Measuring Against Simply Holding

An intraday method has to beat the boring alternative of holding the index, and once commissions and slippage are counted that is a harder bar than most trading records admit to. The paired series at orb trading metrics 1836 veterans hold the strategy and the baseline day by day over the same sessions, so the comparison is a measurement rather than a claim about a good year.

The Comparison Most Records Avoid

An opening range strategy trades daily, pays commissions and spread on every entry, and eats several hours of the session. The alternative is buying the index and doing nothing at all. A record that never states which of the two did better over the same stretch is not answering the question the trader actually came with.

Costs Are The Whole Argument

Two hundred and fifty sessions at one trade each is two hundred and fifty round turns. Commissions and slippage that look trivial per trade become the entire difference between beating the baseline and lagging it. A backtest carrying no slippage assumption races a frictionless strategy against a real benchmark, which flatters it by exactly the amount in dispute.

Risk Adjusted, Not Just Total

A method that matches the index return while holding nothing through the overnight session is not equivalent to the index, it is ahead on that axis, because it carries no gap risk at all. Total return on its own hides that. Return measured against maximum drawdown is the fairer reading, and it usually favours the strategy by more than the headline figure does.

Keeping Both Series

The baseline belongs in the record day by day rather than quoted from an annual figure, since a strategy tested through one particular year is being judged against that year in particular. Futures and cash sessions are worth scoring apart as well, because leverage and hours differ enough that a blended drawdown describes neither of them properly.

The Honest Conclusion

Plenty of intraday records beat a buy and hold baseline before costs and lose to it afterwards. That is a real result and it is better reached in the first quarter than the fifth, since the alternative is a year of screen time spent proving it slowly. Expectancy per hour is the figure that decides whether the trade off was ever worth taking.