This paper explores the effectiveness of the Opening Range Breakout (ORB) strategy, particularly the 5-minute ORB, as a viable day trading approach for generating consistent and uncorrelated income. Focusing on over 7,000 US stocks from 2016 to 2023, the study specifically examines Stocks in Play—stocks with unusually high activity due to company-specific news. The findings reveal that a portfolio of the top 20 Stocks in Play yielded a net performance of 1,600%, a Sharpe ratio of 2.81, and an annualized alpha of 36%, significantly outperforming the S&P 500’s return of 198% during the same period. Additionally, the paper compares the ORB strategy’s returns across various time frames (15, 30, and 60 minutes) and provides detailed performance statistics for the 25 best and worst-performing stocks. This research stands out for its intraday granularity and extensive stock-level analysis, marking it as a pioneering contribution to the field.
Read the document here : https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4729284
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