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giovannibrusco

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giovannibrusco

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giovannibrusco/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.

Pythonbacktestingbrokersetf

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