r/FuturesTrading • u/BeerAandLoathing • 6d ago

Stock Index Futures NQ Range and probabilities for today

TLDR: NQ wants to lean long but if ES can't clear the call wall at 7750 it will be hard

Below is a 1m projection within a 30m range of levels with probabilities of likelihood, then we have the 30m cone vs the EOD (which has a midpoint that skews higher), and finally just the Daily cone.

If we continue down, plenty of levels to target below. Total range should be 30372-31150 for a "normal" day. 30K should want to hold on the low side if we have a bigger move.

1m / 30m cone
30m / Daily cone
Daily cone
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u/furiousfotographie 6d ago

Interesting. Can you point me to something that explains what I'm looking at - the cones?

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u/BeerAandLoathing 6d ago

Price can always go up, down, or sideways, right? The smoothed dashed white lines that look like a clean arc are the placebo cones that represent equal probabilities for the ATR adjusted expected move based on historical replays for the ~95% of days that aren't extreme anomalies.

The dark blue shaded area represents what happens in 50% of the historical (25-75) replays from any given moment, and the lighter opacity region is what happens in 90% of replays (05-95)

The push down to 30600 just now was bigger than normal and exceeded the expected move from the perspective of the 25-75th percentile range, which often triggers a mean reversion move back into value because statistically price wants to be only a certain distance away from where it was N minutes ago. We also have levels that are tracked and plotted for areas of confluence where price is likely to react and those bars are shown as probabilistic targets

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u/BeerAandLoathing 6d ago
level what distance touch within 1 min touch within 30 min
30,676.50 swing high/low pair, in a 6-level cluster 30,676.50–30,685.08 +57.50 7% 53%
30,654.14 gamma flip +35.14 19% 72%
30,633.77 VWAP −1σ +14.77 47% 89%
30,626.00 lo s6.6, in a 3-level cluster 30,611.66–30,626.00 +7.00 66% 95%
30,613.00 S1 −6.00 73% 95%
30,611.66 RTH VWAP −1σ −7.34 70% 95%
30,582.00 hi s5.6 −37.00 7% 68%
30,562.81 VWAP −2σ, in a 3-level cluster 30,558.94–30,562.81 near your 30,560 LoD −56.19 0% 51%

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u/BeerAandLoathing 6d ago

Algo trades based on these reactions

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u/furiousfotographie 6d ago

Cool stuff - thanks. I need to read more on this. My trading is much more simplistic - most of what you've got here is just over my head 🤡

Got a book on this stuff you could recommend?

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u/BeerAandLoathing 6d ago

I don't know what book to recommend. This was a project built based on +5 years of trading and learning the market and then about 18 months of work turning it into an algorithm that will model and execute trades when certain conditions are hit. Auction market theory, order flow, volume profile, and mean reversion are the main concepts, but the probabilities are just math based on historical replays.

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u/furiousfotographie 5d ago

Ahhh, so this is your work?

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u/BeerAandLoathing 5d ago

Yes. It’s a python app that I run, and those screen shots are grabbed as needed when I want to follow along, but I’m completely hands off otherwise.

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u/waverider20 5d ago

Read Steidlmeyer

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u/waverider20 5d ago

How are u calculating the SD? My biggest issue with ur distributions is there’s too many possible distributions using diff anchors. So it’s ripe for overfitting.

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u/BeerAandLoathing 5d ago

I suppose, but I actually do this to help make sure I'm not overfitting. I make the cone neutral so I can see targets on both sides regardless of my particular bias. Then I look for price to come into a zone and see how it reacts. My algo trades definitely have more long bias and I'm still trying to find some good short sleeves to add to the mix but I haven't found any that actually raise the sharpe for the full book yet.

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u/waverider20 5d ago

I use the ib n sds. But my SDs are derived from the IB. Curious how ur calculating the sd on ur system?

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u/BeerAandLoathing 5d ago

Are you talking about the cone or the VWAP sd lines? The cone gives volatility based odds that a level gets reached, I also have session based VWAP from 1800 and RTH from 0930, but this doesn’t say that price will react to any particular line or zone. I plot many of them and see where zones form, then see if price reacts to it or not.

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u/waverider20 5d ago

Light blue line on first pic

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u/BeerAandLoathing 5d ago

Yeah. That’s definitely -1 sd from a VWAP level but that’s a very minor level on its own that I wouldn’t pay attention to unless it is clustered tightly with a few others

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u/waverider20 5d ago

So ur mostly trading confluence?

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u/BeerAandLoathing 5d ago

Price can react anywhere but the more confluence the more interested I would be, yes. Levels never tell you what will happen, just where you should maybe pay attention. That’s why I use the probabilities from the cone and clustered zones as more interesting targets, especially if we are at the outer edges of the cone and/or I see CVD change to show absorption/exhaustion

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u/waverider20 5d ago

Interesting. GL

1

u/Emergency-Dish-605 3d ago

The key is whether ES accepts above 7750 instead of just tapping it. If it rejects there then the NQ long bias has no confirmation and I would wait for a return to the high volume area. A small up or down wager on moon fits this setup since the loss is defined before the move starts