Blog
Notes from the desk.
Practical writing on testing trading ideas, backtest validation, Sierra Chart, and futures market structure.
- CPI Mornings in NQ: Is the First Hour Really Wider?October 27, 2026 · 3 min read
- FOMC Days in ES: How Much Wider the Session Really IsOctober 22, 2026 · 3 min read
- The Turn of the Month in ES and NQ, Checked Against Every Other WeekOctober 20, 2026 · 3 min read
- The 17-out-of-18 Bounce Stat, Checked Against Its Base RateOctober 17, 2026 · 3 min read
- Do Gaps Fill? NQ and ES Opening Gaps Against a Fair Base RateOctober 17, 2026 · 3 min read
- Are Hedge Funds Too Short? What COT Positioning Extremes Have Meant for NQ and ESOctober 17, 2026 · 3 min read
- What Makes an Automated Trading Strategy Actually Profitable?May 3, 2026 · 2 min read
- What a Minimal Sierra Chart ACSIL Strategy Has to HandleApril 21, 2026 · 1 min read
- Futures Position Sizing for Automated Traders: A Practical GuideMarch 28, 2026 · 1 min read
Share of days wider than the same week's typical non-event day
- CPI release days
- Non-event days of the same weeks (base rate)
October 27, 2026 · 3 min read
CPI Mornings in NQ: Is the First Hour Really Wider?
On 59 of 114 CPI release days since 2017, NQ's first regular-session hour was wider than the typical non-event day of the same week: 51.8%, against 50.0% for a non-event day. The regular session opens an hour after the release, and its first hour looks much like any other.
market-statisticsbase-ratescpieventsnqShare of days wider than the same month's typical non-event day
- FOMC statement days
- Non-event days of the same months (base rate)
October 22, 2026 · 3 min read
FOMC Days in ES: How Much Wider the Session Really Is
On 59 of 77 Fed statement days since 2017, ES traded a wider regular-session range than the typical non-event day of the same month: 76.6%, against 49.8% for a non-event day. The move after 2:00 pm is larger too. Its direction is a coin flip.
market-statisticsbase-ratesfomceventsesAverage 4-session change: the turn of the month against every other 4-session window
- Last session of the month and first three of the next
- Every other 4-session window (base rate)
October 20, 2026 · 3 min read
The Turn of the Month in ES and NQ, Checked Against Every Other Week
The last session of a month and the first three of the next averaged +0.18% on ES since 2011. Every other four-session window averaged +0.20%. The turn-of-the-month effect, checked on ES and NQ futures against its base rate.
market-statisticsbase-ratescalendaresnqBounces out of 18 weeks, if a losing week changes nothing (base rate 82.3%)
- 17 or 18 of 18: 14.6% of the time
- Every other count
October 17, 2026 · 3 min read
The 17-out-of-18 Bounce Stat, Checked Against Its Base Rate
A losing week in the Nasdaq 100 is followed by a bounce almost every time. So is every other week. The viral streak stat, checked against its base rate on 13 years of NQ and ES.
market-statisticsbase-ratesnqesOpening gaps: how often the prior close is touched, against the mirror level
- Gap filled (prior close touched)
- Mirror level touched (same distance, other side)
October 17, 2026 · 3 min read
Do Gaps Fill? NQ and ES Opening Gaps Against a Fair Base Rate
NQ fills its opening gap on 61% of sessions and ES on 59%. A level the same distance on the other side of the open gets touched almost as often. 7,400 sessions of gap statistics, compared with the base rate.
market-statisticsbase-ratesgapsnqesNet position as a share of open interest, weekly, 2010 to October 2026
October 17, 2026 · 3 min read
Are Hedge Funds Too Short? What COT Positioning Extremes Have Meant for NQ and ES
Leveraged funds are net short ES at the 13th percentile of the last three years. Fifteen years of CFTC data say extremes in hedge-fund positioning have told you little. One pattern in asset managers is worth watching.
market-statisticsbase-ratescotpositioningnqesMay 3, 2026 · 2 min read
What Makes an Automated Trading Strategy Actually Profitable?
Beyond backtest p-values: the seven characteristics every robust automated strategy shares, and how to tell a durable edge from an over-fit one.
strategy-designbacktestingrisk-managementApril 21, 2026 · 1 min read
What a Minimal Sierra Chart ACSIL Strategy Has to Handle
What a minimal Sierra Chart ACSIL strategy skeleton has to handle — position management, daily-loss limits and clean order routing — for developers who automate their own rules.
sierra-chartacsiltemplatecodeMarch 28, 2026 · 1 min read
Futures Position Sizing for Automated Traders: A Practical Guide
A step-by-step framework for choosing contract count on automated futures strategies, covering volatility-scaled sizing, risk-per-trade caps, and prop-firm constraints.
risk-managementfuturesposition-sizing
Test your own idea instead.
Describe it in plain English. The screen turns it into exact rules and tests them on tick data, after costs, through gates written down before the run.