0DTE Opening Range Breakout Strategy on SPY — Full Backtest Results (303 Trades, Feb 2024 – Mar 2026
u/spicermatthews ·
Reddit — r/options
· March 04, 2026 at 20:50
· ⬆ 63 pts
· 💬 48 comments
| View on Reddit ↗
AI Summary
Summary
The discussion centers on refining a 0DTE Opening Range Breakout (ORB) strategy for SPY, with suggestions to improve profit capture and manage risk.
A key disagreement arises over the validity of the backtest, with a user pointing out that real-world order flow and market maker behavior would likely prevent the 100% fill rate assumed in the analysis.
The dominant sentiment is one of skepticism towards the presented backtest results, but interest in the underlying strategy's potential if modified.
Score63
Comments48
▶ Full Post Text
[+13] u/thebaine: Did you look to see what happens to trades if you don’t take profit at 100% but set a trailing stop of some kind? Or using an ITM option with a delta of say 0.7 or 0.8 for example? Thinking of how you could capture larger moves for more profit without eating too much theta decay.
[+5] u/j_hes_: This is going to crash your account. You did not backtest this with real orderflow data. You have 100% fills on all your trades. Index options don’t work like that. Market Makers and dealers will avoid the fills you’re implying here. This is not an accurate backtest report.
A backtest of a 0DTE Opening Range Breakout (ORB) strategy on SPY was presented, but its methodology was immediately challenged. The community identified significant flaws, such as assuming a 100% fill rate, which is unrealistic in live trading of 0DTE index options. This suggests the presented strategy is unreliable as-is, but the concept itself is a point of discussion for potential refinement. The original strategy should be avoided due to flawed backtesting. However, the community is actively discussing modifications (e.g., using trailing stops, higher delta options) which warrants watching how these ideas develop. The primary risk, highlighted by u/j_hes_, is that the strategy is not viable in real market conditions due to slippage and market makers avoiding fills, potentially leading to significant losses ("crash your account").
This Reddit post, published March 04, 2026,
features r/options community
discussing SPY.
1 trade idea extracted by AI with direction and confidence scoring.