ORB stop loss placement comes down to one question for most opening range breakout traders: put the stop at the far side of the range, or tighten it to the midpoint? We tested both on 3,884 Nasdaq-100 futures (NQ) sessions from 2010 to 2026. On the 15-minute ORB, the midpoint stop risked about half as much per trade and made almost exactly the same total points. The catch is that it lost far more often.
The two opening range breakout stop loss rules
We ran the same opening range breakout (ORB) on three range lengths — 15 minutes, 30 minutes and a 60-minute initial balance — with two stop placements:
- Market: NQ continuous front-month futures, regular session (09:30–16:00 ET), 15-minute bars, June 7, 2010 to April 16, 2026.
- Entry: stop order at the range high (long) or range low (short). One trade per day; the first side broken wins. Bars that break both sides are skipped. No entries after the 15:00 bar.
- Stop A – opposite side: the stop sits at the other side of the range, so risk equals the full range.
- Stop B – midpoint stop: the stop sits at the middle of the range, so risk is half the range.
- Entry-bar rule: 15-minute bars cannot show whether a bar's low came before or after the breakout. So on the breakout bar itself, the trade is only stopped out if that bar closes back through the stop, and it exits at that close. From the next bar on, any touch of the stop exits at the stop price.
- Exit: the stop, or the session close (15:45 bar close). No profit target.
- Costs: 1.0 NQ point per round trip.
All results are in NQ index points for one contract. MNQ is $2 per point and NQ is $20 per point, so MNQ dollars below are simply points × 2. Every trade has 1.0 point deducted for costs (slippage plus commission).
ORB stop loss placement results: midpoint vs full range
| Range | Stop | Trades | Win rate | Avg win | Avg loss | Total pts | Profit factor | Closed-trade DD (pts) |
|---|---|---|---|---|---|---|---|---|
| 15-min ORB | Opposite side | 3,880 | 39.6% | +69.8 | -39.36 | +15,205 | 1.17 | 2,918 |
| 15-min ORB | Midpoint | 3,880 | 26.8% | +77.43 | -22.97 | +15,146.1 | 1.23 | 1,511.8 |
| 30-min ORB | Opposite side | 3,857 | 43.7% | +62.77 | -43.79 | +11,010.8 | 1.12 | 5,237 |
| 30-min ORB | Midpoint | 3,857 | 31.3% | +67.14 | -27.84 | +7,197.8 | 1.1 | 3,145.8 |
| 60-min IB | Opposite side | 3,690 | 48.3% | +51.3 | -45.36 | +5,421.8 | 1.06 | 4,688.2 |
| 60-min IB | Midpoint | 3,690 | 39.6% | +53.71 | -32.84 | +5,448.5 | 1.07 | 3,052.6 |
Three different stories, one per range length:
- 15-minute ORB: the midpoint stop made 15,146.1 points versus 15,205 for the full-range stop — practically a tie — with a higher profit factor (1.23 vs 1.17) and about half the closed-trade drawdown (1,511.8 vs 2,918 points).
- 30-minute ORB: the midpoint stop was worse on total points (7,197.8 vs 11,010.8) and profit factor (1.1 vs 1.12), though its closed-trade drawdown was smaller (3,145.8 vs 5,237).
- 60-minute IB: another near tie on points (5,448.5 vs 5,421.8), with profit factors of 1.07 and 1.06 — both thin — and a smaller drawdown for the midpoint stop.
Midpoint stop: same points, half the risk per trade
The number that matters most is not in the total-points column. On the 15-minute ORB the median range was 25.75 points, so a typical full-range stop risks about 25.75 points and a typical midpoint stop about 12.9. The average loss confirms it: -22.97 points with the midpoint stop against -39.36 with the full-range stop.
If both stops earn roughly the same points per contract, but one risks half as much per trade, then for a fixed dollar risk per trade you could hold roughly twice as many contracts with the tighter stop. That is the real argument for the midpoint stop. A simple way to see it in our numbers: total points divided by closed-trade drawdown was about 10.0 for the midpoint stop versus 5.2 for the full-range stop on the 15-minute ORB (our own derived ratio). Doubling size is not free — slippage, liquidity and bad days all scale with it — so treat this as a direction, not a promise.
The price: a 26.8% win rate
Here is what the tighter stop costs you. The 15-minute ORB's win rate dropped from 39.6% with the full-range stop to 26.8% with the midpoint stop. Roughly three out of four trades lose. The system only works because the average winner (77.43 points) is more than three times the average loser (-22.97).
That is psychologically hard. Long losing streaks are built into a 27% win-rate system, and most traders start tinkering, skipping trades or widening stops after a run of small losses — which is exactly how an edge like this gets broken. If you know you cannot sit through that, the full-range stop's higher win rate may be the better fit even though it risks more per trade.
Both decades
NQ climbed from roughly 1,800 to roughly 26,000 during the test, so we always check 2010–2019 and 2020–2026 separately.
| Range | 2010–2019 opposite | 2010–2019 midpoint | 2020–2026 opposite | 2020–2026 midpoint | PF 2020–2026 opposite | PF 2020–2026 midpoint |
|---|---|---|---|---|---|---|
| 15-min ORB | +642.2 | +1,457.9 | +14,562.8 | +13,688.2 | 1.21 | 1.28 |
| 30-min ORB | -2,252.8 | -1,611.4 | +13,263.5 | +8,809.1 | 1.19 | 1.16 |
| 60-min IB | -1,443.2 | -212.2 | +6,865 | +5,660.8 | 1.11 | 1.1 |
For the 15-minute ORB, the midpoint stop did better in the 2010s (1,457.9 vs 642.2 points) and was profitable in 13 of 17 calendar years, against 9 for the full-range stop (2026 is a partial year). It also avoided 2020's big loss: 522.8 points versus -2,122.2. For the 30-minute ORB and the IB, both stops lost money in 2010–2019, and neither stop was clearly better across both decades.
A correction on how we measured this
An earlier version of this test mis-scored the midpoint stop. It counted the trade as stopped out whenever the breakout bar's low (or high, for shorts) reached the midpoint, even though on a 15-minute bar that dip may have happened before the breakout. With a stop only about 12.9 points away, that happened a lot, and the old version showed the midpoint stop losing money on every range. That conclusion was wrong. The current test uses the close-through rule described above.
The close-through rule is a compromise, not the truth. Some real trades would have been stopped by an intrabar dip that the rule ignores; others would have survived. Only finer data, such as 1-minute bars, can settle intrabar order.
Our take: On the 15-minute NQ opening range, the midpoint stop looks like the better tool for traders who size by risk: about the same points, a higher profit factor, about half the risk per trade and half the closed-trade drawdown. But it only pays if you can live with losing roughly three trades in four. On the 30-minute range it was not better, so this is not a universal rule. And because 15-minute bars cannot resolve intrabar order, we would want a 1-minute confirmation before calling it settled. For the base comparison see ORB 15 vs 30 minute and the initial balance breakout.
Other limitations
- This is a backtest; past results do not guarantee future results.
- Fills are assumed exactly at the breakout and stop prices; tight stops in fast markets can slip.
- No overnight gap risk (every trade is closed by 16:00 ET); no taxes or platform fees.
- Only two stop placements were tested; ATR-based or time-based stops were not.
Key takeaways
- 15-min ORB: midpoint stop 15,146.1 pts (PF 1.23) vs full-range stop 15,205 pts (PF 1.17).
- The midpoint stop roughly halved risk per trade and closed-trade drawdown on the 15-min ORB.
- The trade-off is a 26.8% win rate versus 39.6%.
- On the 30-min ORB the midpoint stop made fewer points; on the 60-min IB it was a near tie.
- Entry-bar stops use a close-through rule because 15-minute bars hide intrabar order; an earlier version of this test mis-scored the midpoint stop.
- 1.0 point per round trip deducted; MNQ = $2/pt, NQ = $20/pt.
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FAQ
Where should I put my stop on an opening range breakout?
In our 2010-2026 NQ backtest of the 15-minute ORB, a midpoint stop made 15,146.1 points (profit factor 1.23) and a full-range stop made 15,205 points (profit factor 1.17), after 1 point of costs per trade. The midpoint stop risked about half as much per trade. Past results do not guarantee future results.
What is the downside of a midpoint stop?
A much lower win rate: 26.8% versus 39.6% on the 15-minute ORB. The system relies on average winners (77.43 pts) being more than three times the average loser (-22.97 pts).
Is the midpoint stop better on every opening range?
No. On the 30-minute ORB it made 7,197.8 points versus 11,010.8 for the full-range stop. On the 60-minute initial balance the two were nearly tied.
How did you handle a stop hit on the breakout bar?
15-minute bars cannot show whether the low came before or after the breakout, so the entry bar only stops out if it closes back through the stop, exiting at that close. An earlier version used any touch of the stop, which wrongly made the midpoint stop look like a loser.
Loomi.Ai provides educational market research, not financial advice. Trading futures and options involves substantial risk of loss, and backtested results are historical and do not guarantee future returns.
Sources
- Loomi backtest: blog_strategy_tests.py + results JSON, Loomi research