Opening range breakout, 5 minutes, on NQ futures (spec orbq_spec.md). Run 2026-10-17T08:22:41.479Z; 500 control runs per variant data: 2373779 one-minute bars to 2026-09-25 17:00 New York; 1735 days with US-session bars, 1733 tradable (opening range, 09:35 bar and an exit bar), 58 early closes; cost $15.76 a trade, $20 a point opening range (09:30-09:35): median 50.50 points ($1,010), 10%-90% 28.50 to 99.50 points; first candle up 877, down 852, unchanged 4 === ORB-ZA-LS: the paper's rule (direction of the first 5-minute candle, entry at 09:35), long and short; stop at the other side, 10 R target or the session close === DEV n= 1026 net $57,530 avg $56.07 PF 1.10 t 0.99 VAL n= 321 net $28,366 avg $88.37 PF 1.14 t 0.80 HOLDOUT n= 382 net $-15,750 avg $-41.23 PF 0.96 t -0.32 ALL n=1729 net $70,146 avg $40.57 (gross $56.33, cost $15.76 a trade); PF 1.06 t 0.84 in R: median R 38.25 points ($765); average 0.107 R before costs, 0.079 R after; cost 0.028 R a trade on average; positive before costs 24.3% of trades exits: stop 1295 (74.9%), session close 402 (23.3%), target 32 (1.9%); win rate after costs 420/1729 = 24.3% (95% Wilson 22.3-26.4%); the 10 best trades $105,262 longs n=877 net $38,643 gross $52,465 | shorts n=852 net $31,502 gross $44,930 drawdown on closed trades $-58,784 by year (n, net $): 2020 256 -2,530 | 2021 257 19,235 | 2022 258 42,544 | 2023 255 -1,719 | 2024 259 32,078 | 2025 256 8,730 | 2026 188 -28,193 control (shifted daily directions, 500 runs, 1 s): mean trades 1,719, median avg $18.66, 5-95% $-32.65 .. $64.32; real avg $40.57 at percentile 78.60 [FAIL] 1 PF >= 1.2 in validation: VAL PF 1.14 [PASS] 2 >= 50 trades in each period: 1026 / 321 / 382 [FAIL] 3 t >= 2.0 on development: DEV t 0.99 [FAIL] 4 above 95th pct of the control: percentile 78.60 [FAIL] 5 positive without top-10 trades: $-35,116 [FAIL] 6 holdout net positive (flagged used): HOLDOUT net $-15,750 PF 0.96 VERDICT Buried (1/6 gates) rule 3: 1 trades touch a known hole; without them avg $39.42, gates passed 1/6 -> Buried (verdict unchanged) === ORB-ZA-L: the paper's rule (direction of the first 5-minute candle, entry at 09:35), long only; stop at the other side, 10 R target or the session close === DEV n= 533 net $48,285 avg $90.59 PF 1.16 t 1.17 VAL n= 152 net $-751 avg $-4.94 PF 0.99 t -0.04 HOLDOUT n= 192 net $-8,891 avg $-46.31 PF 0.95 t -0.25 ALL n=877 net $38,643 avg $44.06 (gross $59.82, cost $15.76 a trade); PF 1.07 t 0.66 in R: median R 37.25 points ($745); average 0.093 R before costs, 0.064 R after; cost 0.029 R a trade on average; positive before costs 25.1% of trades exits: stop 652 (74.3%), session close 216 (24.6%), target 9 (1.0%); win rate after costs 219/877 = 25.0% (95% Wilson 22.2-27.9%); the 10 best trades $94,517 longs n=877 net $38,643 gross $52,465 | shorts n=0 net $0 gross $0 drawdown on closed trades $-40,772 by year (n, net $): 2020 133 -3,276 | 2021 131 17,595 | 2022 122 36,502 | 2023 147 -2,537 | 2024 126 9,174 | 2025 126 -10,681 | 2026 92 -8,135 control (shifted daily directions, 500 runs, 0 s): mean trades 872, median avg $18.70, 5-95% $-41.30 .. $83.18; real avg $44.06 at percentile 73.20 [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.99 [PASS] 2 >= 50 trades in each period: 533 / 152 / 192 [FAIL] 3 t >= 2.0 on development: DEV t 1.17 [FAIL] 4 above 95th pct of the control: percentile 73.20 [FAIL] 5 positive without top-10 trades: $-55,874 [FAIL] 6 holdout net positive (flagged used): HOLDOUT net $-8,891 PF 0.95 VERDICT Buried (1/6 gates) rule 3: 0 trades touch a known hole; without them avg $44.06, gates passed 1/6 -> Buried (verdict unchanged) === ORB-BO-LS: the classic breakout of the 5-minute range, long and short; stop at the other side, 10 R target or the session close === DEV n= 1029 net $38,068 avg $37.00 PF 1.05 t 0.59 VAL n= 321 net $49,161 avg $153.15 PF 1.20 t 1.19 HOLDOUT n= 383 net $6,504 avg $16.98 PF 1.02 t 0.10 ALL n=1733 net $93,733 avg $54.09 (gross $69.85, cost $15.76 a trade); PF 1.07 t 0.93 in R: median R 51.00 points ($1,020); average 0.085 R before costs, 0.068 R after; cost 0.018 R a trade on average; positive before costs 29.4% of trades exits: stop 1186 (68.4%), session close 537 (31.0%), target 10 (0.6%); win rate after costs 509/1733 = 29.4% (95% Wilson 27.3-31.6%); the 10 best trades $140,222 longs n=866 net $78,747 gross $92,395 | shorts n=867 net $14,986 gross $28,650 drawdown on closed trades $-63,449 by year (n, net $): 2020 256 -36,315 | 2021 258 18,539 | 2022 258 52,314 | 2023 257 3,530 | 2024 259 45,188 | 2025 256 43,455 | 2026 189 -32,979 control (shifted daily directions, 500 runs, 1 s): mean trades 1,413, median avg $46.00, 5-95% $-27.60 .. $124.48; real avg $54.09 at percentile 57.60 [PASS] 1 PF >= 1.2 in validation: VAL PF 1.20 [PASS] 2 >= 50 trades in each period: 1029 / 321 / 383 [FAIL] 3 t >= 2.0 on development: DEV t 0.59 [FAIL] 4 above 95th pct of the control: percentile 57.60 [FAIL] 5 positive without top-10 trades: $-46,489 [PASS] 6 holdout net positive (flagged used): HOLDOUT net $6,504 PF 1.02 VERDICT Buried (3/6 gates) rule 3: 1 trades touch a known hole; without them avg $53.02, gates passed 3/6 -> Buried (verdict unchanged) === ORB-BO-L: the classic breakout of the 5-minute range, long only; stop at the other side, 10 R target or the session close === DEV n= 513 net $71,665 avg $139.70 PF 1.21 t 1.55 VAL n= 165 net $-6,060 avg $-36.73 PF 0.95 t -0.25 HOLDOUT n= 188 net $13,142 avg $69.90 PF 1.06 t 0.26 ALL n=866 net $78,747 avg $90.93 (gross $106.69, cost $15.76 a trade); PF 1.11 t 1.09 in R: median R 50.50 points ($1,010); average 0.139 R before costs, 0.121 R after; cost 0.017 R a trade on average; positive before costs 31.5% of trades exits: stop 574 (66.3%), session close 287 (33.1%), target 5 (0.6%); win rate after costs 272/866 = 31.4% (95% Wilson 28.4-34.6%); the 10 best trades $115,797 longs n=866 net $78,747 gross $92,395 | shorts n=0 net $0 gross $0 drawdown on closed trades $-45,713 by year (n, net $): 2020 128 -13,627 | 2021 127 17,423 | 2022 111 56,681 | 2023 147 11,188 | 2024 133 10,939 | 2025 125 7,465 | 2026 95 -11,322 control (shifted daily directions, 500 runs, 0 s): mean trades 712, median avg $102.59, 5-95% $4.09 .. $206.58; real avg $90.93 at percentile 41.40 [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.95 [PASS] 2 >= 50 trades in each period: 513 / 165 / 188 [FAIL] 3 t >= 2.0 on development: DEV t 1.55 [FAIL] 4 above 95th pct of the control: percentile 41.40 [FAIL] 5 positive without top-10 trades: $-37,051 [PASS] 6 holdout net positive (flagged used): HOLDOUT net $13,142 PF 1.06 VERDICT Buried (2/6 gates) rule 3: 0 trades touch a known hole; without them avg $90.93, gates passed 2/6 -> Buried (verdict unchanged)