Summary of "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:

Timeframe: 15‑minute charts.
Session: New York open — identify the 9:30 a.m. open candle.
Opening range: draw rectangle from the 9:30 candle low to high.
Entry: wait for a subsequent candle to break and close outside the opening range; enter on the next candle after the confirmed close.
Stop loss: set at the bottom of the opening range.
Take profit: target 1.5× the stop‑loss distance (intended reward:risk = 1.5:1).
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).