Systematic equity
Nasdaq opening-range retest
Opening-range breakout with a trend filter
What it is
A Nasdaq-100 opening-range rule from a 2026 YouTube video, with the 200-day trend filter that protocol 11's tests added. After QQQ breaks out of the range of its first 15 minutes in the trend's direction, it enters on a pullback to the broken edge, with a target at 2R and the stop moved to the entry at 1R. A sub-book of the INTRA1 Alpaca paper account that started with $45,000; each trade is recorded in the trade journal, beside the rule's own replay on SIP bars.
The rule
- Before the open: the trend is up when QQQ's last dividend-adjusted close is above the mean of its last 200, from public daily bars. The tick is 0.25 Nasdaq-100 points in QQQ's prices.
- Range: the high and low of QQQ's one-minute bars from 9:30 to 9:44.
- Signal: the first 5-minute bar between 9:45 and 11:00 that closes beyond the range sets the side, once a day. A long needs the trend up and a short needs it down; otherwise there is no trade that day.
- Entry: a limit order a tick back inside the broken edge (the edge less a tick for a long, plus a tick for a short), placed the next minute and working until 15:59, so it fills only if QQQ comes back to it. The first fill cancels the rest of the order. It is cancelled if QQQ reaches the target before any fill, and not placed if QQQ is already past the stop or the target.
- Stop: the range's other edge, a tick beyond. Once a finished minute is 1R past the entry, the stop moves to the rule's entry price, normally the broken edge, not the fill. The runner watches it on every IEX trade and closes at market.
- Target: 2R from the edge, as a take-profit limit a tick beyond it for the shares filled.
- Exit: at the stop or the target; at 15:59 every open order is cancelled and the position is closed at market.
- Size: 1% of the sub-book's value at the start of the day at risk to the initial stop, at most 4 times that value, in whole shares.
- Orders: the entry is sent once; an exit is tried again every 10 seconds until the position is flat.
- Halt: the sub-book takes no new entries once its total after the commission estimate has fallen 25% from its peak, which is permanent, or, once it has a year of history, while its trailing-year Sharpe is below −0.5.
- Data: IEX's real-time trades and minute bars on Alpaca's free plan; the research used SIP.
| Name | Value | Unit | Where it lives | Pinned by |
|---|---|---|---|---|
| BOOKS.pat | INTRA1 | — | syseq/intraday/runner.py:38 | — |
| ALLOC | 45000 | USD, the sub-book's starting cash | syseq/intraday/runner.py:40 | — |
| TREND_SESSIONS | 200 | sessions | syseq/intraday/pat.py:23 | tests/test_intraday_rules.py:99 |
| TICK_POINTS | 0.25 | Nasdaq-100 points | syseq/intraday/pat.py:24 | tests/test_intraday_rules.py:99 |
| FIRST15 | 15 | minutes from 9:30 | syseq/intraday/pat.py:21 | — |
| FLATTEN | 15:59 | ET | syseq/intraday/books.py:31 | — |
| EXIT_GAP_S | 10 | seconds | syseq/intraday/books.py:33 | — |
| HALT_DRAWDOWN | −0.25 | the sub-book's total's fall from its peak | syseq/execution/paper.py:22 | — |
| HALT_SHARPE_12M | −0.5 | trailing-year Sharpe | syseq/execution/paper.py:23 | — |
| OWNER_COMMISSION.trades | 0.007 | USD a share a side | syseq/journal/common.py:13 | tests/test_journal.py:651 |
| OWNER_COMMISSION.book | 0.007 | USD a share a side | syseq/intraday/ledger.py:20 | tests/test_intraday_runner.py:175 |
Its read
Record so far
The book's value — data table
| Session | NAV |
|---|---|
| Sep 30, 2026 | $44,719.72 |
| Oct 1, 2026 | $44,719.72 |
| Oct 2, 2026 | $44,458.68 |
| Oct 5, 2026 | $44,741.16 |
| Oct 6, 2026 | $44,397.99 |
| Oct 7, 2026 | $44,397.99 |
| Oct 8, 2026 | $44,397.99 |
| Oct 9, 2026 | $44,397.99 |
| Oct 12, 2026 | $44,397.99 |
| Oct 13, 2026 | $44,402.89 |
| Oct 14, 2026 | $43,966.23 |
| Oct 15, 2026 | $43,966.23 |
Closed trades — data table
| Closed | Symbol | P&L | Net P&L | Return |
|---|---|---|---|---|
| Sep 30, 2026 | QQQ | −$280.28 | −$282.44 | −0.25% |
| Oct 2, 2026 | QQQ | −$261.04 | −$262.22 | −0.41% |
| Oct 5, 2026 | QQQ | +$282.48 | +$280.98 | +0.35% |
| Oct 6, 2026 | QQQ | −$343.17 | −$345.68 | −0.25% |
| Oct 13, 2026 | QQQ | +$4.90 | +$3.53 | +0.01% |
| Oct 14, 2026 | QQQ | −$436.66 | −$438.56 | −0.43% |
Cost model
Alpaca paper fills as filled, with no commission; Alpaca's SEC and CAT fees, charged by the day, are left out. Commission is estimated at $0.007 a share a side, the rate at the owner's own broker: the net P&L and the book's total are after it. The rule book is the rule's own replay on SIP bars, after the research's own costs: $0.007 a share a side in commission and a cent a share of slippage on every fill except a resting limit order's: the entry at the broken edge and the target.
Trades
10 trades
| Opened | Closed | Account | Symbol | Side | Size | Entry | Exit | P&L | Net P&L | Return | Held | Exit by | Status | Record |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Oct 15, 2026 | — | INTRA1 | QQQ | short | 0 | — | — | — | — | — | — | — | not entered | Trade journal (1) |
| Oct 14, 2026 | Oct 14, 2026 | INTRA1 | QQQ | long | 136 | 739.600956 | 736.390221 | −$436.66 | −$438.56 | −0.43% | 7.2 minutes | stop | closed | Trade journal (1) |
| Oct 13, 2026 | Oct 13, 2026 | INTRA1 | QQQ | long | 98 | 743.41 | 743.46 | +$4.90 | +$3.53 | +0.01% | 369 minutes | time | closed | Trade journal (1) |
| Oct 12, 2026 | — | INTRA1 | QQQ | short | 0 | — | — | — | — | — | — | — | not entered | Trade journal (1) |
| Oct 9, 2026 | — | INTRA1 | QQQ | short | 0 | — | — | — | — | — | — | — | not entered | Trade journal (1) |
| Oct 8, 2026 | — | INTRA1 | QQQ | short | 0 | — | — | — | — | — | — | — | not entered | Trade journal (1) |
| Oct 6, 2026 | Oct 6, 2026 | INTRA1 | QQQ | long | 179 | 761.595251 | 759.678101 | −$343.17 | −$345.68 | −0.25% | 347.1 minutes | time | closed | Trade journal (1) |
| Oct 5, 2026 | Oct 5, 2026 | INTRA1 | QQQ | long | 107 | 752.96 | 755.60 | +$282.48 | +$280.98 | +0.35% | 327.9 minutes | time | closed | Trade journal (1) |
| Oct 2, 2026 | Oct 2, 2026 | INTRA1 | QQQ | long | 84 | 751.95 | 748.842381 | −$261.04 | −$262.22 | −0.41% | 72.7 minutes | stop | closed | Trade journal (1) |
| Sep 30, 2026 | Sep 30, 2026 | INTRA1 | QQQ | long | 154 | 742.66 | 740.84 | −$280.28 | −$282.44 | −0.25% | 325.5 minutes | time | closed | Trade journal (1) |
- (1) Record Trade journal
Cost model
Alpaca paper fills, with no commission; Alpaca's SEC and CAT fees, charged by the day, are left out. Commission is estimated at $0.007 a share a side, the rate at the owner's own broker: the net P&L is the P&L less it; the P&L, the return, the P&L in basis points of the book and the R multiple are before it. The rule book's day return is the rule's own replay on SIP bars, after the research's own costs: $0.0035 a share a side in commission for the noise area and $0.007 for the other rules, and a cent a share of slippage on every fill except a resting limit order's and the noise area's exit at the close.
Where the research is
- The day-trading accounts (findings systematic-equity/DESIGN/180)
- How the rule was tested (findings systematic-equity/RESEARCH/270)
- The trade journal (findings systematic-equity/DESIGN/190)