Opening range breakout: what 16 years of ES data actually show
The opening range breakout is one of the most-quoted setups in day trading — and one of the least-measured. MADDOG pre-registered the classic opening-range claims, then scored them against 3,946 ES (S&P 500 futures) sessions of five-minute data from 2010 to 2026. The short version: the folklore points the right way, and the exact numbers land 6–10 points away from where the books put them. The measured numbers are below.
Published 2026-08-17 · ES 5-minute regular-session bars, 2010–2026 · every claim registered before it was scored
What is an opening range breakout (ORB)?
An opening range breakout is a trade taken when price moves outside the high or low of the session’s first minutes — the “opening range”. Toby Crabel named the setup in his 1990 book on short-term price patterns, and Al Brooks folded it into a larger bar-by-bar framework: the open matters because the day’s extremes tend to form early, so the first breakout carries information about how the whole session may resolve.
What is the opening range?
The opening range is the high–low band of the first part of the session — commonly the first 5, 15, or 30 minutes, depending on the trader. There is no single official window: a 5-minute ORB gives more signals with more noise, a 30-minute ORB fewer and cleaner ones. What the windows share is the premise that the early session sets the frame for the rest of the day. That premise is measurable — and it holds:
| One side of the day’s final extreme is already in… | Brooks framework | Measured (ES) | Sample |
|---|---|---|---|
| After the first 5-minute bar | ~20% | 26.3% | 3,946 sessions |
| 35 minutes into the session | ~50% | 58.3% | 3,946 sessions |
| 90 minutes into the session | ~90% | 81.2% | 3,946 sessions |
Read that middle row again: 35 minutes into a typical ES day, the high or the low of the entire session has already printed more often than not. By the 90-minute mark it has happened in 81.2% of sessions. This is why MADDOG reads a market 90 minutes after its open — late enough that the day has shown its structure, early enough that most of the session is still ahead.
How often does the opening range breakout hold?
The Brooks framework puts several early-structure regularities at around 90%. Measured on ES, they are real but run 6–10 points cooler:
| Claim | Brooks framework | Measured (ES) |
|---|---|---|
| Bull days: the day's low forms in the first third of the session | ~90% | 83.3% |
| Bear days: the day's high forms in the first third of the session | ~90% | 80.4% |
| After an opening range breakout, the opposite extreme holds | ~90% | 83.5% |
The last row is the ORB trader’s core question. After ES breaks out of its opening range, the extreme on the other side of that range survived the rest of the day in 83.5% of 3,578 breakout sessions. Five sessions in six, the market did not come back through the far side of the range. That is a genuine edge in information — though not automatically an edge in money, because entry, stop and exit still decide the outcome.
How often do range breakouts fail?
The other famous number is the “80% rule”: roughly 80% of breakouts from a trading range are said to fail. Measured on ES with a strict definition — price closing outside a range that had held for the prior 10 bars, counted as failed once price closes back through its own breakout level — the failure rate depends entirely on how long you wait:
| Breakout reverses… | Measured failure rate (ES) |
|---|---|
| Within 5 bars (25 minutes) | 52.0% |
| Within 10 bars (50 minutes) | 62.4% |
| Within 20 bars (100 minutes) | 69.7% |
Sample: 5,000–9,700 breakout events depending on horizon, ES 5-minute bars 2010–2026.
So “most breakouts fail” is true — a coin flip within 25 minutes, nearly two in three within 50 — but the 80% figure is only approached if you give the market 100 minutes to reverse. The practical reading: a breakout that survives its first 10 bars has already beaten the base rate.
5-minute vs 15-minute ORB: which window?
The honest answer from the data above: the window matters less than the clock. Whatever range you draw, by 35 minutes the session has usually shown one of its extremes, and by 90 minutes it has done so four times in five. A 5-minute ORB simply takes the earliest, most error-prone snapshot of that process; a 15- or 30-minute ORB waits for a steadier one. MADDOG takes the measurement at 90 minutes and reads the whole structure at once — not just the breakout, but which of five day types the session is shaping into, with a published 66% top-1 accuracy against a 37% majority-class baseline.
Where these numbers come from
Every figure on this page was pre-registered: the claim and its exact definition were fixed first, then scored mechanically against ES five-minute regular-session bars from 2010 to 2026. Nothing was re-fitted after seeing the results, and the misses are published alongside the hits — the same discipline MADDOG’s live reads follow. The breakout model’s conditional estimates were additionally validated zero-shot on NQ data from 2023 onward: AUC 0.646, calibration error 5.1%, n = 2,637. Definitions and field semantics are in the API reference.
See a live read
MADDOG runs this measurement live, every trading day, 90 minutes after each market’s open — the day-type probabilities, a confidence grade, and the window’s first range breakout with the rates above attached. Read real sample emails, or leave an email and one ticker on the homepage and get one read free — no account, no card.