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paper-replication

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Independent replication of the 5-minute Opening Range Breakout on QQQ (Zarattini & Aziz 2023, SSRN 4416622), stress-tested for execution costs. Break-even at ~2.2¢/share slippage; NQ confirmation filter significant per-trade (t=2.05) but 76% of its PnL is 2022 alone. Placebo control + bootstrap CIs.

  • Updated Jul 27, 2026
  • Python

📈 Independent replication and out-of-sample validation of Zarattini, Aziz & Barbon (2024) "Beat the Market" intraday momentum on SPY and ES futures, with ex-ante frozen anti-overfitting protocols.

  • Updated Jul 27, 2026
  • Python

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