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I've been backtesting a 0DTE Opening Range Breakout (ORB) strategy on SPY and wanted to share the full results with all the data so you can evaluate it yourself.
\*\*The Strategy\*\*
- Watch the first 5 minutes of trading (9:30–9:35 AM ET) and mark the high and low — that's your opening range
- When SPY breaks above the high, buy an ATM 0DTE call. When it breaks below the low, buy an ATM 0DTE put
- Only take the first breakout of the day — one trade max per day
- Flat $500 per trade, every time
- Trade only Monday, Wednesday, Friday
\*\*Exit Rules\*\*
- Profit target: +100% (option price doubles)
- Stop loss: -50%
- Time stop: Close everything by 3:30 PM ET
\*\*Overall Results (303 trades)\*\*
- Net profit: +$14,861 on a $25K account (+59.4%)
- Win rate: 41.3% (125 wins / 178 losses)
- Average win: $417.66 | Average loss: $209.82
- Payoff ratio: \~2:1
- Profit factor: 1.40
- Max drawdown: 7.6% ($2,611)
- Average trade duration: 92 minutes
\*\*How Trades Exited\*\*
- 120 trades hit the profit target (all wins, +$51,599)
- 174 trades hit the stop loss (all losses, -$37,184)
- Only 9 trades reached the 3:30 PM time stop (+$446)
97% of trades resolved decisively via the profit target or stop loss.
\*\*Calls vs. Puts\*\*
- Calls (upside breakouts): 175 trades, 40.6% win rate, +$7,454
- Puts (downside breakouts): 128 trades, 42.2% win rate, +$7,406
Nearly identical P&L — the strategy is effectively direction-neutral.
\*\*Day of Week Breakdown\*\*
- Monday: 97 trades, 42.3% win rate, +$5,348
- Wednesday: 103 trades, 41.8% win rate, +$5,155
- Friday: 103 trades, 39.8% win rate, +$4,356
Tuesday and Thursday were excluded after testing showed they diluted the edge.
\*\*Yearly Breakdown\*\*
- 2024: 130 trades, +$7,389
- 2025: 149 trades, +$4,444
- 2026 (partial, \~2 months): 24 trades, +$3,027
Had 6 losing months out of 27 total. Largest monthly loss was under $900.
\*\*Why 5 Minutes Instead of 15?\*\*
Most ORB literature uses a 15- or 30-minute opening range. I tested multiple durations:
- 5 min: +$13,792 profit, 7.6% max drawdown
- 10 min: +$9,415, 9.2% drawdown
- 15 min: +$7,312, 10.8% drawdown
- 30 min: +$4,221, 12.1% drawdown
The 5-minute window nearly doubled the returns of the 15-minute window while cutting drawdown almost in half. Shorter ranges catch moves earlier and reduce theta decay impact on 0DTE options.
\*\*The Overfitting Trap\*\*
This was the most interesting finding. I optimized individual parameters (tighter stops, entry buffers, etc.) and each one looked great in isolation. But when I combined them all:
- Simple version (5m + MWF): +$13,792, 7.6% drawdown
- All "best" parameters combined: +$5,710, 12.1% drawdown
The most optimized version performed worse than the simplest version. Classic curve-fitting — each parameter was fitting to historical noise rather than capturing a real edge.
\*\*Important Caveats\*\*
- Bid/ask spreads not included — could reduce returns 10-20%
- No commissions or slippage modeled
- Limited history — daily 0DTE SPY options only launched mid-2023
- Max drawdown looks small but the sample may not capture extreme volatility events
\*\*Technical Notes\*\*
- Backtest built in Go using real 1-minute option bar data (not Black-Scholes theoretical prices)
- Conservative same-bar handling — if both the profit target and stop loss could trigger in the same 1-minute bar, it takes the loss
- No lookahead bias
\*\*Key Takeaway\*\*
A 2:1 payoff ratio only needs a 34% win rate to break even. At 41.3%, this strategy creates a small but consistent edge. The biggest lesson was that simplicity beat optimization — every attempt to "improve" the strategy actually degraded it. Moving to paper trading next before considering real money.
Happy to answer any questions about the methodology or data.

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