Does heavy trading volume make the opening-range breakout work?
The opening-range breakout buys when price rises above the high of the first minutes of trading, or sells below the low. Some traders say it only works on days with unusually heavy volume. Tested on Nasdaq-100 futures from 2010 to 2026 and checked on seven other markets, the heavy-volume days were no better.
Refuted: Failed its test once trading costs were included. How to read a study.
Verdict, as the study states it: VERDICT: REFUTED (primary cell t = -0.33, mean -1.11 pt; 0 of 7 instruments replicate).
- Study number
- FPR-26-03
- Versions tested
- 320
- Pre-registration written
- Aug 25, 2026, 21:26 ET
- First result
- Aug 25, 2026, 21:31 ET
- Markets
- NQ primary; ES, RTY, YM, CL, GC, ZN, 6E replication
- Backs
- Opening-range breaks
- Sample
- 2010-06-07 to 2026-08-25; NQ 4,033 sessions, 3,913 trades (577 in the top RVOL quintile); IS/OOS split at 2020
- Costs
- NQ 1.0 pt round trip base (amended from 0.5 before any run); sensitivity 0 / 0.5 / 2.0 pt; per-instrument tick-scaled; stop slippage max(2 ticks, 0.25 x excursion)
Notes and defects
320 cells were pre-counted by the study (8 instruments x 5 RVOL buckets x 2 entries x 4 frictions); 1 cell was confirmatory. Unconditional ORB (all trades) is also reported: +0.744 pt gross, -0.256 pt net (t -0.21). Timestamp defect: the prereg says 'Frozen 19:30 MDT' and its amendment says '19:45 MDT', but the file was created 21:26:52 EDT (19:26 MDT) and last written 21:27:37 EDT, before rvol_orb.py (21:28:24) and the first raw output (21:31:33). The file order supports pre-registration; the in-document times are wrong. The results honestly record that monotonicity criterion 2 was written too loosely and a mid-study bug fix (NQ results bit-identical).
Data needed to rerun: CME futures 1-minute OHLCV bars (Databento GLBX layout: ts_event,rtype,publisher_id,instrument_id,open,high,low,close,volume,symbol) at <data-root>/fp-data/glbx/<ROOT>/1m/<YEAR>.csv; licensed vendor data, not redistributed (8 roots, 2010-2026)
Original working title: Does relative-volume selection rescue the opening-range breakout on futures?
Files
Pre-registration2026-08-25-rvol-orb-prereg.md
Results2026-08-25-rvol-orb-results.md2026-08-25-rvol-orb-results.txt
Hashes for every file are in SHA256SUMS. Market data is not included.
Cite this study
Futures Playbook Research (2026). Does heavy trading volume make the opening-range breakout work?. Study FPR-26-03. https://www.futuresplaybook.com/research/rvol-orb
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.