策略核心思想是以历史数据的振幅作为当日突破界限，当市场突破该界限后，便认为是真正的突破，跟随该趋势。ORB的计算公式为MIN(ABS(H-C),ABS(L-C))，其中H为昨日最高价，L为昨日最低价，C是昨日收盘价。用ORB计算上下轨的公式为：上轨=open+MEAN(ORB,N)\*M, 下轨=open-MEAN(ORB,N)\*K，其中N是计算平均ORB的时间范围，M和K为固定参数，当价格突破上轨时买入开仓，当价格突破下轨是卖出开仓，设置止盈止损点，并且每日平仓。
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当日收盘价 | 当日市值 | 浮动收益/浮动收益率
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| 2025-08-06 | 中证1000股指期货2509(IM2509.CFE) | 6767.7998046875 | 0 | 1 | 6762.6 | 0 | 0/0% |
| 2025-08-05 | 中证1000股指期货2509(IM2509.CFE) | 6658.2001953125 | 0 | 1 | 6682 | 0 | 0/0% |
| 2025-08-04 | 中证1000股指期货2509(IM2509.CFE) | 6631 | 0 | 1 | 6642.6 | 0 | 0/0% |
| 2025-07-30 | 中证1000股指期货2509(IM2509.CFE) | 6650 | 0 | 1 | 6604.2 | 0 | 0/0% |
| 2025-07-29 | 中证1000股指期货2509(IM2509.CFE) | 6642 | 0 | 1 | 6662 | 0 | 0/0% |
| 2025-07-25 | 中证1000股指期货2509(IM2509.CFE) | 6618.7998046875 | 0 | 1 | 6605.8 | 0 | 0/0% |
| 2025-07-24 | 中证1000股指期货2509(IM2509.CFE) | 6574 | 0 | 1 | 6618.6 | 0 | 0/0% |
| 2025-07-23 | 中证1000股指期货2509(IM2509.CFE) | 6522.7998046875 | 0 | 1 | 6500 | 0 | 0/0% |
| 2025-07-22 | 中证1000股指期货2509(IM2509.CFE) | 6491.3999023438 | 0 | 1 | 6515.4 | 0 | 0/0% |
| 2025-07-21 | 中证1000股指期货2509(IM2509.CFE) | 6476 | 0 | 1 | 6463.2 | 0 | 0/0% |
| 2025-08-06 | 中证1000股指期货2509(IM2509.CFE) | 买 | 1 | 6767.7998 | 6767.8 | ¥31.13 | 0 |
| 2025-08-06 | 中证1000股指期货2509(IM2509.CFE) | 卖 | -1 | 6766 | -6766 | ¥466.85 | -359.96 |
| 2025-08-05 | 中证1000股指期货2509(IM2509.CFE) | 买 | 1 | 6658.2002 | 6658.2 | ¥30.63 | 0 |
| 2025-08-05 | 中证1000股指期货2509(IM2509.CFE) | 卖 | -1 | 6681.7998 | -6681.8 | ¥461.04 | 4719.92 |
| 2025-08-04 | 中证1000股指期货2509(IM2509.CFE) | 买 | 1 | 6631 | 6631 | ¥30.5 | 0 |
| 2025-08-04 | 中证1000股指期货2509(IM2509.CFE) | 卖 | -1 | 6641.3999 | -6641.4 | ¥458.26 | 2079.98 |
| 2025-07-30 | 中证1000股指期货2509(IM2509.CFE) | 买 | 1 | 6650 | 6650 | ¥30.59 | 0 |
| 2025-07-30 | 中证1000股指期货2509(IM2509.CFE) | 卖 | -1 | 6609.3999 | -6609.4 | ¥456.05 | -8120.02 |
| 2025-07-29 | 中证1000股指期货2509(IM2509.CFE) | 买 | 1 | 6642 | 6642 | ¥30.55 | 0 |
| 2025-07-29 | 中证1000股指期货2509(IM2509.CFE) | 卖 | -1 | 6663.3999 | -6663.4 | ¥459.77 | 4279.98 |
