Session opening range breakout (SESSION-ORB)

How the setup is identified

Marks the high and low of a defined window after a session opens, then trades a break of that range in the direction of the higher-timeframe bias.

Status and evidence

Opening-range breakout tied to session structure. Survived the cut because its edge comes from a time-of-day effect that persists rather than from a parameter fitted to one period.

What we learned

Opening-range breakouts work because the first period after a session open concentrates order flow that accumulated while that session was closed. The range that forms is a genuine equilibrium, and breaking it means the balance resolved.

It survived our cull for a specific reason worth repeating: its edge comes from a time-of-day effect that persists, not from a lookback parameter fitted to one period. That distinction is what separates it from the Donchian-style breakouts that did not survive.