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I’ve been developing and backtesting a systematic Opening Range Breakout strategy on SPY and have gotten it to a point where I’d really appreciate some fresh eyes from people with experience in ORBs, systematic trading, or 0DTE options.
The strategy uses a defined opening range, breakout confirmation, time restrictions, range filtering and systematic exits. It trades both directions and is limited to one trade per session.
I’ve been developing it in TradeStation/EasyLanguage and optimizing the major components individually rather than throwing every variable into an optimizer at once.
I’m trying to judge the strategy on more than net profit — profit factor, expectancy, drawdown, trade count, long/short performance and parameter stability all matter.
The current underlying backtest covers **SPY from 2020–2026: 576 trades, 54.2% profitable and a 1.56 profit factor.** I attached the equity curve and performance report. The small dollar P&L is due to the test sizing — I’m evaluating the underlying edge and consistency rather than the nominal return.
My eventual goal is to execute this strategy through **SPY 0DTE options**, which is where things obviously become more complicated. An edge on SPY doesn’t automatically translate to an edge on the option because of strike selection, greeks, IV, spreads, decay, execution, etc.
I know historical intraday options data will eventually be necessary. I’ve looked into purchasing Cboe data ($2,200), but before making that investment I want to take the underlying research as far as reasonably possible and make sure I’m approaching the next stage correctly.
**That’s really why I’m posting.** I’d love to hear what experienced traders/system developers think when looking at these results. What would you investigate next? What concerns you? What am I potentially overlooking?
I’m not looking for anyone’s proprietary strategy or asking someone to build mine. Just looking for criticism, ideas, resources and another set of experienced eyes before taking the research further.
Happy to discuss more specifics where they’re relevant in the comments. Appreciate anyone that’s read this far and is willing to take a look!