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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|---|---|---|---|---|---|---|---|
| 2025-08-18 | 创业板(159915.SZ) | 2.4068444972846 | 0 | 4 | 2.581 | 0 | 107794.49/4.244% |
| 2025-08-15 | 创业板(159915.SZ) | 2.4068444972846 | 1055200 | 3 | 2.509 | 2647496.8 | 107794.49/4.244% |
| 2025-08-14 | 创业板(159915.SZ) | 2.4068444972846 | 1055200 | 2 | 2.446 | 2581019.2 | 41316.89/1.627% |
| 2025-08-13 | 创业板(159915.SZ) | 2.4067217024226 | 1053500 | 1 | 2.473 | 2605305.5 | 69824.19/2.754% |
| 2025-08-12 | 创业板(159915.SZ) | 2.330709682543 | 0 | 5 | 2.384 | 0 | 28014.96/1.128% |
| 2025-08-11 | 创业板(159915.SZ) | 2.330709682543 | 1065600 | 4 | 2.357 | 2511619.2 | 28014.96/1.128% |
| 2025-08-08 | 创业板(159915.SZ) | 2.3366882725332 | 1900 | 3 | 2.312 | 4392.8 | -46.91/-1.057% |
| 2025-08-07 | 创业板(159915.SZ) | 2.3367007670842 | 1073100 | 2 | 2.32 | 2489592 | -17921.59/-0.715% |
| 2025-08-06 | 创业板(159915.SZ) | 2.3367007670842 | 1073100 | 1 | 2.336 | 2506761.6 | -751.99/-0.03% |
| 2025-08-04 | 创业板(159915.SZ) | 2.3594838317555 | 0 | 6 | 2.313 | 0 | -141.21/-2.394% |
| 2025-08-18 | 创业板(159915.SZ) | 卖 | -1055200 | 2.581 | -2723471.295 | ¥817.04 | 183768.98 |
| 2025-08-14 | 创业板(159915.SZ) | 买 | 1700 | 2.48 | 4216 | ¥5 | 0 |
| 2025-08-13 | 创业板(159915.SZ) | 买 | 1053500 | 2.406 | 2534720.894 | ¥760.42 | 0 |
| 2025-08-12 | 创业板(159915.SZ) | 卖 | -1065600 | 2.384 | -2540390.467 | ¥762.12 | 56786.23 |
| 2025-08-11 | 创业板(159915.SZ) | 买 | 1063700 | 2.33 | 2478421 | ¥743.53 | 0 |
| 2025-08-08 | 创业板(159915.SZ) | 买 | 1900 | 2.327 | 4421.3 | ¥5 | 0 |
| 2025-08-08 | 创业板(159915.SZ) | 卖 | -1073100 | 2.311 | -2479934.217 | ¥743.98 | -27565.97 |
| 2025-08-06 | 创业板(159915.SZ) | 买 | 1073100 | 2.336 | 2506761.563 | ¥752.03 | 0 |
| 2025-08-04 | 创业板(159915.SZ) | 卖 | -2500 | 2.313 | -5782.5 | ¥5 | -116.21 |
| 2025-08-01 | 创业板(159915.SZ) | 买 | 2500 | 2.317 | 5792.5 | ¥5 | 0 |
