Opening Range Breakout + Retest

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Strategies/Opening Range Breakout + Retest
OPENING-RANGE BREAKOUTMonitoring

Opening Range Breakout + Retest

Waits for a break of the first 15-minute range, then requires a retest and candle confirmation.

Signal timeframe: 5-minute index candlesVirtual account: ₹100,000
Closed trades0Completed positions
Win rate—Closed trades only
Profit factor—After estimated costs
Net P&L₹0.00After estimated Zerodha-based charges
Realised max drawdown—Closed-trade equity only
CAPITAL READINESS

Research assessment

NOT EVALUATED

Readiness score: 0 / 100 · Closed trades: 0 · Win-rate 95% interval: —

View full assessment methodology and gates →

ENTRY LOGIC

When does this strategy enter?

Every condition listed below must be satisfied on a fresh, completed five-minute signal candle.

Bullish setup → Buy CE

  1. Build the opening range from the 09:15, 09:20 and 09:25 candles. Opening-range high is the highest high of those bars.
  2. Evaluate only after the opening range has completed (bar time 09:30 or later).
  3. Previous candle close must be above the opening-range high.
  4. Current candle low must retest to within the range-high tolerance: opening-range width × 3% (minimum tolerance 0.01 index points).
  5. Current candle must close above the opening-range high.
  6. Current candle must be bullish: close greater than open.

Bearish setup → Buy PE

  1. Opening-range low is the lowest low of the 09:15, 09:20 and 09:25 candles.
  2. Evaluate only after the opening range has completed (bar time 09:30 or later).
  3. Previous candle close must be below the opening-range low.
  4. Current candle high must retest to within the range-low tolerance: opening-range width × 3% (minimum tolerance 0.01 index points).
  5. Current candle must close below the opening-range low.
  6. Current candle must be bearish: close less than open.
INDICATOR DEFINITIONS

What the engine calculates

  • Opening-range high/low calculated from the first three 5-minute spot candles (09:15, 09:20 and 09:25).
  • Retest tolerance = 3% of opening-range width, with a minimum of 0.01 index points.

Required inputs

  • Nifty 50 or Bank Nifty spot candles
  • The first three 5-minute candles of the current session
  • Latest option-chain snapshot for the selected underlying
EXIT & RISK MANAGEMENT

How positions are managed

These common paper-execution rules apply to this strategy.

Stop-loss

15% below long premium entry; exit when bid reaches the stop.

Profit target

1.25R from initial premium risk; buyer exits on bid strength, seller buys back on ask decay.

Entry window

New entries are blocked after 14:15 IST.

End-of-day exit

Open positions are squared off by 15:20 IST. Overnight positions are subject to a safety exit on the next worker cycle.

Daily limits

No fixed daily trade-count cap. One open position and one lot maximum per strategy account. Daily loss threshold remains 1.5% of initial virtual capital.

Position size

One lot maximum. If estimated one-lot risk plus charges exceeds the account risk budget, the entry is skipped.

CONTRACT & FILL FILTERS

What must pass before an entry?

  • Bullish signal buys a CE; bearish signal buys a PE.
  • Candidate contract is selected from the configured expiry series (Nifty weekly by default; Bank Nifty monthly by default), with preference for absolute delta near 0.45 when Greeks are available.
  • Option quote must be no older than 120 seconds.
  • Bid/ask spread must be at most 5.0%; best bid and ask displayed quantities must each cover one lot.
  • Simulated entry buys at ask plus slippage and exits at bid less slippage.
  • Estimated brokerage, exchange charges, STT, stamp duty, SEBI charges and GST are deducted.
  • The one-lot premium notional must fit available virtual account capital.
IMPLEMENTATION NOTES

Important details

The current implementation tests current low ≤ opening-range high + tolerance for a bullish retest, and current high ≥ opening-range low − tolerance for a bearish retest. It does not impose a second bound on how far price may penetrate through the level; this is an implementation detail to review before treating the setup as a tightly bounded retest.
The current implementation does not impose a separate ORB-specific expiry time; the common entry cutoff at 14:15 IST still applies.
If the three opening candles are missing, the range is not considered complete and no signal is generated.
AUDIT TRAIL

Recent trades and decisions

No paper trades recorded for this strategy yet.

When a signal appears, this page will show whether it became a position or was rejected by a contract/risk filter.

Recent strategy events

No strategy events recorded yet.

When the engine evaluates a fresh candle, its decision and reason will appear here.