{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,24]],"date-time":"2026-10-24T06:40:20Z","timestamp":1792824020871,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":36,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>I stress-test an opening-range breakout (ORB) under a validation protocol assembled from established components: a pre-registered ledger of every configuration searched, deflation of the Sharpe ratio against that ledger's own count, walk-forward evaluation with parameters fixed ex ante, two permutation nulls at 5,000 resamples each, and transaction costs measured from a live broker fill. The estimand is narrow and worth naming precisely. Because non-farm payrolls fall on the first Friday of most months and are filtered out along with CPI, FOMC and mega-cap earnings weeks, this is not a generic Friday effect but an event-free Friday effect. On 2018-2026 one-minute bars, a 30-minute ORB restricted to such Fridays earns +0.44R per trade out of sample on QQQ (profit factor 2.77) and +0.31R on SPY (1.95), both clearing a bootstrap null at p &amp;lt; 0.002. Deflating for the study's full ledger of 57 configuration probes, with the trial-dispersion-parameter scaled to the sample as a weekly strategy requires, gives a Deflated Sharpe Ratio of 0.78 on QQQ and 0.42 on SPY; read instead as a clean holdout, the zero-edge probability of the observed out-of-sample Sharpe is 0.002. Both quantities depend on judgements about the search rather than on the data, so I report the range and argue that only a forward test narrows it. Across seventeen instruments the effect concentrates in technology, broad-growth and metals exposures and is absent in defensive and rate-sensitive sectors; nine of seventeen clear both nulls. Because the ORB return stream is essentially uncorrelated with the index (\u03c1 =-0.03), a fixed 50\/50 blend of rule and buy-and-hold rebalanced monthly improves on both, raising the QQQ Sharpe ratio from 1.13 and 0.88 to 1.43 and beating the standalone rule in all sixteen instruments the rule trades.<\/jats:p>","DOI":"10.2139\/ssrn.7589980","type":"posted-content","created":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T17:19:11Z","timestamp":1791566351000},"source":"Crossref","is-referenced-by-count":0,"title":["Opening-Range Breakouts on Event-Free Fridays: A Search-Aware Replication and Stress Test"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0009-3872-979X","authenticated-orcid":true,"given":"Shahmeer Ahmed","family":"Subhani","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"4","key":"ref1","first-page":"39","article-title":"The probability of backtest 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A window is profitable when its mean R is positive"}],"container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,24]],"date-time":"2026-10-24T06:35:05Z","timestamp":1792823705000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7589980"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":36,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7589980","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}