A Profitable Day Trading Strategy For The U.S. Equity Market
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摘要
The paper investigates the profitability of Opening Range Breakout (ORB) day-trading strategies, focusing on the 5-minute ORB across over 7,000 US stocks from 2016–2023 and introducing a Stocks in Play filter via Relative Volume. The results show that restricting trading to Stocks in Play significantly boosts performance, with a top-20 Stocks in Play portfolio achieving over 1,600% total net return, Sharpe 2.81, and annualized alpha 36%—outperforming passive S&P 500 exposure (about 198% total return) over the same period. The study also compares various time frames (5, 15, 30, 60 minutes) and presents stock-specific results for the best and worst performers, marking this as among the first intraday granular datasets of its kind [page::2]
