Research

What we've tested

Market studies with the method, the sample size and the code behind them. When a study came from someone else's work we say so and rebuild the numbers ourselves.

Prop firms How Prop ORB works

How to beat a prop firm evaluation: what our algorithm does on Nasdaq and small caps

A 50K evaluation asks for $3,000 before you give back $2,000. Atty Prop ORB won 77% of 707 Nasdaq trades over the last two years against a break-even of 73%, and 68% of simulated evaluations passed. The Nasdaq trade also lost money in 4 of 9 years, and every one of them is in the table.

·10 min ·5,303 trades ·2018 to 2026
Pass and blow-up rates by risk per trade$250 a trade: 66.9% passed, 10.4% blown, median 153 days to pass; $500 a trade: 66.5% passed, 33.5% blown, median 47 days to pass; $750 a trade: 47.4% passed, 52.6% blown, median 23 days to pass; $1,000 a trade: 38.4% passed, 61.6% blown, median 13 days to pass.A typical 50K evaluation, 12 months, by risk per trade (Nasdaq only)PassedBlownStill openMedian days to pass$250 a trade67%10%23%153 days$500 a trade66%34%47 days$750 a trade47%53%23 days$1,000 a trade38%62%13 days
Market Profile Myth check

The 80% rule and the initial balance: 2,154 sessions of Nasdaq futures

A viral clip says a candle established inside yesterday’s value area fills value 80% of the time. On every Nasdaq futures session since 2018 it filled 48%, wide value areas filled least, and the initial balance’s first test was a coin flip. One 1-minute reentry rule survived every out-of-sample test, small and Nasdaq only.

·14 min ·2,154 NQ sessions ·6 references
Value-area fill rate by widthShare of reentries that reached the far side of value, by decile of the value-area width, for three profiles. The fill rate falls as the value area widens.Far-side fill rate by value-area width (deciles), after the first 5-minute close insideabove value, day profilebelow value, day profileabove value, overnight profile0%20%40%60%80%claimed 80%050100150200250300median value-area width of the decile (NQ points)above value, day profile: width 23 pts, filled 67% (n = 49)above value, day profile: width 38 pts, filled 47% (n = 45)above value, day profile: width 52 pts, filled 61% (n = 46)above value, day profile: width 66 pts, filled 47% (n = 49)above value, day profile: width 78 pts, filled 54% (n = 46)above value, day profile: width 94 pts, filled 46% (n = 46)above value, day profile: width 108 pts, filled 60% (n = 48)above value, day profile: width 131 pts, filled 45% (n = 44)above value, day profile: width 164 pts, filled 26% (n = 47)above value, day profile: width 236 pts, filled 30% (n = 47)below value, day profile: width 23 pts, filled 50% (n = 36)below value, day profile: width 36 pts, filled 50% (n = 32)below value, day profile: width 50 pts, filled 46% (n = 35)below value, day profile: width 61 pts, filled 56% (n = 32)below value, day profile: width 76 pts, filled 46% (n = 35)below value, day profile: width 92 pts, filled 59% (n = 34)below value, day profile: width 107 pts, filled 32% (n = 31)below value, day profile: width 134 pts, filled 35% (n = 34)below value, day profile: width 182 pts, filled 33% (n = 33)below value, day profile: width 296 pts, filled 9% (n = 34)above value, overnight profile: width 28 pts, filled 48% (n = 44)above value, overnight profile: width 48 pts, filled 37% (n = 43)above value, overnight profile: width 64 pts, filled 49% (n = 43)above value, overnight profile: width 76 pts, filled 45% (n = 44)above value, overnight profile: width 94 pts, filled 58% (n = 43)above value, overnight profile: width 116 pts, filled 42% (n = 43)above value, overnight profile: width 139 pts, filled 32% (n = 44)above value, overnight profile: width 170 pts, filled 14% (n = 43)above value, overnight profile: width 220 pts, filled 33% (n = 43)above value, overnight profile: width 332 pts, filled 18% (n = 44)Nasdaq 100 futures (NQ continuous front month, Databento), 1-minute bars, 2 January 2018 to 27August 2026, 2,154 full sessions. Event counts and probabilities from the study scripts; tradesfrom AmiBroker. Each line is ten equal-count width deciles of that profile's reentries (33-49per decile).
Calendar effects Myth check

The Jewish calendar and the S&P 500: what 98 years show

Jewish holiday sessions averaged 0.00% across 528 stretches since 1928, and “sell Rosh Hashanah, buy Yom Kippur” was wrong in 46 of 99 years. Shemitah years averaged −3.4% against +9.8%, a gap that held up, on 14 years that look more like a few long bear markets than a date.

·12 min ·98 years of S&P 500 ·7 references
S&P 500 return by year of the seven-year cycleAverage S&P 500 return in each year of the seven-year Shemitah cycle, 14 cycles from 1930 to 2026, with 95% intervals. The Shemitah year and the year after it are the only two below zero.Average S&P 500 return by year of the seven-year cycle14 cycles, 1930 to 2026. Lines are 95% intervals. Dashed: the average non-Shemitah year, +9.8%.−15%−10%−5%0%+5%+10%+15%+20%+25%Year 1: average −2.7%, 9 of 14 years down−2.7%Year 1the year afterYear 2: average +16.0%, 2 of 14 years down+16.0%Year 2Year 3: average +9.9%, 5 of 14 years down+9.9%Year 3Year 4: average +7.9%, 5 of 14 years down+7.9%Year 4Year 5: average +16.8%, 1 of 14 years down+16.8%Year 5Year 6: average +11.2%, 1 of 14 years down+11.2%Year 6Year 7: average −3.4%, 8 of 14 years down−3.4%Year 7ShemitahS&P 500 index (Yahoo ^GSPC), daily closes, price only, 1928 to 2026. Trades run in AmiBroker at theclose of each session, no costs. A year runs from the close before Rosh Hashanah to the close before thenext one. Intervals are 95% bootstrap intervals on 14 years each.
Volume How Stampede works

What retail volume pressure tells you, and what Stampede does with it

Crowd-driven stocks trade 19.8% of their volume in surges, against 9.0% for quiet large caps, and the surges keep going. The loudest bars are followed by an hour 1.17× bigger than normal, and by a move in the same direction only 48% of the time. Stampede uses the reading for the first and not the second.

·12 min ·7,800 stock-sessions ·7 references
A pressure reading tells you how far, not which wayEvery bar ranked into ten groups by the size of its force-index reading. Left: the range of the next hour against normal for that time of day. Right: how often the next hour moved the same way as the bar. The loudest bars are followed by bigger hours, and the direction is close to a coin flip.Bars ranked from quietest to loudest by force index (price change × volume)crowd namescontrol namesnext hour’s range, × normal0.9×1.0×1.1×1.2×1.3×crowd, group 1: 1.0× (95% interval 0.955 to 0.988)crowd, group 2: 1.0× (95% interval 0.945 to 0.969)crowd, group 3: 0.9× (95% interval 0.936 to 0.960)crowd, group 4: 1.0× (95% interval 0.957 to 0.985)crowd, group 5: 1.0× (95% interval 0.958 to 0.981)crowd, group 6: 1.0× (95% interval 0.966 to 0.993)crowd, group 7: 1.0× (95% interval 0.974 to 1.000)crowd, group 8: 1.0× (95% interval 0.993 to 1.019)crowd, group 9: 1.0× (95% interval 1.017 to 1.048)crowd, group 10: 1.2× (95% interval 1.148 to 1.199)control, group 1: 1.0× (95% interval 0.951 to 0.973)control, group 2: 1.0× (95% interval 0.958 to 0.981)control, group 3: 1.0× (95% interval 0.960 to 0.983)control, group 4: 1.0× (95% interval 0.959 to 0.981)control, group 5: 1.0× (95% interval 0.971 to 0.996)control, group 6: 1.0× (95% interval 0.972 to 0.994)control, group 7: 1.0× (95% interval 0.990 to 1.013)control, group 8: 1.0× (95% interval 1.009 to 1.032)control, group 9: 1.0× (95% interval 1.029 to 1.052)control, group 10: 1.1× (95% interval 1.086 to 1.121)quietestloudestten equal groupsnext hour moved the same way40%45%50%55%60%crowd, group 3: 49.3% (95% interval 0.482 to 0.504)crowd, group 4: 48.6% (95% interval 0.475 to 0.497)crowd, group 5: 49.9% (95% interval 0.488 to 0.510)crowd, group 6: 48.8% (95% interval 0.476 to 0.500)crowd, group 7: 48.8% (95% interval 0.477 to 0.499)crowd, group 8: 47.2% (95% interval 0.460 to 0.484)crowd, group 9: 47.7% (95% interval 0.466 to 0.489)crowd, group 10: 48.1% (95% interval 0.470 to 0.493)control, group 1: 49.2% (95% interval 0.480 to 0.505)control, group 2: 50.1% (95% interval 0.490 to 0.511)control, group 3: 49.3% (95% interval 0.482 to 0.504)control, group 4: 49.8% (95% interval 0.486 to 0.509)control, group 5: 49.6% (95% interval 0.484 to 0.508)control, group 6: 49.3% (95% interval 0.481 to 0.504)control, group 7: 50.4% (95% interval 0.493 to 0.515)control, group 8: 50.5% (95% interval 0.494 to 0.516)control, group 9: 49.0% (95% interval 0.478 to 0.502)control, group 10: 49.0% (95% interval 0.478 to 0.503)quietestloudestten equal groups15-minute regular-session bars from Interactive Brokers, 2023-07-03 to 2026-08-21, ten stocks, 7,800stock-sessions. Intervals are 95%, from a bootstrap that resamples whole sessions. Next-hour range ismeasured in units of the 14-bar ATR before the bar and divided by the same stock’s average for that timeof day. The quietest groups often close unchanged, so they have no direction to test.
Volatility Calibration

An hour is not an hour

Four futures markets spend a session’s volatility on completely different schedules. Halfway through the clock, 59% to 68% of the day’s movement is already done, and at three-quarters through a clock-based projection draws gold 38% too wide.

·11 min ·7,351 sessions ·6 references
What a square-root-of-time projection gets wrong, and whenThe width a wall-clock projection draws for the rest of the session, divided by the width the measured variance profile calls for. Above 1.0 the projection is too wide; below it, too narrow.0.6x0.8x1.0x1.2x1.4x1.6x1.8x2.0x2.2xES 0.93xNQ 1.07xCL 1.09xGC 1.35xopen¼midday¾closewall-clock projection width, as a multiple of the measured oneabove the line it is too wide, below it too narrowES, NQ and CL 2021-08-30 to 2026-08-27; GC 2010-06-07 to 2026-09-09. Day sessions only:09:30-16:00 ET for the index contracts, 09:00-14:30 for crude, 08:20-13:30 for gold. The ratiois sqrt(1 − elapsed) over sqrt(1 − variance spent), which is what the two assumptions implyfor the width still to come.
Predictability Controls

The market tells you how far, not which way

The same 1,200 tests asked twice on four markets. Predicting the direction of the next move replicates 0 times out of 300; predicting its size replicates 175. And seven famous price levels, tested against a placebo at the same distance, do slightly worse than the placebo.

·12 min ·2,400 tests ·7 references
The same 1,200 tests, asked two waysEvery test sorted by how strong it came out, weakest on the left. The dashed line is what pure noise produces. The direction curve sits on it; the size curve is nowhere near it.0246810the usual significance bar0%25%50%75%100%tests, sorted from weakest to strongestdirectionsizenoisestrength of each test, on the same scalethe size curve leaves the frame at 10 and runs to 38median strength0.692.98noise puts it at 0.67share past the bar6.4%68.2%noise puts it at 4.6%ES 1,248 sessions, NQ 1,246, CL 1,237, all 2021-09-30 to 2026-08-27; GC 3,549 sessions,2010-07-08 to 2026-09-09. 1-minute bars, day session only. Spearman rank correlation on eachpredictor / outcome pair, with no window allowed to overlap its own outcome.
Market structure Indicators

The reversion you see in a band is mostly the band

Split the snap-back to a Bollinger, Keltner, VWAP or regression band into what price did and what the line did. Across 16 band-and-window combinations on four futures markets, 96 to 98 percent of it is the line refitting itself. The tradeable half is 0.84 ticks against a 2.28-tick round turn.

·11 min ·ES NQ GC CL, 83k signals ·6 references
When the gap closes, which one moved?The residual can close because price came back to the line or because the line went to price. Ninety-six to ninety-eight percent of it is the line, on every instrument tested.share of the closed gap, split by what supplied itthe bar is the whole reversion; the blue piece is the only part a trade can collectES16,540 signals · 1,227 sessionsES: the line moved 18.58 ticks toward priceES: price moved 0.84 ticks toward the linethe line moved 18.58 ticks4%price0.84 tkNQ16,241 signals · 1,225 sessionsNQ: the line moved 87.19 ticks toward priceNQ: price moved 2.93 ticks toward the linethe line moved 87.19 ticks3%price2.93 tkGC35,937 signals · 3,561 sessionsGC: the line moved 14.48 ticks toward priceGC: price moved 0.23 ticks toward the linethe line moved 14.48 ticks2%price0.23 tkCL14,201 signals · 1,256 sessionsCL: the line moved 19.09 ticks toward priceCL: price moved 0.31 ticks toward the linethe line moved 19.09 ticks2%price0.31 tkthe line moved to price (not tradeable)price moved to the line (tradeable)1-minute bars. ES, NQ and CL 2021-08-30 to 2026-08-27; GC 2010-06-07 to 2026-09-09. Regressionchannel, 30 bars, entry at k = 2.0, measured 10 bars later.
Event studies Replication

What actually happens on an FOMC day

212 scheduled Fed decision days and 59 minute-by-minute sessions. The morning runs at 0.6× a normal day and the press-conference hour at 3.1×. The direction everyone quotes (hike 55%, hold 57%, cut 48%) does not survive a confidence interval.

·13 min ·SPY 2000–2026 ·8 references

On the bench

  • The Sharpe ratio mirage. What happens to a performance statistic when hundreds of good-looking strategies are tested: how high a number luck alone produces, and how much of it survives being moved to data the search never saw.
  • A fifteen-year gold edge that is narrower than the spread. The London auctions produce the three strongest half-hours of the day, in 16 years out of 16, and the move is 1.3 ticks wide against a $10 tick.
  • Is the FOMC afternoon priced? Whether the 3× volatility window covers the cost of owning it, once the post-announcement implied-volatility collapse is accounted for.