Backtest Lab · Nifty · 12 January 2023 to 26 May 2026
Nifty opening range breakout: a 3.5-year backtest
Not SEBI-registered. Educational content only. Every figure on this page is from a backtest on historical data, 12 January 2023 to 26 May 2026. It is not investment advice, a recommendation, or a forecast.
The short answer
StrikeATM backtested the 15-minute opening range breakout on Nifty over 3.5 years of data, 12 January 2023 to 26 May 2026 (806 trading days), with ₹100 of costs on every trade. That is less than the ₹160 we use to test the strategies in our own course. We traded the signal nine ways: from Nifty spot or from the option's own chart, buying options or selling them, four strikes in the money or four strikes out of the money. All nine lost money, between ₹70,676 and ₹2,00,213 on a single lot. Only about one trade in four made money.
Key numbers from the StrikeATM backtest
- The most popular way to trade it (signal on spot, buy the option four strikes in the money): 806 trades, 25% winners, −₹1,97,096 after costs, Sharpe ratio −1.39.
- It lost money in every year tested: 2023, 2024, 2025 and the first five months of 2026.
- Without a trailing exit, 83% of breakouts closed back inside the opening range.
- We tried five exit rules on every version. Of all 45 combinations, not one made money.
- StrikeATM Score: 2 out of 10 for the popular version, and no version scored above 3.5.
What is the opening range breakout?
The opening range breakout, often called ORB, is one of the most talked-about intraday strategies for Nifty. The idea: the first minutes of the session set a range, and a move out of that range often keeps going. The rules we tested:
- The opening range is the high and the low of the first 15 minutes, 9:15 to 9:30.
- A breakout up is a five-minute candle that closes above the top of the range. A breakout down is one that closes below the bottom.
- Entry is at the open of the next candle. One trade a day.
- Three ways out. If a candle closes back inside the range, the breakout has failed: exit at that candle's close. If the move runs, follow it with a 20-candle moving average, and when a candle closes back through it, exit at the next candle's open. Anything still open is closed at 3:15.
First, prove the code trades the rules
A backtest is only as good as the code behind it. Before running the rules on 3.5 years of data, we drew individual days and checked that every entry and every exit lands exactly where the rules say. These are real days from the backtest.
Every entry and exit sits where the rules put it. Only after checking days like these is it worth trusting the code with every day of the data.
Two ways to trade a breakout
A breakout on Nifty spot can be traded from either side of the option market:
- An option buyer buys the call on a break up, and the put on a break down.
- An option seller takes the same view from the other side: it sells the put on a break up, and sells the call on a break down.
We tested each at two strikes: four strikes in the money (ITM 4) and four strikes out of the money (OTM 4).
Trading the option's own chart
Some traders ignore spot and draw the opening range on the option chart itself. So we tested that too. Every day, we watched the call and the put four strikes in the money, and either could trade: a buyer buys an option when it closes above its own opening range, and a seller sells one when it closes below.
Buying
Selling
A fair warning about example days
In each set above, we chose two of the best days and three losing ones. Any strategy can be made to look good with a few well-chosen screenshots. What matters is every day, so here is every day.
The full backtest: 3.5 years, 806 trading days
We started with the most popular way to trade it: take the signal from Nifty spot, and buy the option four strikes in the money.
806 trades. 25% of them made money. After costs, one lot lost ₹1,97,096, and the Sharpe ratio, which measures return against how much the results swing, was −1.39.
It was not one bad year:
| Year | Net, one lot |
|---|---|
| 2023 | −₹61,064 |
| 2024 | −₹13,980 |
| 2025 | −₹69,962 |
| 2026 (Jan–May) | −₹52,090 |
All nine versions lost
Maybe that was just the wrong way to trade it. So here are all of them: the signal from spot or from the option's own chart, buying or selling, in the money or out of the money. Each uses the exit rule chosen for it on 2023–24 data; more on that below.
| Signal | Side | Strike | Exit | Trades | Winners | Net | Sharpe | Score |
|---|---|---|---|---|---|---|---|---|
| Option's own chart | Buy | ITM4 | SMA 20 | 1,016 | 25% | −₹1,31,854 | −0.80 | 2.5 |
| Option's own chart | Buy | OTM4 | SMA 20 | 811 | 19% | −₹85,130 | −0.91 | 2 |
| Option's own chart | Sell | ITM4 | SMA 5 | 1,179 | 34% | −₹1,37,988 | −1.35 | 2.5 |
| Option's own chart | Sell | OTM4 | no trail | 1,372 | 29% | −₹70,676 | −1.43 | 3.5 |
| Nifty spot | Buy | ITM4 | SMA 20 | 806 | 25% | −₹1,97,096 | −1.39 | 2 |
| Nifty spot | Buy | OTM4 | SMA 20 | 805 | 14% | −₹1,25,994 | −1.83 | 2 |
| Nifty spot | Sell | ITM4 | SMA 20 | 805 | 28% | −₹1,48,909 | −1.24 | 2.5 |
| Nifty spot | Sell | OTM4 | no trail | 806 | 23% | −₹73,284 | −1.29 | 2 |
The ninth version skips options altogether and counts Nifty points on spot: −₹2,00,213 on the same 806 signals.
On the option's own chart, we also counted calls and puts separately. All 8 lost money.
Why it loses
Three numbers explain most of it.
- Most breakouts do not last. Without a trailing exit, 83% of trades ended with price closing back inside the range.
- Winners are rare. The winning days are real, you saw some of them above, but only about one trade in four is a winner.
- Every trade pays its costs, win or lose. At ₹100 a trade, 806 trades cost ₹80,600 before the strategy earns anything.
Could a better exit save it?
The obvious fix is a better exit. We tried five on every version: no trail, three moving averages (5, 10 and 20 candles), and a rule that exits when half of a large candle is given back.
Trailing did help option buyers: for every buying version, each trailing exit lost less than having no trail. But none of the 45 combinations made money. The best of all of them still lost ₹70,676, and that is choosing the best one after seeing all the data, which flatters it.
Choosing an exit while looking at all the data is a trap: it finds what fitted the past, not what works. So we did it properly. We chose each version's exit on 2023 and 2024 only, then judged it on 2025 and 2026, data it had never seen.
On the years it had never seen, none of the 8 made money.
We also tried a wider stop, at the far side of the opening range instead of its near edge. Counted in Nifty points on spot, it roughly broke even: ₹573 over 812 trades in 3.5 years, before any slippage. Traded through options, it still lost.
The StrikeATM Score
Every strategy in our course has to pass the same ten-question check before we trust it. Are the costs really in? Does the edge survive slippage? Is a handful of trades carrying the profit? Was it tested, or fitted? The answers add up to one number out of ten: the StrikeATM Score.
The opening range breakout, traded the popular way, scores 2 out of 10. Across all nine versions, it never scores above 3.5.
| Question | Result | What we found |
|---|---|---|
| Look-ahead bias | Pass | All 806 trades replayed with data cut off at each decision: 806 identical, 0 changed. |
| Costs | Fail | Before costs, the average trade lost ₹145; each trade then pays ₹100 more in costs. |
| Slippage | Warning | The average winner is 43 times the slippage, and 5.1% of winners are smaller than it. |
| The curve | Fail | The worst drawdown was 135.4% of the capital. |
| Trade concentration | n/a | Not scored: there is no overall profit to check. |
| Calendar spread | n/a | Not scored: there is no overall profit to check. |
| Tested, or fitted? | Warning | Per trade: −₹60 before 2025, −₹263 from 2025 on. |
| Enough trades | Fail | t-statistic −2.60 on 806 trades: the loss is not bad luck. |
| Return per unit of wobble | Fail | Sharpe ratio −1.39. |
| Every year counts | Fail | No year made money: every calendar year lost, and the worst, 2025, lost ₹69,962. |
The same score, for the strategies we teach
For comparison, here are the option-selling strategies we build in the course, scored on the same card. They were tested on the same years, with higher costs than we gave the breakout: ₹160 a round trip against ₹100.
| Strategy | Score | Average month (backtest) | Sharpe | Worst drawdown | Capital |
|---|---|---|---|---|---|
| Foundation I | 8.5 | 4.2% | 2.1 | −14% | ₹4,40,000 |
| Foundation II | 8.5 | 4.3% | 2.5 | −13% | ₹4,40,000 |
| Steady I | 9 | 6.0% | 3.4 | −13% | ₹4,40,000 |
| Steady II | 9 | 6.6% | 3.6 | −13% | ₹4,40,000 |
| Steady III | 8.5 | 7.0% | 3.4 | −22% | ₹4,40,000 |
| Steady IV | 8.5 | 6.7% | 3.1 | −22% | ₹4,40,000 |
| Shield I | 8 | 8.8% | 3.2 | −21% | ₹3,00,000 |
| Shield II | 8.5 | 8.2% | 3.4 | −18% | ₹3,20,000 |
| Shield III | 9 | 7.5% | 3.4 | −14% | ₹3,50,000 |
| Shield IV | 8.5 | 6.9% | 3.4 | −15% | ₹3,80,000 |
| Sprint | 8 | 13.2% | 2.9 | −53% | ₹2,20,000 |
None scores ten, and the course shows where each one loses its points. These are backtest figures on historical data, not a promise of future returns; each has its own drawdown and needs its own capital.
Watch the full test
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Frequently asked questions
Does the opening range breakout work on Nifty?
Not in StrikeATM's backtest. StrikeATM tested the 15-minute opening range breakout on 3.5 years of Nifty data (12 January 2023 to 26 May 2026, 806 trading days) with ₹100 costs per trade. All nine versions lost money, and none of the 45 combinations of version and exit rule was profitable.
What is the 15-minute opening range breakout?
The opening range is Nifty's high and low between 9:15 and 9:30. In the rules StrikeATM tested, a five-minute candle closing above the high is a breakout up and one closing below the low is a breakout down, with entry at the next candle's open and one trade a day.
Is it better to buy or sell options on an ORB signal?
In StrikeATM's 3.5 years Nifty backtest, both lost. The smallest loss came from selling options four strikes out of the money on the option's own chart: ₹70,676 on one lot. The most popular way, buying four strikes in the money on a spot signal, lost ₹1,97,096.
Would a stop-loss or a trailing stop fix the opening range breakout?
Not in StrikeATM's backtest. Trailing exits reduced option buyers' losses, but none of the five exits tested made any version profitable, and exits chosen on 2023–24 data lost money on every version in 2025–26.
What data and costs did StrikeATM use for this backtest?
Five-minute Nifty spot and options prices, 12 January 2023 to 26 May 2026, with ₹100 of costs on every trade (entry and exit together), one lot at a time. StrikeATM tests the strategies in its own course at ₹160 a trade, so the breakout was given the cheaper cost.
Where can I see the full opening range breakout results?
In StrikeATM's Backtest Lab, at strikeatm.com/backtest-lab, with every version, the example-day charts, the exit tests and the StrikeATM Score. The full test is also on StrikeATM's YouTube channel in English and Hindi.
Can I run this backtest myself?
Yes. The StrikeATM course teaches how to build and test options strategies like this one on historical Nifty data, in Python or by directing AI tools such as ChatGPT and Claude, and you keep the code.
How we tested
- Data: five-minute Nifty spot and option prices, 12 January 2023 to 26 May 2026, 806 trading days.
- Signals: the 9:15–9:30 range; a five-minute close outside it; entry at the next candle's open; one trade a day.
- Strikes: four strikes in the money or out of the money, chosen at entry.
- Costs: ₹100 per trade, entry and exit together, on every trade. The strategies in our course are tested at ₹160, so the breakout was given the cheaper cost.
- No look-ahead: every trade was replayed with data cut off at the moment of each decision; all 806 matched.
- Percent figures (drawdown, Sharpe) use ₹1.5 lakh capital for buying and ₹2.2–4.4 lakh for selling.
Is there a strategy you want us to test next? Tell us in the comments on the video.
Not SEBI-registered. Educational content only. Backtest on historical data, 12 January 2023 to 26 May 2026. Past results, real or simulated, do not guarantee future results. Nothing here is a recommendation to buy or sell any security.