Price & Market BehaviorExtended setInvalidNew

opening range breakout

Updated dailyData needs: highlong onlyshort onlylong short

2018

Gao, L., Han, Y., Li, S. Z., & Zhou, G. (2018). Market Intraday Momentum. Journal of Financial Economics.

In plain terms

When a stock swings widely right at the open and then finishes the day up (or down), it tends to keep going that way the next day.

How it works

A wide opening range (large first-bar high-low relative to recent) signals an information shock / volatility expansion at the open; the day's net open-to-close direction then tends to continue into the next session via attention-driven order flow. A narrow opening range carries no breakout and is suppressed.

Live results

122 times picked on its own · 176 times inside a blend (173 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 176 such blended picks (173 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Intraday features daily
A data feed this strategy reads, refreshed on its normal schedule.
Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

A wide opening-range breakout gates next-day continuation in the day's direction (intraday momentum).

Related families

intraday volatility-spike reversalPrice & Market Behavior

On days when a stock's price swings unusually hard intraday, the move tends to be an overreaction that partly reverses the next day.

afternoon driftPrice & Market Behavior

When a stock pushes hard in the afternoon (when the big institutions trade), it tends to keep moving the same way the next day.

close strength driftPrice & Market Behavior

A stock that finishes the day strong (rising into the bell and above its average price) tends to keep rising the next day.

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