Zarattini & Aziz: 5-minute opening range breakout on QQQ

1. Can Day Trading Really Be Profitable? Evidence of Sustainable Long-term Profits from Opening Range Breakout (ORB) Day Trading Strategy vs. Benchmark in the US Stock Market (Zarattini, Aziz), version of 22 Sep 2025 — book or paper, 2025
   The authors’ PDF on the Concretum Group site (SSRN 4416622); the whole 18-page text was read.

• FilterInstrument: QQQ, which the paper calls the most liquid instrument that replicates the Nasdaq index; the leveraged variant uses TQQQ (3x the daily move of QQQ). Both long and short are traded.
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• FilterTest assumptions: 1 January 2016 – 17 February 2023, start capital $25,000, commission $0.0005 per share, no slippage in fills, data from Interactive Brokers.
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• FilterSensitivity check: a stop of 5% of the 14-day ATR with an end-of-day exit gave a far higher result on TQQQ (9,350%). The authors themselves call this possibly unrealistic: the stop would be about $0.08 wide, which a larger account would likely overshoot.
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• EntryDirection is the direction of the first 5-minute candle: if it closed up, buy at the open of the second 5-minute candle; if it closed down, sell short at that open. No position if the first candle is a doji (open = close).
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• StopStop at the low of the first 5-minute candle for a long and at its high for a short; the distance from entry to stop is the risk, $R.
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• ExitTarget 10R, or close the position at the market close if 10R was not reached, whichever comes first. No partial profit-taking.
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• Size and riskRisk 1% of the account per trade: shares = int(min(A × 0.01 ÷ $R, 4 × A ÷ P)), where A is the account, P the entry price, and 4 is the maximum intraday leverage. The 1% is chosen because the average daily move of QQQ is about 1%.
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• Size and riskThe 4x leverage cap binds: the authors estimate that 60% of trades were taken with an exposure at least 40% below the one needed for 1% risk. TQQQ is used so the same dollar moves fit within the cap.
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• DisciplineReported on QQQ: 1,795 trades (51% long, 49% short), win rate 24%, average 0.13R per trade, Sharpe 1.12, total return 675% against 169% for buy-and-hold QQQ, max drawdown 22%, annualized alpha 33% (p = 0.0025).
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• DisciplineReported on TQQQ with the same rules: total return 1,484%, 0.18R per trade, Sharpe 1.19, max drawdown 28%, alpha 48%. Buy-and-hold TQQQ in the same period: 438% with an 82% drawdown.
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• DisciplineThe authors name the main risk as operational, not the strategy itself: slippage, turning a day trade into a swing or buy-and-hold position, and exiting too early before the target.
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Often attributed to this trader, but not found in the sources above. Not listed as his or her rules.

• The authors’ later paper with Andrea Barbon, an intraday momentum strategy with “noise area” bands, is tested on SPY (S&P 500), not on the Nasdaq-100, so it is not listed here as a Nasdaq case.
• Results after the paper’s end date (February 2023) are not given in the paper.

This is the authors’ own backtest on one instrument over about seven years that were mostly a rising Nasdaq, with fills at the open of the second candle and no slippage; one author sells day-trading education. The 24% win rate and 0.13R mean that a few large winners carry the result, and the result depends on being able to trade at the second candle’s open without slippage. We have not tested this rule on our own data. A published backtest is a hypothesis, not proof.