The range, the break, and the failure level on the other side
Four levels and a clock: the range high, the range low, a 1% backstop, and a session that ends the trade whatever the chart says.
Key takeaway
- The range is the high and low of the first 30 minutes — on a 15-minute chart, simply the first two bars
- Entry is a close above the range high; the failure exit is a close below the range low
- The trade cannot exist before 10:00 and cannot survive past the close
Thirty minutes, two bars, two lines
From the opening bell to 10:00 am, you do exactly one thing: nothing. On a 15-minute chart the opening range is the first two completed bars — its high is the higher of their highs, its low is the lower of their lows. Until both bars have printed, the range does not exist, and neither does any signal.
That enforced patience is structural, not stylistic. The published implementation computes the range as undefined while it is forming, so nothing downstream can trigger inside the opening window — a discipline most manual traders have to impose on themselves and this system gets for free.
The entry: a close beyond the range, not a tick through it
The trigger is a 15-minute bar closing above the opening-range high. A wick that pokes through and closes back inside is not a breakout — it is the range being tested and holding. Requiring the close filters the one-tick fakeouts that plague breakout trading, and the price of that filter is honesty about its cost: the confirmed entry is always later and further from the range than the first tick was.
- Long side only, in this rule set. The published system buys upside breaks; the short mirror exists in practice but is a separate rule set with its own mechanics.
- One breakout, one trade. The system takes the session's first valid break. It is not a machine for re-buying every push to the high.
- A late break is a worse break. A range high first exceeded at 15:00 leaves an hour for the trend to develop before the mandatory close — the arithmetic of the trade has mostly expired.
Two exits and a backstop
| Exit | Rule | What it means |
|---|---|---|
| Range failure | A close back below the opening-range low | The breakout has failed — the session traversed its whole opening range in reverse |
| Session end | Flat before the close, without exception | The thesis is about today; there is no version of it that includes tomorrow's gap |
| Disaster stop | A hard stop of about 1% | The failure exit confirms on a close; this caps the damage when a bar gaps through the range |
Note what the failure level is not: it is not the range high you bought through. Price falling back inside the range is normal — breakouts retest. Only a full traverse to a close beyond the opposite side declares the trade wrong.
That choice makes the stop distance wide — roughly the range plus the entry's distance above it — and that width is not a flaw to be tightened away. It is the price of not being shaken out by the ordinary retest, and the sizing page treats it as the trade's defining number.
The filter Crabel actually published
Taken on every session, the raw ORB is close to a coin flip paying breakout odds. Crabel's statistics located the edge in a subset: sessions following a narrow-range day, canonically NR7 — yesterday's range the narrowest of the last seven days. After contraction, the break runs; after an ordinary or wide day, it fails far more often.
- Check yesterday's range before the open. If it was the narrowest of the last seven, today's breakout carries the documented edge.
- Gap and news days also qualify in modern practice — anything that gives the session a directional reason to leave its opening range.
- An ordinary day after an ordinary day is the skip. Nothing loaded the spring, and the rangebound failure mode described later is the base case.
Common questions
- Why 30 minutes and not 5, 15 or 60?
- Thirty minutes is the published definition in this implementation — long enough for the opening auction and the first news reactions to settle into a meaningful range, short enough to leave most of the session for the trend. Shorter windows give earlier entries off flimsier ranges; a 60-minute range is sturdier but the move is often half over. The honest answer is that the window is a convention, and changing it mid-stream to suit yesterday's outcome is curve-fitting by hand.
- Is the short side symmetric — sell a break of the range low?
- Mechanically yes, and Crabel studied both directions. This rule set as shipped is long-only: the downside break inherits shorting's extra mechanics in equities (borrow, upward drift working against you), while in futures the symmetric short is more natural. Either way it should be run as its own tracked rule set, not an ad-hoc extra.
- Does the breakout need volume confirmation?
- The published rules do not require it — the close beyond the range is the whole trigger. Volume expansion on the break is a reasonable discretionary tell, and the failure page shows what its absence tends to precede, but adding it as a formal condition makes the system stricter than the one whose statistics were published.
These are documented methods described for study. Nothing here is investment advice, a recommendation, or a claim about future returns — every system on this page has losing periods, and the pages say where.
Reading about a system is not having one.
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