zarattini-2023-orb-qqq
Independent replication of the 5-minute Opening Range Breakout on QQQ (Zarattini & Aziz 2023, SSRN 4416622), stress-tested for execution costs. Break-even at ~2.2¢/share slippage; NQ confirmation filter significant per-trade (t=2.05) but 76% of its PnL is 2022 alone. Placebo control + bootstrap CIs.
- backtesting
- brokers
- etf
- intraday-trading
- nasdaq-100
- nq-futures
- opening-range-breakout
- overfitting
- pandas
- paper-replication
- python
- qqq
- quantitative-finance
- sharpe-ratio
- statistical-significance
- Stars
- 2
- Forks
- 1
- + today
- +1
- Created
- 12mo
Ranking data as of October 5, 2026 (UTC).
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Overview
Independent replication of the 5-minute Opening Range Breakout on QQQ (Zarattini & Aziz 2023, SSRN 4416622), stress-tested for execution costs. Break-even at ~2.2¢/share slippage; NQ confirmation filter significant per-trade (t=2.05) but 76% of its PnL is 2022 alone. Placebo control + bootstrap CIs. It ranks #1777 on GitTiger, gaining +1 star on October 5, 2026 (UTC).
The project is written in Python and has 1 fork. It was created 12mo ago.
git clone https://github.com/giovannibrusco/zarattini-2023-orb-qqq.git
cd zarattini-2023-orb-qqq
# see README for setup