How to IMPROVE FaberVaale Strategy (LEVERAGING Trading RESEARCH)

I'm Matteo Conti. I spent 7 years as a market maker for a large investment bank, where I generated over €30M in trading PnL, and now I run my own hedge fund where I automate every strategy I trade. This channel is about cutting through the noise that retail trading gurus push, and teaching you how professionals actually think: https://theinstitutionalprotocol.com/ I ran a series where I took strategies from retail trading influencers and put them through a real institutional testing process. Almost all of them fall apart. One did not. This video is a case study of an opening range breakout strategy from Fabio Valentini, the one strategy in the series that survived. I walk through what it is, trace it back to the academic research that explains why it works, and then I improve it, using the one component of a trading strategy that almost nobody ever talks about: position sizing. === THE RESEARCH === Three papers do the heavy lifting in this video. The foundation is a paper called Market Intraday Momentum, by Gao, Han, Li and Zhou (Journal of Financial Economics, 2018). It documents that the first half hour of the trading session carries information about the last stretch of it. The order imbalance set at the open tends to persist through the day. That is the real engine an opening range breakout is riding, and it is the reason this is one of the very few retail strategies in the series with an actual academic backbone. The improvement comes from two papers on volatility targeting: Volatility-Managed Portfolios, by Moreira and Muir, and The Impact of Volatility Targeting, by Harvey, Hoyle, Korgaonkar, Rattray, Sargaison and Van Hemert. Both reach the same conclusion. Scaling exposure down when volatility is high raises risk-adjusted returns and reduces the depth of drawdowns. That is the principle behind the single change that makes the strategy measurably better. === THE STRATEGY, IN FULL === This is the strategy as I test it in the video, an opening range bre

Added 26 May 2026