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The strategy appears here as soon as it is specified: its setup, filters, sizing, risk controls, execution and data.
Failed-breakout reversal, Congress tilt
Fade failed opening-range breakouts on liquid US stocks, only with the 60-minute trend, and be flat before the close.
Fade failed opening-range breakouts on liquid US stocks, with the trend. Long setups favoured after House purchase disclosures, and no new trades on FOMC decision days with high surprise odds.
What the strategy does
- Opening range
- 15 min
- 9:30–9:45 ET
- Usual volume
- 2×
- same 5-minute slot
- To fail
- 3 bars
- close back inside
- Flat by
- 3:50 PM
- 12:50 PM on early closes
Each session the strategy watches the first 15 minutes, waits for a break of that range on at least 2× the usual volume that does not hold, and trades the reversal toward VWAP, only with the 60-minute trend.
Failed breakout
- Opening range
- High and low of 9:30–9:45 ET
- Break
- A 5-minute bar that closes outside the range
- Failure
- A bar closes back inside within three bars of the break; one entry per break
- Entry
- At the next bar’s open: short after a failed high, long after a failed low
- Stop
- Beyond the failed high or low, plus 0.3 average 5-minute ranges
- Target
- VWAP
- Skip
- Setups where VWAP is closer to the entry than the stop is
Time-of-day volume
A break counts only on heavy volume for that time of day.
| Signal | Timeframe | How it is used |
|---|---|---|
| Bar volume against its slot average | 5-minute bars | Must be at least 2× the average of the same slot over the last 20 sessions |
| Daily average volume | Daily | Not used: the open trades several times the midday average |
A daily average would pass ordinary opening bars as spikes, so each bar is compared with its own time of day.
60-minute trend
- Trend
- Up when the last completed 60-minute close is above the mean of the last six, down when below
- Direction
- Longs only in an uptrend, shorts only in a downtrend
- Bars
- Completed bars only; the hour still forming is never read
Exit and exchange calendar
- Flat time
- 10 minutes before the close: 3:50 PM, read for each day from the NYSE calendar
- Early closes
- 49 since 2003: the market closes at 1:00 PM, so the flat time is 12:50 PM
- New entries
- None in the last 60 minutes before the flat time
Drawdown controlChosen by Nvestiq
- Sizing
- One average 5-minute range costs 0.40% of equity, from the stock’s last 20 sessions
- Limits
- 2× equity per position and 3× in total, on intraday margin
- Kill switch: pauses the setup when the average result of its last 40 trades is negative at 90% confidence
- Resumes when that average is back at or above zero
- While paused it keeps scoring setups without trading them
Execution and costs
- Orders
- Market orders at the open of the next bar; the stop and the VWAP target rest
- Both touch
- If the stop and the target touch in one bar, the stop is assumed first
- Commission
- $0.005 a share per side
- Slippage
- 1.5 bps, 3.0 bps on stops
- Fees and borrow
- SEC fee on sells; short borrow at 0.30% a year
Universe and data
40 liquid US large caps
- 5-minute bars from Jan 2003
- NYSE calendar, early closes included
Congress tilt (secondary)New
- Window
- 30 days after a House purchase disclosure
- Action
- Long setups only on that stock
- Size
- 1.25× the usual size
- Timing
- From the filing date, never the trade date
A filing can lag the trade by up to 45 days. Stocks without a recent disclosure trade as before.
Fed-odds stand-asideNew
- Rule
- No new trades on FOMC decision days
- Trigger
- Polymarket prices a surprise above 20%
- Surprise odds
- 100% minus the price of the leading outcome, read at the prior close
On any other day, or when the odds are lower, trading is normal.
Data coverageNew
- House filings begin in 2012 (the STOCK Act). Before 2012 the tilt is off, and the backtest says so.
- Polymarket’s Fed-decision markets begin in 2023. Before 2023 the stand-aside is off, and the backtest says so.
Failed-breakout reversal, Congress tilt
- Instruments
- 40 liquid US large caps
- Account
- Margin account, long and short positions
- Execution kernel
- Current execution kernel
- Test window
- Sessions are those of the NYSE calendar, early closes included.
- Starting balance
- Fees
- 0.005 USD a share per side; the SEC fee on sells passed through.
- Slippage
- Adverse price movement on marketable orders. Targets fill at their price.
- Short borrow
- Charged on short positions for the day they are held.
- Benchmarks
- Each benchmark buys and holds its instrument over the test window.
- Bars
- 5-minute barsSet by the strategy’s timeframe.
- Warm-up
- Sessions replayed before the window, so running indicators have settled when it starts.
- Position accounting
- One net position per stockSet by how the strategy’s trades are held.
- Account type
- Margin account, up to 2× equity per position and 3× in totalSet by the execution profile.
An order fills at the open of the first 5-minute bar after the decision. A stop and a VWAP target rest from the entry and fill inside their bar; if both touch in one bar, the stop is assumed first.
Market fills pay 1.5 bps of adverse slippage and stops 3.0 bps; targets fill at their price. Market impact is not modelled.
Short positions pay 0.30% a year for the day they are held. Hard-to-borrow stocks are not modelled.
Interest on intraday margin and on cash is not modelled. Dividends are not credited.
Example data, not a real result.
Review
- Test window
- Jan 2, 2003 – Apr 21, 2026 (America/New_York)
- Starting balance
- $100,000
- Fees
- Per-share commission
- Slippage
- 1.5 bps on market fills, 3.0 bps on stops
- Short borrow
- 0.30% a year
- Benchmarks
- SPY buy and hold
- Bars
- 5-minute bars
- Warm-up
- 252 sessions
- Position accounting
- One net position per stock
- Account type
- Margin account, up to 2× equity per position and 3× in total
Example data, not a real resultFrozen at Thu, Oct 22, 2026, 1:45 PM ET
Markets
- US stocksListed shares
- ETFsIndex, sector and bond funds
- CryptoMajor pairs, around the clock
- FuturesIndex, rates, energy, metals
- OptionsEquity and index options
- PerpetualsCrypto perpetual futures
- Prediction marketsEvent contracts
How it works
- Describe it in your own wordsNvestiq builds the strategy through a structured workflow that keeps your intent and logic intact, however complex the idea.
- See how it would have tradedUp to 20+ years of market history in an event-driven engine, with every fill, cost and slippage modelled. Then robustness and statistical analysis on the result.
- Run it where you tradeOn your own broker, on the same engine that ran the backtest. Or export it as code.