What’s New in Option Alpha: June 2025

Opening Range Breakout

In this release we added several new features to support a popular trading strategy called "Opening Range Breakout". The Opening Range Breakout (ORB) strategy uses early price movement in an underlying to determine a direction for intraday trading. The high and low of the first 15, 30 or 60 minutes of the trading day are used to establish an "opening range". A trading signal is generated when the stock price breaks out of the high or low side of the opening range.

This signal can be used to trigger a variety of trades. Here is an example backtest, ORB 60m $10 Wide, which trades a bullish or bearish credit spread with the short strike at the opposite side of the opening range when an upside or downside breakout occurs. I will be starting a new live bot as part of the OT 2.0 video series this week that trades a similar strategy!

The following symbols currently support the new ORB features:

SPX, SPY, QQQ, XSP, IWM, GLD and TLT.

Here's a quick highlight of the new features included in this release:

Ability to backtest Opening Range Breakout strategies

The ORB entry trigger allows you to customize the period (5, 10, 15, 30 or 60 minutes), direction, latest entry time and set a minimum and/or maximum width of the opening range.

This is new way of triggering a trade in a backtest instead of setting a specific time of day. We plan to use this framework to introduce new entry triggers for trades in the future. If you have any ideas for additional triggers, please share them in the community.

Ability to combine multiple backtests into a single strategy

Combine up to 5 backtests into a single strategy based on simple rules. This unique solution allows you to view and optimize each part of your strategy independently and then combine the results into 1 strategy based on rules. Once you have fine tuned your strategy for maximum profits, generate a bot that automatically trades the combined strategy with the rules you defined!

Combo rules allow for combining backtests in creative ways...

Save backtests, comparisons and combined strategies into folders

New filters and algorithm for "Top Backtests" section

New algorithm to automatically filter backtests with the same settings
Click the [»] button at the end of the backtest row to drill down and view similar backtests with alternative position sizes and time frames
New filters for Entry Time, Opening Range, Avg Reward/Risk

New Profit Taking exit option (bots and backtester)

Automatically exit a position when a specific $ profit is available at the mid price.

Select legs by opening range (bots and backtester)

Select position expiration based on market days in bots

New decision to check for Opening Range Breakout in bots

New decision to check the Opening Range width in bots

Plot the underlying price on backtest chart

New decision value "capital at risk" for bots

Check the amount of capital a bot currently has at risk.

Additional backtester enhancements:

Updated slippage implementation

Changed the exit option logic to check for profit taking and/or stop losses at the mid price (instead of at the mid price +/- slippage) and then apply the slippage to the closing trade fill price to make the results more pessimistic. This will align backtesting results more closely with how bots work. ‍

Added bid/ask boundary to backtest entry and exit prices with slippage

In the old implementation, if you set slippage to $0.20 and the bid/ask is $0.25/$0.30 then it would fill at $0.45 (well beyond the ask). In the new implementation, it uses the ask price as the fill price if the mid + slippage goes beyond it. This allows for specifying a very large slippage (e.g. $2) and forcing the backtester to always use the worst market price (bid or ask) for every trade. ‍