Opening range breakout on MNQ, 5-minute bars

Index futures

A common textbook strategy with default settings, run on real Micro Nasdaq-100 futures data. It is not tuned and not a recommendation — it shows what a finished backtest tells you, including when the answer is “this doesn't work.”

Net P&L after costs

−$4,260

Trades

505

Win rate

29%

Profit factor

0.73

Max drawdown

$4,319

Cumulative net P&L by trade, drawdown shaded — 1 MNQ contract

For scale only: simply holding one MNQ contract over the same window would have moved +$16,947, with a worst dip of $13,841. That is not a fair comparison — the strategy is in the market briefly, risks a fixed stop, and pays trading costs — but it shows what the market itself did.

Results in the earlier and later parts of the window
Period	Trades	Win rate	Net P&L	Profit factor
Earlier 70%2024-09-06 to 2026-01-30	353	32%	−$1,728	0.83
Later 30%2026-01-30 to 2026-09-06	153	22%	−$2,576	0.50

The earlier 70% of the window and the later 30% are run separately and both shown. This strategy has fixed rules -- nothing was fitted to the earlier period -- so the split shows whether results were stable, not whether an optimization held up.

The rules

Opening range = high and low of the first 15 minutes after the 9:30 ET open (a common textbook setting; not optimized).
Go long on the first 5-minute bar to close above the range, short on the first to close below it; at most one entry per day.
Entry at the OPEN of the bar after the signal bar (never the same bar).
Stop 20 points, target 40 points; if both are touched in one bar the stop is assumed to hit first; a stop that gaps fills at the gap price.
Flat by 16:00 ET, or after 3 hours; 1 MNQ contract; regular trading hours only.

Assumptions

$2.50 commission per round trip, plus 1 tick of slippage on each fill.
Entry at next bar open; stops/targets simulated from bar highs/lows.
MNQ (Micro E-mini Nasdaq-100), $2 per index point, back-adjusted continuous series (rolls smoothed).
Times in America/New_York.

Source: Databento CME Globex 1-minute bars
Window: Sep 6, 2024 to Sep 6, 2026
Engine version: 2026-09-6symbol-v5
Run: Sep 24, 2026

Test your own rules

Start from these exact rules and change anything — the entry, stop, target, contract, or date range. You see the cost in credits before you run. Backtesting covers index futures only; stock and ETF backtesting is not available yet.

Test your own rules How backtests are run