Can an ATR Filter Improve the Opening Range Breakout? | 5-Year Backtest (+1000% Return)

In this video, I backtest a modified version of the Opening Range Breakout strategy by adding a volatility-based filter using the ATR (Average True Range) indicator. The goal is to avoid setups with opening ranges that are either too tight or too wide, which often lead to poor risk-reward trades.

I’ll walk you through the full strategy, explain the tweak, and show you the backtest results — including a 5-year performance that turned $100 into $1,211.

What’s in This Video?
Quick recap of the Opening Range Breakout strategy
Explanation of the ATR filter and how it works
Full backtest results over 5 years of historical data
Side by side comparison with original strategy

Tools Used for Backtesting
Python
Jupyter Notebook
Pandas, NumPy, Matplotlib

Timestamps
00:00 Strategy Rules
01:35 ATR Filter
03:30 Maximum Range Size
05:30 Minimum Range Size
06:25 Backtest Results

Disclaimer: This content is for informational and entertainment purposes only and does not constitute financial advice. I am not a licensed financial advisor. Always do your own research before making any investment or trading decisions.

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