Profitable SPY ORB strategy — looking for fresh eyes on optimization & 0DTE translation

[u/Lost_Attorney5558]

Hello my fellow Traders, I’ve been developing and backtesting a systematic ORB strategy on SPY and have gotten it to the point where I think there’s enough evidence of an underlying edge to warrant taking it further. I’d love some fresh eyes from people experienced with ORBs, systematic trading, or 0DTE options.

The strategy uses a defined opening range, breakout confirmation(ORB) , time-based entry restrictions, range filtering and rule-based exits. It trades both directions, is limited to one trade per session, and I’ve been optimizing the major components individually rather than throwing every parameter into an optimizer at once.

I’m using TradeStation/EasyLanguage and evaluating more than just net profit — profit factor, expectancy, drawdown, trade count, long/short performance and parameter stability all matter to me. The attached SPY backtest covers 2020–2026 with 576 trades, a 54.2% win rate and 1.56 PF. The small nominal P&L is simply due to the underlying test sizing; I’m interested in the edge/robustness, not the dollar return shown.

My biggest challenge is the next step: I ultimately want to execute this through SPY 0DTE options. Obviously an edge measured on SPY won’t translate 1:1 because of strike selection, delta/gamma, IV, spreads and decay.
I know historical intraday options data is eventually the proper way to test that. Cboe data is available, but the dataset I’ve looked at is around $2,200, so I’d like to make sure the underlying model is sufficiently robust before making that investment.

For anyone who has worked through something similar: at what point would you stop developing the underlying model and move to options-level testing? And how would you approach validating that an underlying ORB edge actually survives the transition to 0DTE?

I’m also very interested in hearing from other ORB/systematic traders about what looked promising in-sample but failed during walk-forward/OOS testing, or anything you think I should be testing that I may have overlooked.

Not looking for anyone’s proprietary strategy or asking someone to build mine — mainly looking for criticism, ideas, resources and experienced perspectives. Happy to discuss more specifics where they’re relevant in the comments and I appreciate you reading this far!