

Assets, indicators, and risks referenced

• Underlying/instrument: S&P 500 (trades executed on the S&P 500 15‑minute chart).
• Indicators/metrics: ATR (Average True Range), opening range breakout (ORB).
• Other finance items: overnight/financing fees (margin interest), weekend gap risk.

Strategy / methodology (15‑minute ORB setup)

Step-by-step rules used:

1. Timeframe: 15‑minute charts.
2. Session: New York open — identify the 9:30 a.m. open candle.
3. Opening range: draw rectangle from the 9:30 candle low to high.
4. Entry: wait for a subsequent candle to break and close outside the opening range; enter on the next candle after the confirmed close.
5. Stop loss: set at the bottom of the opening range.
6. Take profit: target 1.5× the stop‑loss distance (intended reward:risk = 1.5:1).
7. Trade direction: long‑only (no short breakout signals taken).

Additional filters / position-management notes:

• No trading after a certain time of day.
• Do not take trades when opening range is too big or too small (size filter based on ATR).
• Will take a new setup even if a prior trade from the previous day is still open.
• Position management: trades are left open until stop‑loss or take‑profit — no automatic Friday close (this policy is under review).

Key trades and events called out

• Jan 5: ORB entry held overnight, stopped out next day; loss ~1.64% (larger than intended 1.5% due to financing fees).
• Jan 6: Winner that lasted over a day; profit reduced slightly by financing costs.
• Jan 7: Previous winner hit TP; a later entry that day hit stop → net loser for the day.
• Jan 8–15: Multiple days skipped due to filters (range too big/small or breakout in opposite direction).
• Jan 23 (critical): Entered a Friday breakout that met filters; held into the weekend per current rule; large adverse weekend gap closed the position well below stop — realized loss ~3.88%. This trade was the main contributor to January’s net loss.
• Final trade of month: winning ORB that hit take‑profit; month ended on a winning trade but net negative overall.

Critical outlier: a weekend gap loss of ~3.88% on a single trade — more than double the intended risk — was the dominant factor in the month’s negative P/L.

Key numbers and metrics

• Win rate (Jan): 43% (3/7). Backtest win rate: ~45–50%.
• Target reward:risk: 1.5:1. Achieved in January: 1.03.
• Target risk per trade: 1.5% of capital.
• Financing fee effects: example — an intended 1.5% loss became 1.64% due to overnight financing.
• Weekend gap loss example: 3.88% realized loss on one trade.

Risks, limitations, and issues

• Overnight financing costs reduce net returns on trades held beyond the trading day.
• Weekend gap risk can produce losses that exceed stop‑loss risk (stops are not guaranteed across gaps).
• Live performance deviated from backtest in January primarily due to operational issues and an outlier gap event.
• Strategy is long‑only, so it misses short‑side opportunities.
• Filters (range size, ATR) can skip potentially profitable days, though backtesting suggests they improve performance overall.

Actions and tests proposed

• Backtest exiting positions before Friday close (to avoid weekend exposure) and evaluate whether this produces better risk‑adjusted returns than holding into the weekend.
• Re‑evaluate filters and the position‑holding policy to better manage gap risk and financing costs.

Disclosures and presenter

• No explicit “not financial advice” or regulatory disclosure was stated in the subtitles.
• The presenter framed the month as a learning experience and plans to backtest changes rather than immediately changing the live strategy.
• Presenter/source: the channel’s host (unnamed in the subtitles/video).