{
  "version": "2026-08-21",
  "canonical_page": "https://maddog.finance/blog/opening-range-breakout",
  "methodology_page": "https://maddog.finance/methodology",
  "instrument": "ES futures",
  "bar_interval": "5 minutes",
  "period": "2010-2026",
  "studies": [
    {
      "id": "archived-18-bar-opening-range",
      "status": "archived_result_with_later_reconstruction",
      "archived_result": {
        "opposite_session_extreme_holds_pct": 83.5,
        "eligible_sessions": 3578
      },
      "reconstructed_definition": {
        "range": "high-low of the first 18 five-minute bars",
        "event": "first later close outside that range",
        "outcome": "no later wick exceeds the opposite session extreme already in place before the breakout"
      },
      "reconstruction_result": {
        "opposite_session_extreme_holds_pct": 83.7,
        "eligible_sessions": 3574
      },
      "limitation": "The original executable scorer was not retained. The reconstruction is close but is not presented as the exact source of the archived tuple."
    },
    {
      "id": "current-rolling-10-bar-range",
      "status": "current_production_reference",
      "definition": {
        "range": "high-low of the immediately preceding 10 five-minute bars",
        "tightness": "range width no greater than 0.5 times ADR5",
        "event": "first qualifying closing breakout per window and day",
        "failure": "a later close crosses back through the breakout level"
      },
      "rth_reference": [
        {
          "horizon_bars": 5,
          "failure_rate_pct": 52.1,
          "eligible_events": 3925
        },
        {
          "horizon_bars": 10,
          "failure_rate_pct": 62.6,
          "eligible_events": 3922
        },
        {
          "horizon_bars": 20,
          "failure_rate_pct": 70.6,
          "eligible_events": 3915
        }
      ],
      "limitation": "The RTH definition was recovered after the original rates were known, then frozen before cross-window work. It is a stable reference, not an independent replication."
    },
    {
      "id": "rolling-event-conditional-model",
      "status": "production_port_validation_of_pre_specified_model",
      "original_model_volatility_baseline": "ADR20",
      "production_port_volatility_baseline": "ADR5",
      "validation_target": "NQ, 2023 onward",
      "auc": 0.646,
      "expected_calibration_error_pct": 5.1,
      "sample_size": 2637,
      "outcome": "close back through the rolling breakout level within 10 bars",
      "limitation": "The original model and evaluation gates were specified before the first NQ test. The exact ADR5 production-port tuple was measured after the original ADR20 validation and is not presented as the original pre-registration result."
    },
    {
      "id": "opening-session-extreme-timing",
      "status": "archived_result_with_later_reconstruction",
      "archived_source_sessions": 3946,
      "archived_checkpoints": [
        {
          "bars_from_open": 1,
          "minutes_from_open": 5,
          "either_final_extreme_already_appeared_pct": 26.3
        },
        {
          "bars_from_open": 7,
          "minutes_from_open": 35,
          "either_final_extreme_already_appeared_pct": 58.3
        },
        {
          "bars_from_open": 18,
          "minutes_from_open": 90,
          "either_final_extreme_already_appeared_pct": 81.2
        }
      ],
      "archived_direction_conditionals": {
        "up_close_day_low_in_first_third_pct": 83.3,
        "down_close_day_high_in_first_third_pct": 80.4,
        "limitation": "The archived scorecard retained the total source-dataset size, not the eligible denominator for either conditional row."
      },
      "strict_reconstruction": {
        "period": "2010-06-07/2026-07-17",
        "session_grid": "09:30-16:15 ET, 81 five-minute bars",
        "complete_sessions": 3942,
        "checkpoints": [
          {
            "bars_from_open": 1,
            "count": 1037,
            "rate_pct": 26.3
          },
          {
            "bars_from_open": 7,
            "count": 2300,
            "rate_pct": 58.3
          },
          {
            "bars_from_open": 18,
            "count": 3202,
            "rate_pct": 81.2
          }
        ],
        "up_close_days": {
          "eligible_sessions": 2166,
          "low_in_first_third_count": 1805,
          "rate_pct": 83.3
        },
        "down_close_days": {
          "eligible_sessions": 1747,
          "high_in_first_third_count": 1413,
          "rate_pct": 80.9
        },
        "flat_close_days": 29
      },
      "limitation": "The original scorer was not retained. Four 2020 sessions with 79-80 non-empty bars plausibly explain the archived 3,946-session total, but the original inclusion rule cannot be confirmed."
    }
  ]
}