ORB Trader
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How the ORB Works

Sorta-high frequency trading.

ORB Trader executes trades on your broker using standard order types. Orders are sent from your PC to IBKR through IB Gateway.

Your Mac or PC

ORB Trader Bot

Pay per session. Unlock a day, and put the strategy to work.

From $9.95 / trading day with the 20-day pack

Your IBKR account

IBKR Brokerage Account

Stays in your own Interactive Brokers account. It funds the options and covers broker charges. You control the account.

Your balance · your positions · your P&L
Unlocks the strategy
Funds the trades

Your trading session

ORB Trader sends the orders. IBKR holds your capital and executes them.

The backtest on the Overview

Inside the backtest

The rules the Overview’s backtest ran with, and each of the 20 sessions it recorded. Every figure is at the bot’s full size: 500 shares of movement, about 6 contracts a trade. These are modeled returns, and likley unonbtainable due to market factors and random chance.

Entries

Signal
Trend and momentum agree on a closed 1-minute SPY bar
Entry window
10:00 a.m. to 4:00 p.m. ET, skipping the first 30 minutes
MACD gate
Only while the MACD line is within 0.10 of zero, so a late cross is skipped
Range position
Calls only in the lower 70% of the day’s settled range, puts only in the upper 70%
Pullback boost
A leaning signal counts when it agrees with an early move back toward the day’s midpoint
Fill
At the next 1-minute bar’s open

Exits

Stop
2 points of SPY against the trade, on a bar’s close
Target
3 points of SPY in its favor, on a bar’s close
Trail
Arms after 0.3 points of profit, then gives back at most 10% of the peak
Signal flips
Never close a trade
End of day
Anything still open closes at 4:00 p.m. ET

Size

Shares of movement
500 a trade
Delta
Aims for 0.80, and skips the trade below 0.60
Contracts
About 6 a trade, never more than 10
Expiry
Same day, or the next day for entries after 2:00 p.m. ET

Costs & pricing

Commission
$0.65 per contract, each way
Slippage
$0.02 a share ($2 a contract), each way
Option prices
Black–Scholes, with volatility from SPY’s last 30 minutes × 0.80 (× 2.5 for next-day options)
Low and High
The same trades priced with volatility 25% lower and 25% higher

Day by day

Back-test results per day. SPY baseline is holding 500 SPY shares from the prior session’s close to end of the trading day. Best exit in hindsight is the same entries but closes each trade at its best (max) price while it was open. No one can trade that; it shows how much the exits left behind.

Session Expected SPY baseline Trades Won–lost Costs Best exit in hindsight
$446($3,205)33–0$101$743
$1,361$1,51565–1$196$2,215
$496($1,115)33–0$95$808
$68$1,19022–0$69$401
($86)$9032–1$95$688
$505$1,65564–2$191$1,782
$559($1,185)22–0$74$775
$424($2,625)33–0$95$547
($175)$1,72043–1$133$513
$1,473$4,00543–1$133$2,415
($47)($1,465)10–1$32$87
($1,253)($2,140)10–1$32$17
$1,325($1,800)44–0$133$1,811
$532($2,260)64–2$201$1,490
$388$3,19033–0$101$742
$700($1,690)76–1$217$2,525
$209($1,730)22–0$74$417
$755($1,620)65–1$201$2,068
($206)$4,25521–1$74$646
$698($495)44–0$133$1,198
Total$8,170($3,710)7259–13$2,380$21,889

What could your account size have done?

Kelly sizing from the 72 recorded trades: 82% won and the average win was 0.54× the average loss. Actual sizing depends on live options greeks.

Kelly stake (48.7%)
$5,117
P95 Contract Price
$701
P50 Contract Price
$217
Contracts per trade
7
Shares of movement
560

Modeled profit for the past month of recorded sessions

SPY baseline
($4,155)
Low Estimate
$7,192
Expected
$9,209
High Estimate
$11,332
Expected Best day
$1,805
Expected Worst day
($1,462)
Costs, risks & assumptions
  • Kelly sizing. f = p − q/b = 48.7% of the account staked per trade: p = 59/72 winners, q = 13/72 losers, b = average win ÷ average loss as a share of premium (18.3% ÷ 33.7% = 0.54). Contracts are priced at the 95th-percentile recorded entry, $701 (the median, P50, is $217); 1DTE entries after the 14:00 roll cost more, up to $1,389. Full Kelly assumes the next trades look like these 72, none of which lost more than 108% of its premium; a smaller stake swings less.
  • SPY baseline. Buy & hold of 560 shares (delta equivalent of 7 contracts), prior close to close each session, no costs: $4,155 loss. The Overview’s “Profit above baseline” = Expected − this SPY baseline.
  • Low / Expected / High. Same 72 trades (entries, exits, strikes, contracts fixed) repriced three ways with Black–Scholes; no historical option quotes. σ = realized vol of the 30 one-minute bars before entry × a fixed multiplier. Low and High reprice at σ −25% and +25% and take the min and max. A volatility sensitivity, not a confidence interval. Best and worst day are Expected’s; 5 of 20 sessions were negative. The Overview’s headline figures are at full size (500 shares, ~6 contracts); the card above follows the slider.
  • Costs. $0.65 commission + $0.02 slippage per contract per side = $5.30 round trip, netted from every option figure. At 7 contracts × 72 trades: $2,671 of $11,880 gross. Excluded: access fee ($199 per 20 days), taxes, pass-through exchange and regulatory fees, slippage beyond $0.02.
  • Options risk. Long 0DTE and 1DTE calls and puts; max loss per trade is the full premium. Dearest recorded entry: $1,389 per contract. At 7 contracts, $9,724 on one trade vs. a $1,462 worst modeled day. Stops rest at IBKR as stop-market orders and can fill through their price in a gap. The $750 daily loss limit blocks new entries; it does not close open trades.
  • Model, not results. Simulated, not live. Entries replay the live rules on recorded 1-minute SPY bars, filled at the next bar’s open. Exits are modeled on SPY price; live stops rest on the option premium. σ is held constant per trade, which is optimistic for long premium. 20 recorded sessions, one missing from the span: a small sample. Past performance, modeled or real, does not predict future results.
  • Generated September 18, 2026 at 9:37 p.m. ET. Download the result summary and assumptions.

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