IVB breakout (both directions) on US500

Method

Opening range: the high and low of the six 5-minute bars from 09:30 to 09:55 New York. Breakout: a 5-minute bar that opens between 10:00 and 14:45 New York and closes above the range high (long) or below the range low (short). The first one that day is the trade. Entry: at the open of the next bar. Stop: the range's other side. Target: 1R. Flat at 15:00 New York. One trade a day, 1% risk per trade. Every rule was written down before the test and nothing was optimised.

Data: the broker's MetaTrader 5 5-minute bars, 1 October 2021 to 26 October 2026. A signal fills at the next bar's open; if one bar touches both the stop and the target, the stop counts.

The test is a rolling walk-forward with five folds; only trades in the test windows (May 2023 to Oct 2026) count. Nothing was fitted, because nothing was tunable. Results are in R, the amount risked per trade, before trading costs.

The volume part of IVB is not tested. IVB confirms a breakout with exchange volume: buying versus selling volume, single large trades, a volume profile of the range. The broker's MT5 CFD feed has only tick volume, and it is capped: in the weeks measured (August to October 2026) it topped out at about 2,300 price updates per 5-minute bar, so the busiest bar looked 1.3 times an ordinary one where real Nasdaq futures volume showed 8 times, and when real volume ran over twice its normal level the feed never showed it. The cap's level also shifts from year to year. So this tests IVB's price rules (range, breakout close, entry, stop, target), not its volume filter.

This is one of 6 IVB tests (3 readings of the rules, 2 markets). With six, one can look good by chance alone. The sample trades are left for the owner to review after the runs; nobody approved them beforehand (the owner's choice).

Verdict: reject. Not this time. Out of sample, these rules averaged +0.037R per trade over 884 trades on US500, +33.1R in total, and 4 of 5 test windows made money. All figures are before trading costs and price only. This is one of 6 IVB tests; see studies/ivb/report.md for all of them side by side.

Run run_6e1021c101, IDFX engine, 26 October 2026. Rules: studies/ivb/rules.md. Sample-trade review deferred by the owner (26 October 2026): the run was made unattended and the sample trades were left for the owner to review afterwards.

The idea

Mark the high and low of the first 30 minutes of the New York stock-market session. When a 5-minute candle closes outside that range, the day has picked a direction; trade with it.

IVB (Initial Volume Breakout) is the opening-range model of Fabio Valentini, the Italian Nasdaq futures scalper and DeepCharts co-founder. The rules here are one precise, price-only reading of what is published, written down before the test; IVB's volume and order-flow confirmation is not part of it.

The rules, exactly as tested

• Opening range: the high and low of the 5-minute bars from 09:30 to 09:55 New York.
• Breakout: a 5-minute bar that opens between 10:00 and 14:45 New York and closes above the range high (long) or below the range low (short). The first one that day is the trade.
• Entry: at the open of the next bar.
• Stop: the range's other side. Target: 1R.
• Time exit: flat at 15:00 New York. One trade a day, 1% of the account at risk.

The volume part of IVB is not tested. IVB confirms a breakout with exchange volume: buying versus selling volume, single large trades, a volume profile of the range. The broker's MT5 CFD feed has only tick volume, and it is capped: in the weeks measured (August to October 2026) it topped out at about 2,300 price updates per 5-minute bar, so the busiest bar looked 1.3 times an ordinary one where real Nasdaq futures volume showed 8 times, and when real volume ran over twice its normal level the feed never showed it. The cap's level also shifts from year to year. So this tests IVB's price rules (range, breakout close, entry, stop, target), not its volume filter.

Data and test

• US500 (S&P 500 CFD), 5-minute bars from the broker's MetaTrader 5 feed, 1 October 2021 to 26 October 2026.
• A signal fills at the next bar's open. If one bar touches both the stop and the target, the stop counts.
• Rolling walk-forward, five folds; only the test windows count. Nothing was fitted.

Results (out of sample, before trading costs)

How the trades ended: 310 at the target, 289 at 15:00, 285 at the stop.

Longs and shorts: longs 471 trades, +0.055R each, +25.8R; shorts 413 trades, +0.018R each, +7.3R.

By year (out of sample): 2023: 162 trades, +23.8R; 2024: 258 trades, -11.2R; 2025: 255 trades, +11.2R; 2026: 209 trades, +9.3R.

2 trade(s) entered on an early-close day were closed in the next session, as the rules say.

The full five years, for context. The same fixed rules over the whole period, including the first training window: 1288 trades, +0.031R per trade, +39.7R. Context only, never the result.

The verdict

Reject. Rejected: 90% probability the true Sharpe is above zero (one fixed rule set was tested, so there is no search to deflate for). Also failed: robust to resampled trades.

• Sample size: passed. 884 out-of-sample trades
• Positive expectancy: passed. expectancy of +0.037R per trade before trading costs
• Walk-forward efficiency: not applicable. not applicable: every parameter is fixed, so nothing was fitted on the training windows and there is no fit to decay; the fixed rules are judged by their out-of-sample expectancy and fold consistency
• Fold consistency: passed. 80% of walk-forward folds were profitable
• Sharpe significance: failed. 90% probability the true Sharpe is above zero (one fixed rule set was tested, so there is no search to deflate for)
• Beats shuffled price: passed. p = 0.049 against block-bootstrapped price series
• Parameter sensitivity: passed. nudging the pinned values keeps 98% of their score
• Robust to resampled trades: failed. 90% of trade sequences resampled with replacement end profitable
• Survivable drawdown: passed. 0.0% chance of halving the account at the configured risk
• Drawdown: passed. maximum drawdown of 21.0%

Reshuffled price series scored as well or better in 1 of 40 tries (p = 0.05). Resampling the trades puts the average between -0.011R and +0.086R in 90% of cases.

6 tests. This is one of 6 IVB tests run together; no single one should be read on its own.

Limitations

• Price only. The volume confirmation that gives IVB its name was not tested (above).
• Before trading costs. Spread, commission and slippage would make the result worse.
• One precise reading of IVB. Other entries, stops or targets are different strategies.
• A CFD feed, not futures. IVB is taught on Nasdaq futures (NQ); the CFD tracks the index closely but its bars differ slightly.
• 5-minute bars. A bar that touches both the stop and the target counts as a loss.
• A backtest. It is not live trading or a funded-account result.