Full-gap opening range
This intraday NIFTY futures strategy is an opening range breakout that trades only on full-gap days, when the session opens completely outside yesterday's high-low range. It marks the 09:15 to 09:30 range and takes the first 5-minute close beyond either edge, in either direction. The stop goes at yesterday's opposite extreme, but never more than 1% away, and the target is 2.5% beyond the range edge.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test the 20 gap days that became trend days made +₹1,14,405 with a 75% win rate, as the breakout side kept going until 15:15. The 15 choppy gap days lost ₹70,060, winning only one in five, and the 37 quiet ones lost ₹27,143: the first break failed and the stop near 1% was hit. Direction mattered too: sessions that closed below their open made ₹96,417 over 42 trades, while those closing above the open lost ₹79,215 over 30, so downside breakouts after a gap followed through better than upside ones. Calm evenings with India VIX below 11.5 made ₹26,330, while nervous ones above 14.5 lost ₹14,176.
About this strategy
- Check the open of the near-month NIFTY future: trade only if it is above yesterday's high or below yesterday's low. The session after a futures expiry is skipped.
- Record the high and low from 09:15 to 09:30 as the opening range.
- After 09:30, the first 5-minute candle that closes above the range high triggers a buy of one lot at the next tick; a close below the range low triggers a sell. Signals count until 14:30, one trade a day.
- Place the stop at yesterday's low for a long or yesterday's high for a short, but no further than 1% from the entry price.
- Set the target 2.5% beyond the range edge that was broken.
- Close at the stop, the target, or at 15:15.
Why traders use it
A full gap means the overnight shift was large enough to clear the whole previous session, so the day is likely to be active. Rather than guessing whether the gap will run or fill, the strategy lets the first 15 minutes settle and then follows whichever side breaks. Restricting the opening range breakout to these days aims to skip the quiet sessions where ranges break and fail. Yesterday's opposite extreme serves as a level that, if reached, clearly invalidates the move.
The year in plain words
On NIFTY futures from 1 Oct 2025 to 30 Sep 2026 with default settings, the strategy traded on 73 full-gap days and won 48% of them, making ₹9,727 before costs with a profit factor of 1.05. No trade reached the 2.5% target: 55 ran to 15:15 and 18 hit the stop. March made ₹35,724, but April to June lost about ₹65,000 between them, and the drawdown reached ₹71,591. After ₹20 per order and bid-ask slippage the year ends with a ₹7,790 loss.
What the settings do
Risks
- The stop can be up to 1% of the futures price away, so a single loss per lot is large; the worst trade here lost ₹15,931.
- Trades happen only on gap days, which are often news-driven and prone to sharp reversals and wider spreads.
- The 2.5% target was designed for a more volatile index and did not trigger on NIFTY, so exits relied on time and stops.
- The small edge before costs became a loss after costs.
Who it suits
Intraday futures traders who prefer to trade only on eventful days, can wait through the first 15 minutes, and are comfortable with a stop near 1% on a full NIFTY lot.
Questions traders ask
What is a full-gap opening range breakout?
It is an opening range breakout taken only on days NIFTY opens entirely above yesterday's high or below yesterday's low. The first 15 minutes set the range, and the first 5-minute close beyond it decides the direction, which can be with or against the gap.
Is the full-gap ORB profitable on NIFTY futures?
In this backtest from 1 Oct 2025 to 30 Sep 2026 it made ₹9,727 before costs but lost ₹7,790 after ₹20 per order and bid-ask slippage, with a before-costs drawdown of ₹71,591. Past results do not guarantee future ones.
Why is the stop capped at 1%?
After a full gap, yesterday's opposite extreme can be several hundred points from the entry. Without a cap one failed trade could cost far more than a normal win, so the stop is pulled in to at most 1% from the entry price.
Does it trade with the gap or against it?
Either. It follows whichever edge of the opening range breaks first on a 5-minute close, so on a gap-up day it can go short if price drops below the range low.