I doubt I could reverse engineer your algo even if you gave me all the info! LOL.... What you post doesn't even make sense to me to be honest other than seeing that after a loss, the trades keep going, and even though winners follow, they are generally smaller than the one loss. I guess the only thing I was getting at was asking what the thought process is. We see a steadily rising PnL, which would make one assume that the algo is doing a great job of taking trades in the right direction. But under the hood, maybe the algo is just making a simple guess with regards to the opening range break, and if wrong, it takes another guess as to whether is should reverse or not. The point being that eventually it gets it right as long as it keeps trying, but the intent isn't to over analyze to make sure it gets it right every time. So then I wonder if the lesson here isn't so much to get it right, but what to do about it if you're wrong. Giving up on the day after some losses leads to a losing day, but if the information that you gain from a losing trade you instead use to put on the next trade, then maybe this is the secret sauce.
How long will it last? Can we really have a strategy without a losing day? Intraday wise, I win about 70%, with 2:1 risk to reward. So the expectancy is there. I think as long as the nasdaq moves out of the intial range fairly quickly, this can work. But past performance is not indicative of future results yada yada yada