AM TBR - NQ Stats## Summary
Credit. All historical statistics shown by this indicator are transcribed from the AM TBR study published by NQ Stats — a 10-year analysis of 2,572 NQ sessions (2016–2026). The research design and data analysis are entirely their work; this script is an independent live reconstruction of that methodology
AM TBR anchors a Time-Based Range at the 08:00 New York open, projects ±0.25 standard-deviation levels from that open using a rolling 20-day sample standard deviation of prior session % net changes, and tracks a single, well-defined statistical event in real time: does price touch either level, and if so, does it revert to the TBR Open before 12:00 New York?
Once a touch occurs, the indicator overlays historical context for that exact situation — reversion probability conditional on the hour of the touch, typical adverse excursion (MAE) zones, continuation (MFE) targets after reversion, and time-based cumulative milestones — so you can see at a glance whether the current session is behaving like a typical reverting session or drifting into historically non-reverting territory.
This is a statistical study tool, not a trading system. It does not generate buy/sell signals and makes no claims about future performance.
## What the indicator draws on the chart
At 08:00 New York every weekday the script anchors the TBR Open (drawn as a dashed line extended to 12:00), the two ±0.25σ touch levels, and an optional faint σ ladder at ±0.5 / 0.75 / 1.0 / 1.5 / 2.0 for scale. A light background tint marks the active 08:00–12:00 window.
On the first touch of either level, a marker stamps the exact time (resolved to the minute via lower-timeframe data where available) and shaded MAE zones appear on the touched side. These zones are anchored at the TBR Open — not at the touch level — matching the source study's measurement convention. Reading them from the open outward: the grey zone (TYPICAL) ends at the historical median MAE of sessions that went on to revert; blue (DEEP) ends at the reverted P75; orange (STRETCHED) at the reverted P90; red (RISK) at the median MAE of sessions that never reverted; and the dark zone (NON-REV) extends to the non-reverted P75. The practical reading: while price holds inside grey/blue, the session is taking normal heat for an eventual reversion; pushing through orange into red means the extension now looks more like the historical failures than the historical successes.
If price reverts to the TBR Open before 12:00, the target label flips to REVERTED with the time, and three dotted MFE lines appear on the far side of the open at the historical median (green), P75 (yellow), and P90 (orange) continuation distances — how far past the open reverting sessions historically travelled. At 12:00 the session settles as Reverted, No Reversion, or No Touch.
## Reading the dashboard, row by row
**σ (20d sample).** The rolling standard deviation currently in force, shown both as a percentage and converted to points (e.g. "1.55% ≈ 450.50"). The points figure is your conversion key for every σ value in the table: multiply any σ number by it to get a price distance. A 0.445σ median MAE with σ ≈ 450 points means roughly 200 points of adverse excursion from the open.
**TBR Open (08:00).** The anchor price. Every level, zone, and statistic is measured from here.
**First Touch.** Which level was hit first, the exact time, and the hour band it falls into (08:xx, 09:xx, 10:xx, or 11:xx). The band drives everything below it, because the source study's strongest finding is that reversion odds depend heavily on when the first touch happens.
**Band Reversion Rate.** The historical percentage of sessions with a same-side touch in the same hour band that reverted to the open before 12:00, with its sample size. Colour reflects strength: green at 75%+ (08:xx touches), teal 65–75% (09:xx), orange 45–65%, red below. A ⚠ marks bands where the historical sample is tiny (10:xx and 11:xx, with 48 and 11 touches respectively across ten years) — treat those rates as directional at best.
**Outcome.** The live state machine: Waiting (levels drawn, no touch), Touched — Pending, Reverted ✓ with the reversion time, No Reversion ✗, or No Touch.
**MAE (σ from open).** Your session's maximum adverse extension so far, in σ units measured from the TBR Open, with a context tag comparing it against the reverted-MAE distribution for your band: "≤ p50" means the current heat is smaller than the median reverting session took; "p50–p75" and "p75–p90" mean progressively deeper but still within the range most reverting sessions survived; "> p90 ⚠" means the extension now exceeds nine in ten historical reversions; "≥ non-rev p50 ⚠" means it has reached territory more typical of sessions that never came back. The background shifts green → orange → red accordingly. This row is the single fastest health-check in the table.
## The stat block in depth
The dark header names the exact historical slice being displayed — for example "+0.25 · 08:xx — |σ| FROM TBR OPEN" means every number below describes sessions where +0.25 was touched first during the 08:00 hour, with all distances in σ units from the TBR Open. Signs follow the study's convention: for a +0.25 touch, MAE values print positive (heat is above the open) and MFE prints negative (continuation is below the open); for a −0.25 touch the signs flip.
Each row shows n, Mean, Median, P75, and P90 of a distribution:
**MAE Rev** — adverse excursion of sessions that ultimately reverted. This is the "survivable heat" distribution and the source of the grey/blue/orange zone boundaries. Median well below mean tells you the distribution is right-skewed: most reverting sessions took modest heat, a minority took a lot.
**MAE N-Rev** — maximum extension of sessions that never reverted by 12:00. Compare its median against the MAE-Rev P90: the gap between them is the discrimination region. For 08:xx +0.25 touches, reverting sessions' P90 heat was about 0.96σ while non-reverting sessions' median run was about 1.53σ — extensions between those two values are where the historical populations genuinely separate.
**MFE** — how far beyond the TBR Open reverting sessions continued after reverting. These are the three dotted target lines on the chart. The n here equals the reverted count, since only reverting sessions have an MFE. The large gap between median and P90 (0.69σ vs 1.99σ for 8am +0.25 touches) says continuation is occasionally explosive but usually moderate — which is why the lines are labelled as escalating reference distances rather than a single target.
To convert any cell to points, multiply by the σ-in-points figure from the top of the table.
## The cumulative section
**By 09:00 / 10:00 / 11:00 / 12:00** rows show the source study's cumulative reversion distribution: the percentage of all touched sessions (same side) that had already reverted by that clock time. These figures rise by construction — they are a running total of reversion times, ending at the overall band rate. When your touch is in the 08:xx band, the 8am-focus curve is used (27.9 → 68.2 → 76.1 → 78.4% for +0.25); otherwise the all-sessions curve applies. The Clock column counts down to each checkpoint and to the 12:00 Hard Stop.
Interpreting these correctly matters: a rising cumulative number is not "the odds are improving." The useful live question is conditional — if the session is still pending at a checkpoint, the chance of reverting before 12:00 equals (Final − Cum) ÷ (100 − Cum). Worked from the all-sessions +0.25 curve: still pending at 09:00 leaves roughly a 69% chance of reverting by noon; still pending at 10:00, about 34%; still pending at 11:00, about 10%. The longer a touched session goes without resolving, the more it historically resembles the sessions that never resolved.
## Inputs reference
**Setup group.** *SDEV Lookback* (default 20) sets how many completed daily sessions feed the standard deviation; 20 matches the source study, and changing it moves the levels while decoupling them from the reference statistics. *Touch Level (σ)* (default 0.25) sets the projected level distance — the levels will draw correctly at any value, but all displayed probabilities and distributions were generated for ±0.25 specifically and no longer describe other settings. *TBR Colour* and *Label Size* control appearance. *Keep previous sessions on chart* retains prior sessions' drawings instead of clearing at each new 08:00, useful for visually reviewing recent history (drawings beyond PulseWire's object limits are recycled oldest-first).
**Levels group.** *Show σ Ladder* toggles the ±0.5–2.0σ reference lines and *Ladder Colour* styles them. *Show MAE Zones after touch* toggles the shaded zone map; *Zone Labels* independently toggles the text tags on those zones, worth switching off on busy charts. *Show MFE Targets after reversion* toggles the three continuation lines.
**Dashboard group.** *Show Dashboard* toggles the table; *Show Cumulative Milestones* toggles its bottom section if you prefer a shorter table; *Position* and *Text Size* place and scale it.
**Alerts.** Two alert conditions are provided — "Level Touched" and "Reverted to Open." Create them from the standard alert dialog by selecting this indicator and the desired condition; "Once Per Bar" is the natural frequency for both.
## How the statistics were generated (methodology and source)
The probabilities and distribution values displayed by this indicator are **not computed from your chart**. They are transcribed reference statistics from an independently published, publicly available 10-year statistical study of NASDAQ-100 E-mini futures (NQ) covering 2016–2026 (published by NQ Stats). That study's methodology, which this indicator reproduces live:
- **2,572 total sessions** analysed; **2,545 touched** a ±0.25σ level within the window (1,252 touched +0.25 first, 1,293 touched −0.25 first).
- **σ definition:** rolling 20-day *sample* standard deviation of prior session % net changes; the level is projected as TBR Open × (1 ± 0.25 × σ/100).
- **Window:** 08:00–12:00 New York time; a session "reverts" if price returns to the TBR Open after the touch and before 12:00.
- **Headline rates:** 74.0% of +0.25 touches and 74.6% of −0.25 touches reverted, strongly conditional on touch hour: roughly 79% for 08:xx, 69.5% for 09:xx, 39.6% for 10:xx, 9.1% for 11:xx.
- **MAE and MFE** are measured in |σ| units from the TBR Open. Where the study published no distribution rows for a band (MFE for 10/11:xx touches; MAE for 11:xx), the nearest earlier band's values are substituted and documented in the code.
**What is computed live from your chart:** the σ value, the TBR Open, all level and zone prices, touch and reversion detection and timing, and the running MAE. The geometry is yours; the probabilities are the study's, projected onto your chart's coordinates.
## Detection details
On chart timeframes of 1 minute and above, 1-minute intrabar data timestamps the first touch to the exact minute and sequences same-bar events correctly, so a pre-touch dip to the open is never miscounted as a reversion. Where 1-minute history is unavailable (deep chart history), detection falls back to chart-bar resolution with a documented tiebreak. Reversion means trading at or through the TBR Open price.
## Recommended use
NQ / MNQ futures (the reference statistics are NQ-specific; other symbols will run but the statistics will not apply), on 1–15 minute timeframes that divide evenly into an hour so the 08:00 anchor aligns exactly. The most robust historical context comes from 08:xx touches (n ≈ 1,500); late-morning touches carry small samples and wide uncertainty.
## Limitations and honest caveats
Historical frequencies are not probabilities of future outcomes; regimes drift. The live σ may differ slightly from the study's around continuous-contract roll dates, since roll adjustments perturb close-to-close % changes — statistics are σ-relative so behavioural context transfers, but exact prices may differ marginally from the original research. Sub-minute event ordering is unknowable at any bar resolution, and MAE on the reversion bar can be slightly overstated when the adverse extreme printed after the open-cross within the same bar; the underlying 1-minute study shares the same granularity limits. Source values were transcribed from the published tables and not independently re-derived; one internal inconsistency in the source (a single P90 cell differing between two of its tables) is documented in the code with the more internally consistent value chosen.
This indicator is for educational and analytical purposes only and is not financial advice.
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*Open-source under the Mozilla Public License 2.0. The statistical reference values are transcribed from publicly published research as described above; the live reconstruction, detection engine, and visualisation are original work.* Indicator
IB/ORB Statistical Mapper (hardcoded)# IB / ORB Live Stats — Publication Description
---
## What This Indicator Does
The **IB / ORB Live Stats** indicator studies the relationship between the **Initial Balance (IB)** and a user-defined **Opening Range Breakout (ORB)** window, and builds its probability statistics **live, from the history on your own chart** — there are no pre-supplied or hard-coded numbers anywhere in this script. Every percentage you see is computed from the completed sessions visible on the current symbol and timeframe, so the statistics describe exactly the instrument you are looking at.
Rather than issuing buy/sell signals, the indicator answers structural questions about how each session tends to behave:
- When the IB **high** forms before the IB **low**, which side tends to **break first** afterward — and vice versa?
- Does the side that formed first also tend to break first (a continuation tendency), or reverse?
- Do these tendencies change when the range is unusually **wide** or **narrow**?
- When the ORB closes bullish or bearish, how often does the IB end up bullish or bearish?
It draws a box and midpoint for both the IB and the ORB, and presents two independent, separately-configurable statistics tables — one for the IB, one for the ORB.
---
## Core Concepts and Definitions
Before the statistics make sense, it helps to define each term precisely as the script uses it.
### Initial Balance (IB)
The price range established during the IB window (default **09:30–10:30 ET**). The IB high is the highest traded price and the IB low the lowest traded price during that hour. The IB midpoint is the average of the two.
### Opening Range Breakout (ORB)
A shorter range measured from the open. You set its length in **minutes** (default **15**), and the script builds the corresponding session window automatically. The ORB high, low and midpoint are defined the same way as the IB's.
### Formed First (the order of the extremes)
For each window, "formed first" identifies whether the session **high** or the session **low** was reached **earlier in time**. This is the single most important measurement in the script, and it is deliberately **not** judged from chart bars. A single chart candle frequently contains both the session high and the session low, which makes any bar-by-bar guess unreliable. Instead, the script requests **1-minute intrabar data** and walks those sub-bars in chronological order: the first 1-minute bar whose high reaches the final session high, versus the first whose low reaches the final session low — whichever comes earlier is the extreme that "formed first."
### Broke First (the order of the breakouts)
Once a window's formation period closes, the script watches for price to trade **beyond** that window's high or low. "Broke first" records which side was exceeded **first** during the rest of the regular session. Like formed-first, this uses the 1-minute intrabar feed so a large chart candle cannot hide the true sequence. If neither side is exceeded before the regular session ends, broke-first is recorded as **"none" (Neither)**.
### Direction (Bullish / Bearish / Neutral)
A single composite read of the window, combining where it formed first with where it closed:
- **Bullish** — the **low** formed first **and** the window closed in its **upper** half.
- **Bearish** — the **high** formed first **and** the window closed in its **lower** half.
- **Neutral** — every other combination (mixed signals).
The same definition is applied to both the IB and the ORB so the two can be compared like-for-like.
### Range Size: Narrow / Normal / Wide
Each window's range (high minus low) is classified **relative to its own prior history on the chart**. The classification is computed **before** the current session is added to the history, so "Wide" genuinely means wide relative to the past, not relative to a sample that already includes today. Two methods are available:
- **Z-Score** — today's range is expressed as a number of standard deviations from the historical mean. A range at or below `−Z band` is **Narrow**; at or above `+Z band` is **Wide**; in between is **Normal**.
- **Percentile** — today's range is ranked against history. At or below the Narrow percentile cutoff it is **Narrow**; at or above the Wide cutoff it is **Wide**; in between is **Normal**.
---
## The Statistics Tables, Explained Line by Line
There are two tables — **IB LIVE STATS** and **ORB LIVE STATS** — each with the same structure. The ORB table adds one extra section (the ORB-to-IB contingency) at the bottom.
### Top block — today's live readout
- **Formed first** — for the current session: `HIGH`, `LOW`, `pending` (window not yet complete), or `—` (could not be resolved, e.g. no intrabar data).
- **Broke first** — `HIGH`, `LOW`, `pending` (window not complete), `watching…` (window complete, no break yet this session), or `none` (session ended with no break).
- **Range** — today's range value, followed where available by its z-score (`z=`) and its percentile rank (`%`) against history.
- **Type** — the Narrow / Normal / Wide classification of today's range.
- **Direction** — today's Bullish / Bearish / Neutral composite.
### Cross-tabulation block — the formed-first by broke-first matrix
This is the heart of the tool. It answers: *given which extreme formed first, which side then broke first?* The columns are **BrkH** (broke high first), **BrkL** (broke low first) and **Neither**. There are two rows:
- **HIGH (n)** — all completed sessions where the **high** formed first. The three percentages show how often, within those sessions, the high broke first, the low broke first, or neither side broke. `n` is the number of such sessions.
- **LOW (n)** — the same, for sessions where the **low** formed first.
Each row sums to 100% across its three columns. Reading across the HIGH row tells you, when the high formed first, whether the market tends to continue up (BrkH) or reverse down (BrkL).
- **Same side broke 1st** — a single summary figure: across **all** completed sessions, how often the side that formed first was also the side that broke first. This is the overall **continuation tendency**; a high value means formed-first tends to predict broke-first, a low value means the market tends to reverse the early extreme.
### BY SIZE block — does range size change behavior?
This block splits every completed session into its size bucket and reports, per bucket:
- **Size** — Narrow, Normal or Wide. The bucket matching **today's** session is highlighted.
- **n** — number of completed sessions in that bucket.
- **Brk%** — of those sessions, how often **any** side broke (i.e. the session was not a "Neither" day).
- **Cont%** — of those sessions, how often the side that formed first also broke first (the continuation tendency, but isolated to that size bucket).
This is where the size classification earns its place: you can see directly whether, say, Wide ranges break and continue more often than Narrow ones.
### ORB-to-IB contingency block (ORB table only)
This answers how the early ORB read relates to the later IB outcome. It is a small matrix with the columns **IB Bull**, **IB Bear** and **IB Neut**, and two rows:
- **Bullish (n)** — all completed days where the **ORB** direction was Bullish. The three percentages show how the **IB** direction turned out on those days. `n` is the count.
- **Bearish (n)** — the same, for days where the ORB direction was Bearish.
Each row sums to 100%. The Bullish row directly answers "when the ORB is bullish, how often is the IB also bullish, bearish, or neutral?"
### The "Min sample" dimming rule
Any percentage drawn from fewer completed days than the **Min sample** input is shown in grey rather than its normal colour. This is a guard against over-reading thin data — a 100% figure from 2 sessions is meaningless, and the dimming makes that visually obvious while still letting the count build.
---
## How To Use This Indicator
### Recommended setup
Run it on a **1-minute chart** for the most accurate formed-first and broke-first detection. A 5-minute chart is the practical maximum; on higher timeframes the 1-minute intrabar window loses resolution and the ordering of extremes becomes less reliable. Make sure your chart has enough history loaded — the statistics only accumulate from sessions actually present on the chart, so a fresh chart starts empty and fills in over days of scrolled-back or elapsed history.
### A typical workflow
1. **Let it build.** The longer the history on the chart, the larger every `n`. Figures stay greyed out until they pass the Min sample threshold.
2. **Read the cross-tab.** In the IB table, look at the HIGH and LOW rows to see whether the first extreme tends to lead to continuation or reversal on your instrument.
3. **Check the size split.** In the BY SIZE block, compare Brk% and Cont% across Narrow / Normal / Wide to see whether range size meaningfully changes behavior. Today's bucket is highlighted for quick reference.
4. **Use the ORB-to-IB contingency** to gauge whether the early ORB direction is informative about how the IB resolves.
5. **Combine with your own analysis.** These figures are descriptive context, not signals.
---
## Inputs and Configuration
Every input is listed below with its default and its effect.
### Sessions group
- **IB Period (ET)** — the Initial Balance window. Default `0930-1030`.
- **ORB Period (minutes from 09:30)** — the ORB length in minutes. Default `15`, range `1–120`. The script builds the actual session window from this (e.g. 15 → 09:30–09:45) so you never edit a session string for the ORB.
- **RTH (ET)** — the regular trading hours window during which breaks are tracked and after which each day's outcome is recorded. Default `0930-1600`.
- **Intrabar resolution** — the lower timeframe used for first-touch detection. Default `1` (one minute). This must be at or below your chart timeframe; one minute is strongly recommended.
### IB/ORB Type group
- **Size method** — `Z-Score` or `Percentile`, selecting how Narrow / Normal / Wide is decided. Default `Z-Score`.
- **Z band (Narrow<=-z, Wide>=+z)** — the z-score threshold used by the Z-Score method. Default `0.5`. A range at or below −0.5 SD is Narrow, at or above +0.5 SD is Wide.
- **Narrow <= percentile** — the percentile cutoff for Narrow when using the Percentile method. Default `33`.
- **Wide >= percentile** — the percentile cutoff for Wide when using the Percentile method. Default `67`.
### Display group
- **Show IB (box)** — draw the IB box and midpoint. Default on.
- **Show ORB (box)** — draw the ORB box and midpoint. Default on.
- **Show NY Open Line** — draw a vertical line at the regular-session open. Default on.
- **Box Transparency** — transparency of the box fills, `50–95`. Default `88` (higher is more transparent).
- **IB / ORB / NY Line colours** — colour pickers for each element.
### Tables group
- **Show IB Table** — master toggle for the IB statistics table. Default on.
- **IB Position** — one of nine on-chart positions for the IB table. Default Top Right.
- **IB Text Size** — Tiny / Small / Normal / Large. Default Tiny.
- **Show ORB Table** — master toggle for the ORB statistics table. Default on.
- **ORB Position** — nine-position selector for the ORB table. Default Top Left.
- **ORB Text Size** — Tiny / Small / Normal / Large. Default Tiny.
- **Min sample (dim below)** — the minimum number of completed days a percentage must be based on before it is shown in full colour rather than grey. Default `30`, range `5–200`.
---
## How the Calculations Work (methodology)
All statistics are computed on-chart, in real time, with no external data:
1. **During each window**, the script accumulates the running high and low and collects every 1-minute sub-bar's high and low.
2. **At window close (seal)**, it walks the collected 1-minute bars in order to determine which extreme was reached first, classifies the range size against prior history, computes the composite direction, and freezes the box and midpoint at the closing bar.
3. **After the window, through the regular session (watch)**, it scans the 1-minute feed for the first break of either side and records broke-first.
4. **At the regular-session close (tally)**, it increments the cumulative counters — the formed-first by broke-first cross-tab, the size buckets, and (for the ORB) the ORB-to-IB direction contingency — so each completed day is counted exactly once.
The boxes and midpoints are **frozen** at each window's close; they do not extend across the day.
---
## Important Limitations and Considerations
1. **History-dependent.** All statistics come only from sessions present on your chart. A fresh chart has no sample; figures grow over time and stay greyed until they pass the Min sample threshold. The depth of history PulseWire loads depends on your plan and the chart timeframe.
2. **Intrabar accuracy.** Formed-first and broke-first rely on the 1-minute feed and are most accurate at or below 5-minute chart resolution. On higher timeframes the ordering can be wrong.
3. **Same-sub-bar ties.** If a single 1-minute bar contains both a new extreme and a break of the opposite side simultaneously, the tie is resolved in favour of the high. This is rare but worth knowing.
4. **Descriptive, not predictive.** The indicator reports what has happened on your data. It does not forecast, and it issues no signals. Past frequency does not guarantee future behavior — a 70% tendency still failed 30% of the time.
5. **Not financial advice.** Use these statistics as objective context alongside your own strategy and risk management, never as a substitute for judgement.
---
*This is an analytical and educational tool. It does not provide buy or sell signals and makes no claim about future price direction.* Indicator
Session Range Candles + 25% Level# Session Range Candles + 25% Level (SRC25)
** Session Range Candles + 25% Level (SRC25)**, also known as The Essence Model, is a multi-session analysis tool for futures and forex traders who use an ICT-influenced or session-based framework. It consolidates the three primary trading sessions — Asia, London, and New York — into a single, clean overlay that surfaces the session structure, key price levels, and historical behavioural statistics without requiring you to switch timeframes or manually draw levels each day.
The indicator is built around one core idea: that understanding the relationship between how Asia and London sessions form relative to each other, and how New York then behaves within that context, gives you a repeatable, statistical basis for anticipating price delivery. Everything the indicator draws and measures flows from that relationship.
---
## How It Works — Core Concepts
### Session Candles
For each of the three sessions, the indicator builds a composite candlestick representing the full session range — open, high, low, and close — updated live as each session progresses. These session candles are displayed to the right of the current price in the chart's future space, positioned side by side so you can see all three sessions at a glance without cluttering the main chart.
Asia runs 18:00–02:00 ET.
London runs 02:00–08:00 ET.
New York runs 08:00–17:00 ET.
Each candle shows its body (semi-transparent fill), upper and lower wicks, and high/low price labels. The candles are monochrome — direction is read from body position (open vs close) rather than colour, keeping the display uncluttered.
**Candle display rules by session phase:**
During the **Asia session**, only the live Asia candle is shown. London and NY slots are empty — no stale prior-day candles carry over into a new cycle.
During the **London session**, the completed Asia candle is shown alongside the live London candle. The NY slot remains empty until NY opens.
During the **NY session**, all three candles are visible: the completed Asia, the completed London, and the live NY updating in real time.
**Between sessions** (after NY closes and before the next Asia opens), all three completed candles remain visible until the next Asia session starts the cycle fresh.
### The 25% Level
For each completed session candle, the indicator calculates a **25% level** based on the candle's body (the open-to-close range), direction-aware:
On a **bullish candle** (close ≥ open), the level sits in the upper quarter of the body — body top minus 25% of the body range. This marks the zone above which the candle is considered to have delivered into premium.
On a **bearish candle** (close < open), the level sits in the lower quarter of the body — body bottom plus 25% of the body range. This marks the zone below which the candle has delivered into discount.
The 25% level appears in two places. First, as a short horizontal tick extending rightward from the candle body in the session candle panel. Second, as a horizontal line drawn across the main price chart, running from the session's opening bar to the current bar, labelled with the session name and "25%".
The chart line is what traders interact with in real time. It shows where the 25% level sits relative to live price action. The stats table then quantifies — historically and filtered by today's regime — how NY tends to interact with that London 25% level, making it the primary reference for intraday entry context.
### Session H/M/L/O Lines
The indicator also draws up to four horizontal reference lines extending from the session's opening bar to the current bar: the session **High**, the session **Mid** (arithmetic midpoint of high and low), the session **Low**, and the session **Open**. Each is independently togglable and labelled at the right edge. These lines give you the most relevant reference prices from completed sessions without needing to draw them manually.
### Session Open Vertical Lines
At the exact bar where each session opens, a vertical line is drawn extending the full height of the chart, labelled with the session name. These act as visual dividers making session boundaries immediately clear.
---
## Session Structure (Regime)
The core analytical concept driving the statistics table is the structural relationship between Asia and London — specifically, how London's high and low relate to Asia's high and low. The indicator classifies each completed Asia→London pair into one of five regimes, compared wick-to-wick (full session highs and lows, not bodies):
**London Engulfs Asia** — London's high exceeded Asia's high AND London's low went below Asia's low. London expanded beyond Asia in both directions.
**Asia Engulfs London** — Asia's high was at or above London's high AND Asia's low was at or below London's low. London formed entirely within Asia's range.
**London Partial Up** — London's high exceeded Asia's high, but London's low held at or above Asia's low. London broke out to the upside only.
**London Partial Down** — London's low went below Asia's low, but London's high stayed at or below Asia's high. London broke out to the downside only.
**Inside** — London's range fell entirely within Asia's range without touching either extreme.
**Important:** the regime is only confirmed once London has fully closed (i.e. when NY opens). During the Asia and London sessions, the Structure row in the stats table displays "Pending (London open)" to prevent showing an incomplete or misleading classification. The regime shown in the table always refers to the completed Asia→London pair for the current trading day.
---
## Stats Table
The stats table is the indicator's most powerful feature. It answers the question: given today's Asia-London structure, how has New York historically behaved?
### How the History Is Built
Each time a full Asia→London→NY cycle completes — detected at the opening bar of the next Asia session — that cycle's data is committed to a historical array. The number of sessions retained is controlled by the Lookback input (default 252, approximately one trading year). Every percentage shown in the table is derived from this rolling history.
The stats loop filters the history to only those cycles where the Asia-London regime **matches today's current regime**, then calculates frequencies across that filtered subset.
### REGIME Section
**Structure** shows today's Asia-London regime classification, or "Pending (London open)" while London is still active.
**Occurrences** shows how many times this regime has appeared in the lookback window, displayed as N / total sessions analysed. This is your sample size indicator — treat regimes with fewer than 15–20 occurrences with caution.
**Asia Range (avg | cur)** shows the average Asia session range across all sessions in the lookback period, followed by today's Asia range in points.
**London Range (avg | cur)** shows the same for London — historical average versus today's current range in points.
### NY BEHAVIOUR Section
All percentages here are filtered to sessions where the Asia-London regime matches today's.
**NY Bullish** — the percentage of matching sessions where NY closed above its open.
**London High Taken** — the percentage where NY's high reached or exceeded London's session high.
**London Low Taken** — the percentage where NY's low reached or went below London's session low.
**Sequential H+L** — the percentage where NY took both London's high and London's low in the same session. A high reading here suggests NY tends to run both sides of the London range under this regime, implying choppier or more two-sided price action.
**NY Open Above Lon Mid** — the percentage where NY's opening price was above the London session midpoint. This can be read alongside NY Bullish to understand whether the open position tends to predict the close direction.
### Wick Interaction Rows
These rows adapt based on whether today's London session closed bullish or bearish, measuring how NY interacted with the London 25% level. The denominator for all wick rows is the number of bullish (or bearish) London sessions within the regime-matched set — not the total regime count.
**When London closed bullish:**
*NY Stays Above Lon 25%* — the percentage of bullish London sessions (within the regime) where NY's low never traded below the London 25% level. NY respected the upper quarter of the London body throughout the session.
*Wick < Lon 25% → Close Above* — NY wicked below the London 25% level at some point but ultimately closed above it. This is the classic liquidity sweep and recovery pattern — historically the most operationally useful row for identifying long entry context when NY trades into that zone.
*Wick < Lon 25% → Close Below* — NY wicked below the London 25% level and failed to recover. A high reading here would warn that trading below the 25% zone is a bearish continuation signal rather than a sweep.
*Wick < Lon Low → Close Above* — NY extended below London's full session low (a complete sweep of the London low) but closed back above it. A high reading here indicates the London low is frequently swept as a stop-hunt before NY recovers.
**When London closed bearish:**
*NY Stays Below Lon 25%* — NY's high never reached the London 25% level. The bearish delivery was uninterrupted.
*Wick > Lon 25% → Close Below* — NY wicked above the London 25% level but closed below it. The mirror of the bullish sweep pattern — potential short entry context when NY rallies into that zone.
*Wick > Lon 25% → Close Above* — NY wicked above the 25% level and failed to close below it. A high reading signals that moves above the 25% zone tend to hold, warning against fading rallies.
*Wick > Lon High → Close Below* — NY extended above London's full high but closed back below it. A high reading indicates the London high is frequently swept before NY resumes lower.
### TODAY Section
**London 25%** — whether the completed London session's close was above its open ("Above (bull)") or below its open ("Below (bear)"). This determines which set of wick interaction rows is shown.
**NY Open** — whether NY's opening price was above or below the London session midpoint. Updated once NY opens.
**London High** — whether NY has taken London's high yet ("Taken ✓") or not yet ("Pending"). Updates live during the NY session.
**London Low** — whether NY has taken London's low yet ("Taken ✓") or not yet ("Pending"). Updates live during the NY session.
---
## Interpreting the Stats Table
**Step 1 — Check the regime and sample size.** Once London closes, read the Structure row. Then check Occurrences. A regime appearing 40 or more times in 252 sessions gives you a meaningful base rate. Fewer than 15 occurrences is too thin to trade mechanically from.
**Step 2 — Read the directional bias.** NY Bullish gives you the baseline expectation for NY's close direction under this regime. Combine it with NY Open Above Lon Mid — if NY opens above the London midpoint AND NY Bullish is high, the probability of a bullish close is further supported by position. If they diverge, the session is more likely to be contested.
**Step 3 — Set the 25% level expectation.** This is the most operationally useful step. If London closed bullish, look at the three wick rows. A high "Wick < Lon 25% → Close Above" reading (e.g. 60%+) tells you that historically, when NY dips below that upper quarter of the London body, it tends to recover above it. This provides a framework for anticipating where NY might seek liquidity before continuing higher, and gives you a probabilistic basis for a long setup in that zone.
**Step 4 — Assess the London level take rates.** High London High Taken combined with low London Low Taken suggests NY tends to run to the upside of the London range. High Sequential H+L suggests NY routinely sweeps both extremes — in that case, plan for multiple liquidity events rather than a clean one-directional move.
**Step 5 — Track the TODAY section during NY.** Once NY is open, the London High and London Low rows tell you in real time whether the key liquidity levels have been swept. Cross-reference with the historical rates from the behaviour section to assess whether NY is behaving consistently with its historical pattern or deviating from it.
---
## Input Configuration
### Asia, London, and NY Sessions
Each session has an identical set of inputs configured independently:
**Show Candle** enables or disables the session candle in the right-side panel.
**Show Session Open Line** draws a vertical line at the moment the session opens. The line colour, style (Solid / Dashed / Dotted), and width are configurable. An optional label can be shown alongside the line, with size options of tiny, small, or normal.
**Show H/M/L/O Lines** enables the horizontal reference lines on the main chart. Each of the four levels — High, Mid, Low, and Open — has its own toggle so you can show only the levels relevant to your workflow. The line colour, style, and width are shared across the four levels for that session. Label size is also configurable.
**Show 25% Line on Chart** enables the horizontal 25% level line on the main chart. Colour, line style, width, and label size are independently configurable per session.
*Note: NY does not have H/M/L/O or 25% chart lines while the NY session is live — those lines only appear once NY has closed, so they do not interfere with reading the active session.*
### Session Candles (shared settings)
**Offset from chart (bars)** — how far to the right of the last price bar the candle panel begins. Increase this if the candles overlap with your price action or labels.
**Candle width (bars)** — the width of each session candle box measured in bar units. Adjust to taste based on your chart zoom level.
**Spacing between candles** — the gap between adjacent session candles in bar units.
**Body fill transparency** — controls how transparent the candle body fill is. 0 is fully opaque, 100 is invisible. Default 85 gives a subtle fill.
**Show wicks** — enables the upper and lower wick lines on each session candle.
**Show high/low labels** — shows price labels at the high and low of each session candle.
**Label size** — applies to the candle price labels (tiny / small / normal).
**Show 25% tick on candle** — draws a short horizontal tick at the 25% level extending rightward from the candle body in the panel.
### Stats Table
**Show Stats Table** — master toggle for the entire table.
**Lookback (sessions)** — the number of completed Asia→London→NY cycles to include in the historical analysis. Default is 252 (approximately one trading year). Minimum 10, maximum 2000. A longer lookback smooths out regime-specific anomalies but may include structural market conditions that are no longer relevant. A shorter lookback is more reactive but produces smaller sample sizes per regime.
**Table Position** — nine position options covering all corners and edge midpoints of the chart.
**Text Size** — Tiny, Small, or Normal. Small is the default and works well on most monitor sizes.
**Background** — background colour and transparency of the table panel.
**Text colour** — colour applied to all table text.
**Border** — colour of the table cell borders and outer frame.
---
## Chart Elements Summary
**Vertical lines** at each session open, labelled Asia, London, or NY — mark the session boundaries across the full chart height.
**Session candle panel** to the right of price — three side-by-side composite candles showing the OHLC of each session, with wicks, price labels, and 25% ticks.
**Horizontal lines on the main chart** — H/M/L/O and 25% lines from completed sessions, each starting from the session's opening bar and extending to the current bar, labelled at the right edge.
**Stats table** — historical frequency analysis conditioned on today's Asia-London regime, showing NY behavioural tendencies and live session tracking.
---
## Recommended Usage
**Timeframe:** The indicator is designed for intraday charts, typically 1-minute through 15-minute. Session detection is time-based, not candle-count-based, so it works correctly on any timeframe as long as your chart covers the relevant session hours.
**Instrument:** Originally developed for NQ (Nasdaq 100 E-mini Futures). Works on any instrument that trades during the defined session windows. All session times are referenced to the America/New_York timezone.
**Daily workflow:**
During Asia — observe the Asia candle building. The H/M/L/O lines begin plotting from the Asia open. Note the range size relative to the historical average shown in the table.
At the London open — Asia is now complete. The regime begins forming as London trades relative to the Asia range. Monitor London's progress.
At the NY open — London is complete. The regime is confirmed and the stats table populates with the full historical analysis. Read the NY Behaviour section to set your expectations for the session. Note whether NY opened above or below the London midpoint, and note the current London 25% level on the chart.
During NY — use the wick interaction rows to frame entries. Watch the London High and London Low rows in the TODAY section to track whether liquidity levels are being swept. Assess NY's behaviour against the historical tendencies for this regime.
---
## Notes and Limitations
**Sample size matters.** Regimes with fewer than 15–20 occurrences in your lookback window should be treated with caution. The percentages are directionally informative but not statistically robust at small sample sizes. Always read Occurrences before relying on the behaviour rows.
**The 25% level uses candle bodies, not wicks.** It measures where price closed relative to the open, not the full session range. This is intentional — body-based levels represent committed directional delivery, while wicked extremes may represent temporary liquidity events that the body then rejected.
**Regime is confirmed at NY open only.** Showing a regime mid-London-session would compare a developing candle against a completed Asia candle, producing classifications that can change as London continues. The "Pending (London open)" display is by design.
**History is built session by session.** If you add the indicator mid-session, the current incomplete session will not be committed to history until the next Asia open. All statistics reflect only fully completed Asia→London→NY cycles.
**The wick interaction row denominators are direction-matched, not regime-total.** The bullish wick rows divide by the count of bullish London sessions within the regime. The bearish wick rows divide by bearish London sessions. This means these rows cannot be compared directly against NY Bullish or the London take-rate rows, which use the full regime count as their denominator. Indicator
ALN Sessions [NQ Stats x CantoLab]A statistical tool for NQ intraday traders built around research from NQ Stats (NQStats on twitter / nqstats.com ). Credit to NQ Stats for the original concept and data — published here as an open source indicator with permission.
Introduction
This indicator visualizes Asia and London session ranges on NQ (NASDAQ futures), then overlays statistically-derived probability levels showing how likely price is to sweep each session's high or low — based on historical pattern data compiled by NQ Stats.
How to Read the Probability Numbers
When London session closes, two horizontal lines appear — one above (London High) and one below (London Low) — each labeled with a percentage like 81.1% or 74.9%.
These numbers answer: "Historically, how often does price return to sweep this level after London closes?"
For example, if you see 81.1% on the high line, it means: in roughly 8 out of 10 historical sessions matching this pattern, price eventually traded back up to or through the London High
What happens when a level is hit?
The label updates to show in blue — confirming that level was reached
The other line's probability updates to a new conditional probability, e.g. 46% , shown in brackets
This delta tells you how the odds of sweeping the second level changed now that the first was reached
The Four Patterns (Asia vs London relationship)
The probabilities change depending on how London's range relates to Asia's range that day. The indicator detects four patterns automatically:
London Engulfs Asia — London trades both above AND below Asia's range. The most expansive session structure.
Asia Engulfs London — Asia's range fully contains London's range. London consolidates inside the prior overnight range.
London High Break — London breaks only above Asia's high, leaving Asia's low intact.
London Low Break — London breaks only below Asia's low, leaving Asia's high intact.
Each pattern has its own set of historical probabilities, so the percentages you see are always contextual to that day's Asia/London relationship — not a fixed number.
Settings
Asia Session — color, session time window, and label text
London Session — color, session time window, and label text
Label Size — Tiny / Small / Normal / Large
Border — toggle, style (Solid/Dashed/Dotted), and width for session boxes
Probability Lines — toggle, Auto color or manual color pick, style (Solid/Dashed/Dotted), and width
Daily Dividers — toggle, color, style (Solid/Dashed/Dotted), and width
Notes
Built for NQ Futures. Behaviour on other instruments is untested
All times are New York time
Probability data is derived from 10 years of NQ historical data by nqstats.com
This indicator does not provide financial advice or a complete strategy. You are responsible for how you build around and execute on this data
⚠️ Important
This is a statistical study indicator. It does not guarantee that the London high or low will be hit. Over a large sample, this is the expected behaviour based on 10 years of NQ data. It is best combined with other confluences to confirm direction — this indicator alone is not a strategy.
Indicator
Hour Stats [NQ Stats x CantoLab]A statistical tool for NQ intraday traders built around research from NQ Stats (NQStats on twitter / nqstats.com). Credit to NQ Stats for the original concept and data — published here as an open source indicator with permission.
What it does?
For each New York session hour (08:00 – 16:00 NY time), the indicator tracks a specific setup:
1)Price opens strictly inside the prior hour's range
2)Price breaches the prior hour high or low by at least 1 tick (0.25 pts)
3)Whether price reverts back to the current hour open before the hour closes
Only the first breach per hour is counted. Reversion is confirmed when any bar's wick touches or crosses the hour open after the breach occurs.
What gets plotted
When the setup triggers, the indicator draws the following levels for that hour:
Hour Open — the high probability reversion target. In Simple mode labelled as "High Prob. Retrace", in Advanced mode shows the statistical probability based on which 20-minute segment the breach occurred in
PHH / PHL Swept — marks the breached prior hour high or low
PHH / PHL Target — the opposite side of the prior hour range, the secondary target if reversion extends further
PHM (Prior Hour Mid) — the equilibrium of the prior hour range, visible in Advanced mode only
Sweep Mark — a small shape plotted on the candle where the breach is first detected (x, +, or diamond, configurable)
Vertical dividers — split each hour into its three 20-minute segments
Simple vs Advanced mode
Simple — shows Hour Open, swept level, and opposite target. Clean and uncluttered for execution focus.
Advanced — adds the Prior Hour Mid level and overlays per-segment reversion probabilities directly on the prior hour high and low, showing the statistical likelihood of reversion depending on when in the hour the breach occurs.
Advanced Mode - The 20-minute breakdown
Each hour is divided into three 20-minute windows (00–20, 20–40, 40–60). The timing of the breach within these windows significantly affects reversion probability.
As a general rule, first segment breaches carry the highest probability of reversion — the 09:00 hour first segment sits at 87.4% historically. Probabilities are pulled from 10 years of NQ data.
Settings
Mode — Simple or Advanced
Show History — keep or clear previous setups as new ones form
Time Filter — toggle NY session filter on/off, adjustable session window
Show Optimal Timeframe Message — on-chart warning if you are above 5min timeframe
Per-level toggles — color, style (Solid/Dotted/Dashed) and width for each plotted level
Sweep Mark — toggle, color, and shape
Notes
Built for NQ Futures. Behaviour on other instruments is untested
Best used on 1m – 5min timeframes. Warning displays above 5min, error displays at 60min and above
All times are New York time
Probability data is derived from 10 years of NQ historical data by @NQStats
This indicator does not provide financial advice or a complete strategy. You are responsible for how you build around and execute on this data
Indicator
ALN Sessions NQ 8am Prediction Model v3ALN Sessions — NQ Structural Framework
A structural analysis tool for NQ E-Mini Futures based on the Asia / London / New York overnight session relationships documented at nqstats.com.
All probability data is sourced directly from the 10-year study published at nqstats.com (2016–2026, n = 2,542 sessions). Full methodology and pattern breakdown available at: nqstats.com
What it does
At the 08:00 ET bar close (London session end), the indicator classifies the overnight structure into one of four patterns based on how the London range relates to the Asia range:
P1 - London Engulfs Asia (22% of sessions) — London expands beyond Asia on both sides. Symmetric two-way volatility into NY. No directional edge.
P2 - Asia Engulfs London (6.9%) — London compresses inside Asia. Strongest setup — NY broke at least one level in every session over 10 years.
P3 - Partial Engulf Up (41%) — London broke the Asia high but held the Asia low. Bullish overnight lean. High breaks in 80.8% of NY sessions.
P4 - Partial Engulf Down (30.2%) — London broke the Asia low but held the Asia high. Bearish overnight lean. Low breaks in 75% of NY sessions.
Features
Session boxes for Asia, London, and optional NY
London and Asia high/low levels extended into the NY session
Break probability labels on London Hi/Lo at the NY open
Previous day high/low lines with % distance
Live break detection labels when London levels are crossed
Conditional first-break edge display for P3 and P4 (the key edge degrades ~30pp if the wrong side breaks first)
Stats dashboard table with dark/light mode
Full customization — colors, label sizes, label placement, line styles, table position
Credit
Pattern definitions, session times, and all probability statistics are the original research of nqstats.com. This indicator is a visual implementation of that framework. Please visit nqstats.com to understand the full methodology before using this tool in a trading context.
This indicator is for educational and informational purposes only. Past probabilities do not guarantee future results. Indicator
Session Statistical Levels## Session Statistical Levels
A universal session range statistics indicator that calculates the historical distribution of how each trading session has behaved and plots those levels forward from the current session's opening price. Works on any instrument, any timeframe, and tracks up to four sessions simultaneously — Asia, London, New York, and a fully configurable custom session.
Everything here is derived live from your chart's own price history. The levels update at the open of each new session and extend rightward as the session develops.
---
## IMPORTANT DISCLAIMER
All statistics are calculated in real time from your chart's own bar history within the chosen lookback window. This means:
- Statistics will differ between users depending on chart history available and the lookback setting chosen.
- The indicator requires a minimum of 2 completed sessions to begin drawing levels, but meaningful statistics require at least 20–30 sessions. The more history available, the more stable the percentile estimates.
- Past session behaviour does not guarantee future outcomes. Any individual session can deviate significantly from historical distributions, particularly around major news events or unusual volatility conditions.
- The indicator is most meaningful on instruments with well-defined, recurring session structure — futures, forex, and index products tend to work best.
---
## Core Concept
At the open of each tracked session, the indicator looks back through all completed sessions within the lookback window and asks: *how large was this session's range, and how far did price travel above and below the opening price?* It builds a statistical distribution from those completed sessions and draws the key percentile levels as horizontal lines extending forward from the current session's open price.
Every level is expressed as an **offset from the session open** — so a level labelled "NY P75" placed 200 points above the NY open means that in 75% of historical NY sessions, the session high was within 200 points of the open. The mirror level 200 points below means the same applies to the downside.
This gives you a live, continuously updated picture of where price is relative to what is historically normal for the current session.
---
## Sessions
Four sessions are tracked, each independently toggled:
**Asia** — 7:00 PM to 2:00 AM ET. Captures the overnight Asian market session.
**London** — 2:00 AM to 8:00 AM ET. Captures the European open and London session.
**New York** — 8:00 AM to 4:00 PM ET. Captures the US cash equity and futures session.
**Custom Session** — User-defined. You specify the start time, end time (both in HHMM format, Eastern Time), and a display label. This can be used to isolate any sub-session you find useful — for example, the opening drive (8:00–10:00 AM), the London close overlap (10:00 AM–12:00 PM), or an overnight Globex window. All the same statistics and levels are calculated for the custom session as for the named sessions.
All session times use the **America/New_York timezone** and do not automatically adjust for daylight saving transitions in other regions.
---
## Levels Explained
All levels are drawn as horizontal lines extending from the session open bar. They are extended bar by bar throughout the session. Each level appears both **above** (positive offset) and **below** (negative offset) the session open, reflecting that the distribution is applied symmetrically — the session could run in either direction.
### Median (P50)
The median session range. Half of all historical sessions in the lookback window had a total range smaller than this, half had larger. This is the central reference point — if price has already moved the median range from the open, the session has covered "normal" territory.
Displayed as a dashed line above and below the open, labelled e.g. `NY Med` and `NY -Med`.
### IQR Band (P25 / P75)
The interquartile range — the middle 50% of historical session ranges. The P75 line above the open means 75% of sessions had their high within this distance of the open; the P25 line means 25% of sessions exceeded this level on the upside.
Together the P25 and P75 lines form a band representing where the session range most commonly falls. Price moving beyond the P75 level is entering the upper quarter of historical sessions by range. An optional fill between these lines visually highlights the band.
Displayed as dotted lines, labelled e.g. `NY P75` / `NY P25`.
### P10 / P90
The outer 80% band. The P90 level above the open represents a large range day — only 10% of historical sessions have extended further. The P10 level is the inner boundary, below which only 10% of sessions failed to reach.
These levels help identify when a session is developing into an unusually large or unusually small range day. An optional fill between the outer and inner bands provides additional visual context.
Labelled e.g. `NY P90` / `NY -P90`, `NY P10` / `NY -P10`.
### P95
An optional extreme outlier level. Only 5% of sessions have extended beyond this distance from the open. Useful for identifying historically rare range expansions — not shown by default as they are rarely reached and can visually clutter the chart.
### Mean
The arithmetic average session range, plotted symmetrically above and below the open. Because session ranges tend to have a right-skewed distribution (occasional very large range days pull the average up), the mean is typically somewhat higher than the median. When the mean and median are noticeably different, it indicates the presence of outlier sessions in the lookback window.
Displayed as a dashed line, labelled e.g. `NY Mean` / `NY -Mean`.
### Mean ± 1 Standard Deviation
Optional. Plots lines one standard deviation above and below the mean range. Note that standard deviation assumes a roughly normal distribution, which session ranges typically do not follow — they tend to be right-skewed with fat tails. For this reason the StDev bands are disabled by default and the percentile-based levels (which make no distributional assumptions) are preferred. The tooltip in the settings explicitly flags this limitation.
Labelled e.g. `NY +1SD` / `NY -1SD`.
---
## Directional MAE / MFE Levels
This is the most distinctive feature of the indicator, and requires some explanation.
The indicator tracks each completed session as either **bullish** (closed above the opening price) or **bearish** (closed below the opening price). For each category it separately records:
- **MFE (Maximum Favourable Excursion)** — how far price moved in the winning direction before the session closed. For bull sessions this is the maximum distance above the open; for bear sessions it is the maximum distance below the open.
- **MAE (Maximum Adverse Excursion)** — how far price moved against the eventual session direction before recovering. For bull sessions this is the maximum distance price dropped below the open before closing higher; for bear sessions it is the maximum distance price rose above the open before closing lower.
From these directional arrays the indicator calculates and plots:
**Bull MFE50** — the median upside excursion on bull sessions. In 50% of sessions that closed above the open, price ran at least this far above the open at some point during the session. Plotted above the open.
**Bull MFE75** — the 75th percentile upside excursion on bull sessions. A higher-probability upside target for sessions that are developing as bullish.
**Bull MAE50** — the median adverse dip on bull sessions. Even in sessions that ultimately closed higher, price dipped at least this far below the open half the time. Plotted below the open. This is a guide to how much heat a long position from the open has historically needed to absorb before the session recovered.
**Bear MFE50** — the median downside excursion on bear sessions. In 50% of sessions that closed below the open, price fell at least this far. Plotted below the open.
**Bear MFE75** — the 75th percentile downside excursion on bear sessions.
**Bear MAE50** — the median adverse rally on bear sessions. Even in sessions that ultimately closed lower, price bounced at least this far above the open half the time. Plotted above the open.
### How to Use MAE / MFE
The MAE levels are particularly useful for position sizing and stop placement. If the Bull MAE50 for the NY session is 40 points, then a stop placed less than 40 points below the NY open on a long trade has historically been triggered in more than half of all ultimately bullish sessions — not because the trade was wrong, but because intraday chop reached that depth before the session recovered. Knowing this helps calibrate stop distance relative to historical session behaviour.
The MFE levels are useful as probabilistic targets. If NY Bull MFE75 is 150 points above the open, that level represents a target that 75% of historical bull sessions have reached or exceeded on the upside.
**Important:** the MAE/MFE levels are only drawn when there are at least 2 sessions of each type (bull or bear) in the lookback window. On instruments or sessions with very few bull or bear sessions in the lookback period, these levels may not appear or may be based on a very small sample.
The bull/bear session count is visible in the stats table (shown as e.g. `15b/12B` — 15 bull sessions, 12 bear sessions).
---
Stats Table
The stats table provides a numerical summary of the range distribution for each active session. It is shown at the bottom of the chart and updates on the last bar.
Session — Session name, plus bull/bear session count (e.g. NY 45b/38B). The bull count (lowercase b) shows how many sessions in the lookback window closed above their opening price; the bear count (uppercase B) shows how many closed below.
N — Total number of completed sessions in the lookback window for this session. This is your effective sample size — if it is low, treat the percentile levels with less confidence.
P25 — 25th percentile of session ranges in points. Three quarters of historical sessions had a range larger than this. A session still inside this level is developing as an unusually narrow range day.
P50 Med — Median (50th percentile) session range in points. Half of historical sessions had a smaller range, half had larger. This is the central reference point for what a typical session looks like.
P75 — 75th percentile of session ranges in points. Only one quarter of historical sessions exceeded this range. Price moving beyond the P75 level on the chart means the session is in the upper quarter of historical range days.
P90 — 90th percentile of session ranges in points. Only 10% of historical sessions exceeded this range. A session reaching the P90 level is a statistically large range day.
Mean/SD — The arithmetic mean session range and its standard deviation, both in points, displayed as mean/SD. Because session ranges tend to be right-skewed, the mean will typically be somewhat higher than the median. A large gap between the two indicates the presence of outlier sessions pulling the average up.
Sessions that are currently toggled off are shown with a grey background. The bottom row shows the current lookback setting as a reminder.
All range values in the table are in the **native points of the instrument** — the same units as the price axis.
---
## Fills
When fills are enabled, semi-transparent shaded regions are drawn between the P25/P75 band and between the P10/P90 band. These provide a quick visual read of where the session range typically falls without needing to read individual level labels. The fill colours are independently configurable. Fills are extended bar by bar as the session progresses alongside the lines.
---
## How to Use This Indicator
**At the session open:** The levels are drawn immediately from the opening bar. Note where price is relative to the P25, P50 and P75 levels — this sets the context for how large a range you might expect.
**During the session:** As price moves away from the open, the levels tell you where you are in the historical distribution. Price passing through the P75 level means the range has entered the upper quarter of historical sessions. Price still inside the P25 level late in the session suggests a narrow, below-average day.
**For target setting:** The MFE levels (bull or bear depending on the direction the session is developing) provide historically grounded targets. The P50 MFE is a conservative target; P75 MFE is more ambitious but still within the range of the majority of directional sessions.
**For stop placement:** The MAE levels provide context for how much adverse movement has historically occurred even in ultimately successful sessions. Stops placed tighter than the MAE50 level have historically been triggered in more than half of all sessions that eventually moved in the intended direction.
**Comparing sessions:** With multiple sessions visible simultaneously, you can compare how the current session's range compares to the Asia or London session that preceded it. An NY session already exceeding the Asia P90 level early in the day is developing into an unusually large range day by historical standards.
**The custom session** is most useful for isolating specific intraday windows you trade. For example, setting it to 09:30–11:00 gives you statistics purely for the opening drive, without the full-day NY range diluting the picture.
---
## Inputs and Settings
### Global Settings
- **Lookback Sessions** *(default: 100, minimum: 10)* — Number of completed sessions used to build the statistical distributions. Applies to all four sessions. Higher values give more stable percentile estimates but are less responsive to recent regime changes. Lower values track recent conditions more closely but are more susceptible to small-sample noise. A minimum of 30–50 sessions is recommended for reliable percentile estimates; the tooltip suggests 50+.
- **Label Size** *(default: Tiny)* — Size of the text labels on all level lines. Options: Tiny, Small, Normal.
- **Show Stats Table** — Toggle the summary table on or off.
- **Table Position** — Place the table in any corner: Top Left, Top Right, Bottom Left, Bottom Right.
### Sessions
- **Asia (7pm – 2am ET)** — Toggle Asia session levels on or off.
- **London (2am – 8am ET)** — Toggle London session levels on or off.
- **NY (8am – 4pm ET)** — Toggle New York session levels on or off.
- **Custom Session** — Toggle the custom session on or off. When enabled, three further inputs appear:
- **Custom Start (HHMM ET)** — Session start time in 24-hour format, Eastern Time. E.g. `0930` for 9:30 AM.
- **Custom End (HHMM ET)** — Session end time. E.g. `1200` for noon.
- **Custom Label** — The name shown on level labels and in the stats table for this session.
### Levels to Show
- **Median (P50)** — Toggle median lines on or off.
- **IQR Band (P25 / P75)** — Toggle the interquartile range lines and fill on or off.
- **P10 / P90** — Toggle the outer percentile lines and fill on or off.
- **P95 (extreme sessions)** — Toggle the P95 extreme level on or off. Off by default.
- **Mean** — Toggle mean lines on or off.
- **Mean +/- 1 StDev** — Toggle standard deviation bands on or off. The tooltip notes these are less reliable for skewed data and percentile levels are preferred.
- **MAE / MFE (bull+bear sep.)** — Toggle the directional max adverse/favourable excursion levels on or off. The tooltip explains these are excursions from the session open.
- **Separate Bull/Bear levels** — When MAE/MFE is enabled, this toggle determines whether bull and bear levels are drawn separately (on) or combined (off). Keeping this on is recommended as combining directional excursion data from bull and bear sessions produces less meaningful levels.
### Style
All colours are individually configurable:
- **Median color** *(default: near black)*
- **IQR color** *(default: dark grey)*
- **P10/P90 color** *(default: medium grey)*
- **P95 color** *(default: muted red)*
- **Mean color** *(default: dark blue)*
- **StDev color** *(default: medium blue)*
- **MAE color** *(default: muted red)* — used for adverse excursion levels
- **MFE color** *(default: muted green)* — used for favourable excursion levels
- **IQR fill** *(default: very light grey, 92% transparent)*
- **P10/P90 fill** *(default: very light grey, 96% transparent)*
- **Show fills** — Master toggle for all band fills.
---
## Limitations
**Lookback window applies across all sessions equally.** The same lookback count is used for Asia, London, NY, and custom. If you set a lookback of 100, each session independently accumulates up to 100 completed sessions. There is no cross-session weighting — a day with an unusual Asia session does not automatically influence the NY statistics for that day.
**Total number of completed sessions actually captured in the lookback window for this session. This may be significantly lower than your chosen lookback setting — on higher timeframes, PulseWire's bar history limit means fewer historical bars are available, which directly reduces how many completed sessions the indicator can see. If you have set a lookback of 100 but the table shows N=18, your chart does not have enough history loaded for that timeframe. Switching to a lower timeframe or scrolling back further to load more history will increase the session count. If N is low, treat the percentile levels with less confidence.
**Bull/bear split reduces effective sample size.** When MAE/MFE is enabled, the directional arrays only contain sessions of each respective type. With a lookback of 100 sessions and a roughly 50/50 bull/bear split, each directional array will have approximately 50 sessions. With more extreme splits or smaller lookbacks, the directional levels may be based on fewer sessions than the overall range statistics. Always check the bull/bear count in the stats table.
**Session times are fixed to ET.** The indicator does not adapt to other timezone daylight saving changes. Users in regions that observe different DST schedules may notice sessions shifting by one hour at certain times of year.
**Custom session must fit within a single calendar day boundary in ET.** Overnight sessions that cross midnight require careful setup — the standard Asia session (which crosses midnight ET) works correctly because it uses a predefined time string, but custom sessions that cross midnight may not behave as expected depending on how PulseWire resolves the time range.
**Standard deviation limitation.** As noted in the settings tooltip, session ranges are typically right-skewed — occasional very large range days create a long upper tail. Standard deviation assumes a symmetric normal distribution and will underestimate tail risk. The percentile-based levels (P90, P75 etc.) make no distributional assumptions and are more reliable for characterising the actual shape of the distribution.
**Timeframe sensitivity.** The indicator tracks session opens and closes bar by bar. On high timeframes (1H or above), session boundary detection may miss the exact opening bar or fail to capture intrabar session transitions accurately. Recommended timeframes are 1-minute through 30-minute charts. On lower timeframes, more bars are available and session boundaries are captured precisely.
**Past statistics do not predict future outcomes.** A P75 level means that 75% of historical sessions stayed within that range — it does not mean price will stop there, reverse there, or that the current session will follow the historical distribution. Use these levels as probabilistic context, not as targets or stops in isolation.
---
## Technical Notes
- Session ranges and directional excursions are stored in separate per-session arrays, trimmed to the lookback limit using a FIFO approach (oldest session dropped when the limit is reached)
- Lines and fills are extended bar by bar throughout each session using stored object references
- Compatible with all instruments and all timeframes; most accurate on timeframes of 30 minutes or below Indicator
NY vs Asia Statistical Levels## NY vs Asia Statistical Levels
A context-driven overlay indicator that calculates live statistics from your chart's own session history and plots probabilistic price levels for the New York session based on how the preceding Asia session developed and where NY opened relative to it.
This is not a signal generator. It is a statistical framework — a way of answering the question: *given today's Asia range and where NY opened, what does a "typical" session look like from here?*
---
## IMPORTANT DISCLAIMER
All statistics displayed by this indicator are calculated in real time from your chart's own price history. The lookback window is user-defined (default: 100 sessions). This means:
- The indicator requires sufficient chart history to build meaningful statistics. A minimum of 20–30 matching sessions per bucket is recommended before placing significant weight on the numbers.
- Statistics will differ between users depending on their chart's available history and the chosen lookback setting.
- Past session statistics do not guarantee future outcomes. Any individual session can and will deviate significantly from historical norms.
- This indicator is designed for **futures markets that trade with a clear Asia/London/NY session structure** (e.g. NQ, ES, CL, Gold). It is less meaningful on instruments with no meaningful Asia session.
---
## What This Indicator Does
At the New York open (8:00 AM ET), the indicator classifies where NY opened relative to the preceding Asia range into one of four **buckets**:
- **Inside Lower Half** — NY opened within the Asia range, below the Asia midpoint
- **Inside Upper Half** — NY opened within the Asia range, above the Asia midpoint
- **Above Asia High** — NY opened above the Asia session high
- **Below Asia Low** — NY opened below the Asia session low
It then looks back through your chart's history and retrieves only the sessions that match today's bucket. From those sessions it calculates the statistical distribution of:
- How far NY extended above the Asia high
- How far NY extended below the Asia low
- How large the total NY range was, expressed as a multiple of that day's Asia range
- Where price typically reversed from its high or low extension
These distributions are used to draw **probabilistic price levels** on the chart for the current NY session, each labelled with a percentile and a historical hit rate.
---
## Session Boxes
Three coloured boxes are drawn to visually define the session ranges:
- **Asia Box** (default orange) — 7:00 PM to 2:00 AM ET. Tracks the overnight Asia session high and low.
- **London Box** (default blue) — 2:00 AM to 8:00 AM ET. Tracks the London session range.
- **NY Box** (default red) — 8:00 AM to 4:00 PM ET. Expands in real time throughout the NY session.
All boxes can be toggled on or off independently, and their colours, fill transparency and outline visibility are all configurable.
---
## Price Levels
All levels are drawn at the NY open and extend rightward through the session. When a level is touched during the NY session, its line and label turn grey and a ✓ is prepended to the label, confirming it has been hit.
### Asia Range Grid
A symmetrical grid of levels placed at exact multiples of the Asia range above and below the NY open price. For example, if the Asia range was 100 points and NY opened at 21,000, the +1x level sits at 21,100 and the −1x level at 20,900.
Each grid label shows the multiple (e.g. `+2x AR`) and a **hit rate percentage in brackets** — the percentage of past sessions in the current bucket where the NY range covered at least that many Asia ranges in that direction. This tells you how common it is for price to reach each grid level.
The number of multiples displayed above and below (1x through to a user-defined maximum) is configurable.
### Extension Levels (ExtHi / ExtLo)
These levels mark where price has historically **broken out beyond the Asia range boundaries**.
- **ExtHi P50 / P75 / P90** — placed above the Asia high. These are the 50th, 75th, and 90th percentile of how far above the Asia high NY has extended in the current bucket. The P50 level is the *median* extension — half of matching sessions extended at least this far above the Asia high.
- **ExtLo P50 / P75 / P90** — placed below the Asia low, on the same basis.
Each label also shows its **hit rate** — the percentage of past sessions where price actually reached at least that extension level. Since a P50 level is by definition the median, you would expect approximately 50% of sessions to hit it; the displayed hit rate confirms this from your actual data.
When NY opens **inside** the Asia range, both ExtHi and ExtLo levels are drawn, as price could break either direction. When NY opens **above the Asia high**, only ExtHi levels are drawn (ExtLo is less relevant when price has already gapped out). The reverse applies for opens below the Asia low.
### Reversal Levels (RevHi / RevLo)
These answer a different question: **if price extends through the Asia high or low, where does it typically pull back to?**
- **RevHi P50 / P75** — anchored to the ExtHi P50 level. These mark the 50th and 75th percentile of the full range from the extension peak back down to the NY low. In practical terms, RevHi P50 is the level that price has historically reversed back to (or through) in 50% of sessions that extended above the Asia high.
- **RevLo P50 / P75** — the mirror image below the Asia low.
Note: Reversal levels only populate once the indicator has enough sessions in the current bucket where NY actually broke the Asia boundary. If few sessions in the bucket did so, these levels may not appear.
---
## Stats Table
The stats table updates live throughout the NY session and summarises the statistical context for the current day. It can be positioned in any corner of the chart.
| Row | What it shows |
|---|---|
| **Asia Range (pts)** | Today's completed Asia session range in points |
| **Asia Range Z-Score** | How many standard deviations today's Asia range is from the rolling mean. Positive = above average, negative = below average. |
| **Asia Range Pctile** | Percentile rank of today's Asia range within your lookback window. 80th percentile means today's range was larger than 80% of recent sessions. |
| **NY Open vs Asia** | Which of the four buckets today's NY open falls into |
| **Bucket Sessions** | How many sessions in your lookback history match today's bucket. This is the sample size driving all levels and stats. |
| **Sessions Captured** | Total sessions in the lookback window (across all buckets). Lower than your lookback setting means your chart doesn't have enough history loaded. |
| **Median NY Rng (x)** | The median NY range across matching sessions, expressed as a multiple of the Asia range. A value of 2.5x means half of similar sessions had a NY range smaller than 2.5 Asia ranges, half had larger. |
| **Avg NY Rng (x)** | The arithmetic mean of the same NY range multiples. Will be higher than the median if a few large-range sessions pull the average up. |
| **Median NY Rng (pts)** | Median NY Rng (x) multiplied by today's Asia range. This is the expected NY range in price points if today follows a typical session. |
| **Avg NY Rng (pts)** | Avg NY Rng (x) multiplied by today's Asia range. |
| **NY Range (pts)** | The live current NY range (high minus low) in points. Updates every bar during the NY session. |
| **Complete (med)** | Current NY range as a percentage of the Median NY Rng (pts). 50% means you're halfway through a typical session's expected range. 100% means today has already matched the median. Over 100% means today is an above-median range session. |
| **Complete (avg)** | The same calculation but relative to the average expected range instead of the median. |
### How to Read the Completion Rows
The Complete (med) and Complete (avg) rows are live progress indicators during the NY session. They answer: *how much of a typical session's range has already been covered?*
- **Below 100%** — the session range is still within what's historically normal. There may be more range to develop.
- **At 100%** — today's range has matched the median (or average) of past sessions in this bucket.
- **Above 100%** — today is already an above-average range session. This doesn't mean the session is over, but it provides context that you're in an extended move relative to history.
Because the median and mean can differ substantially (particularly in buckets that occasionally see very large range days), it is worth watching both. If Complete (med) is at 120% but Complete (avg) is still at 80%, the session has exceeded a typical day but remains within range of what the average session produces.
---
## How to Use This Indicator
This indicator is best treated as a **contextual framework** to sit alongside your existing analysis rather than as a standalone strategy.
**At the NY open:** Note the bucket (NY Open vs Asia row), check the Bucket Sessions count to confirm you have adequate history, and note the Median and Avg range expectations in points. This tells you roughly what a normal session looks like from here.
**During the session:** Watch the Extension levels for potential targets or reaction points if price is trending. The hit rate percentages on the grid and extension labels tell you how often price has historically reached each level — higher hit rates suggest higher-probability targets.
**If price breaks the Asia high or low:** The Reversal levels become relevant. They mark where price has historically pulled back to after the extension, which may provide fading or re-entry context.
**The completion rows** are most useful as a session progresses. A session at 30% complete early in the day is normal; a session still at 30% with an hour to go suggests a narrow-range day. A session at 150% complete early suggests unusual volatility.
---
## Inputs and Settings
### General
- **Lookback Sessions** *(default: 100)* — The number of completed NY sessions the indicator draws statistics from. All four buckets share this lookback pool. Higher values provide more stable statistics; lower values are more responsive to recent conditions. Note that each bucket will contain roughly one quarter of this number on average — with 100 sessions lookback, each bucket may have around 20–30 matching sessions, which is a reasonable minimum.
- **Label Size** *(default: Small)* — Size of the text labels on price levels. Options: Tiny, Small, Normal.
- **Show Stats Table** — Toggle the stats table on or off.
- **Table Position** — Position the table in any corner of the chart: Top Left, Top Right, Bottom Left, Bottom Right.
- **Table Text Size** *(default: Tiny)* — Font size inside the stats table. Options: Tiny, Small, Normal.
### Session Ranges
- **Show Asia/London/NY Range Box** — Toggle each session box independently.
- **Box Fill Transparency** *(default: 90)* — Controls how transparent the session box fill is. 90 = very faint, 50 = much more visible.
- **Box Outline** — Toggle the dotted border around each session box.
- **Asia/London/NY Box Color** — Colour picker for each session box.
### Asia Range Grid (from NY Open)
- **Show Asia Range Grid** — Toggle the grid on or off.
- **Multiples above & below open** *(default: 3)* — How many Asia range multiples to draw above and below the NY open. Setting this to 3 draws ±1x, ±2x, and ±3x levels.
- **Grid Level Color** — Colour of all grid lines and labels.
- **Grid Line Style** — Solid, Dashed, or Dotted.
- **Grid Line Width** — Thickness of grid lines, 1–4.
### Statistical Levels
- **Show Extension Levels** — Toggle ExtHi/ExtLo P50/75/90 levels on or off.
- **Show Reversal Levels** — Toggle RevHi/RevLo P50/75 levels on or off.
- **Extension Above Color** — Colour for upside extension levels (ExtHi).
- **Extension Below Color** — Colour for downside extension levels (ExtLo).
- **Reversal Level Color** — Colour for reversal levels.
- **Hit Level Color** — Colour that levels and labels change to once they have been touched during the session.
---
## Limitations
**Sample size is everything.** The statistics are only as reliable as the number of matching sessions in your lookback window. If your chart has limited history, or if today falls in a less-common bucket (e.g. "Above Asia High" or "Below Asia Low"), the bucket may contain very few sessions and the levels should be treated with correspondingly less confidence. Always check the Bucket Sessions row before relying on the numbers.
**Timeframe requirements.** The indicator tracks session highs and lows bar by bar. On very high timeframes (e.g. 1H or 4H), session boundaries may not be captured accurately. Recommended timeframes are 1-minute through 30-minute charts. The stats table will show fewer sessions captured on higher timeframes due to limited bar history on PulseWire.
**Session times are fixed to America/New_York timezone.** Sessions are defined as: Asia 7:00 PM–2:00 AM ET, London 2:00 AM–8:00 AM ET, New York 8:00 AM–4:00 PM ET. These do not adjust for other regions' daylight saving transitions.
**Reversal levels require extension sessions only.** The RevHi levels are calculated only from sessions where NY actually broke above the Asia high. If few sessions in the bucket did this, the reversal levels may not appear or may be based on a very small sample.
**This is a statistical tool, not a predictive model.** A hit rate of 70% means that in 30% of past sessions, the level was not reached. Any individual session can diverge significantly from historical patterns, particularly around major news events, earnings, or unusual macro conditions.
**The indicator looks back in time, not forward.** All statistics are derived from completed sessions that match today's conditions. The market regime may shift, and probabilities that held over a historical period may not persist indefinitely.
---
## Technical Notes
- Written in Pine Script v5
- Uses `max_lines_count=500`, `max_labels_count=500`, `max_boxes_count=300`
- All statistics are calculated live on the chart from rolling arrays — nothing is hard-coded
- Level lines are extended 5 bars beyond the NY open to ensure they are visible on the opening candle
- The stats table updates on every bar during the NY session and on the last bar of the chart
- Compatible with all instruments and timeframes, though most meaningful on futures with a clear Asia/NY session structure on timeframes between 1-minute and 30-minute Indicator
NQ Hourly Retracement Levels# NQ Hourly Retracement Levels
## Overview
This indicator identifies key price levels derived from hourly opens and midpoints formed during the overnight session (6:00 PM – 7:00 AM New York time) and displays them at the start of the New York futures session (8:00 AM ET). Each level is annotated with a statistically-derived hit rate — the historical probability that price will retrace to that level at some point during the 8:00 AM – 4:00 PM NY futures session.
⚠️ IMPORTANT: These statistics are derived exclusively from NQ (Nasdaq 100 E-mini futures) 1-minute data spanning 2013–2025 (~3,785 trading days). They are only valid when applied to NQ futures. Do not use this indicator on ES, YM, RTY, equities, forex, crypto, or any other instrument — the hit rates will not apply.
---
## What Problem Does This Solve?
During the NY futures session, price frequently retraces to levels established in the overnight session before making its directional move. Knowing which overnight levels have the highest historical probability of being touched — and how far away price currently is from them — helps traders identify high-probability targets and plan entries accordingly.
Rather than eyeballing overnight structure, this indicator quantifies it: each level shown on the chart has been tested across thousands of sessions to determine how reliably price returns to it.
---
## How the Statistics Were Calculated
### Data
- Instrument: NQ (Nasdaq 100 E-mini Futures, continuous contract)
- Source data timeframe: 1-minute bars
- Date range: January 2013 – March 2025
- Total days analysed: ~3,785 NY trading sessions
### Methodology
For each trading day, the following were calculated for every hourly level from 12:00 AM through 7:00 AM NY time (opens and midpoints):
1. Level price — For opens, the first 1-minute bar's open at the start of that hour. For midpoints, the high-to-low midpoint of the entire hourly candle ((high + low) / 2).
2. Retracement check — During the NY futures session (8:00 AM – 4:00 PM ET), every 1-minute bar was checked to see if its high-low range contained the level price (i.e., low ≤ level ≤ high). If yes, the level was marked as "hit" for that day.
3. Hit rate — The percentage of days on which the level was hit: retraced_days / total_days × 100.
4. Session pattern — Each day was classified into one of four patterns based on the relationship between the London session range (2:00 AM – 8:00 AM) and the Asia session range (8:00 PM – 2:00 AM):
- London Engulfs Asia: London high > Asia high AND London low < Asia low
- Asia Engulfs London: Asia high ≥ London high AND Asia low ≤ London low
- London Partial Up: London high > Asia high AND London low ≥ Asia low
- London Partial Down: London low < Asia low AND London high ≤ Asia high
5. Pattern-conditional hit rates — Hit rates were recalculated separately within each of the four session patterns, giving more precise probabilities when the morning pattern is known.
6. Adverse Excursion (MAE) — For each retracement, the maximum adverse move was tracked: how far price moved away from the level (in % terms) before eventually hitting it. This was used to derive a typical "tolerance band" per level — the MAE % shown in the table. In the indicator, this value serves as a reference threshold: the Distance from Level column uses it to colour-code how close current price is to each level, giving a sense of whether the level is immediately in play or still some distance away.
### Important Caveats
- Hit rates are historical averages. Any individual session can and will deviate.
- Hit rates do not indicate direction — they only say that price touched the level, not whether it reversed or broke through.
- A level being "hit" does not constitute a trade signal. It is one input among many.
- Statistics are based on the continuous NQ futures contract. Minor differences may exist between contract months or between NQ and MNQ (Micro NQ).
---
## Levels Displayed
At 8:00 AM NY time, the indicator draws horizontal lines for up to 16 overnight levels, subject to the Minimum Hit Rate % filter. Levels are drawn from most recent to oldest:
- 7–8am Mid — High/low midpoint of the 7:00–8:00 AM hourly candle
- 7am Open — Open price of the 7:00 AM hour
- 6–7am Mid — High/low midpoint of the 6:00–7:00 AM hourly candle
- 6am Open — Open price of the 6:00 AM hour
- 5–6am Mid — High/low midpoint of the 5:00–6:00 AM hourly candle
- 5am Open — Open price of the 5:00 AM hour
- 4–5am Mid — High/low midpoint of the 4:00–5:00 AM hourly candle
- 4am Open — Open price of the 4:00 AM hour
- 3–4am Mid — High/low midpoint of the 3:00–4:00 AM hourly candle
- 3am Open — Open price of the 3:00 AM hour
- 2–3am Mid — High/low midpoint of the 2:00–3:00 AM hourly candle
- 2am Open — Open price of the 2:00 AM hour
- 1–2am Mid — High/low midpoint of the 1:00–2:00 AM hourly candle
- 1am Open — Open price of the 1:00 AM hour
- 12–1am Mid — High/low midpoint of the 12:00–1:00 AM hourly candle
- 12am Open — Open price of the 12:00 AM hour
Lines are colour-coded by their MAE tier (see MAE % explanation below) so you can visually distinguish tighter from wider levels at a glance. Each line is labelled with the level name and its hit rate percentage.
Lines extend bar-by-bar through the NY session and are optionally removed when price touches them (see Remove Level When Hit input).
---
## The Statistics Table
The table (displayed during the NY session) provides a live, per-bar reference for the top 11 levels. It has five columns:
### Column 1 — Level
The name of the overnight level (e.g. "7-8am Mid", "6am Open").
### Column 2 — Hit %
The historical hit rate for this level given today's session pattern. If the pattern cannot yet be determined, the overall (pattern-agnostic) hit rate is shown instead. Levels are listed in descending order of hit rate.
### Column 3 — MAE %
The typical Maximum Adverse Excursion tier for this level. This is the approximate percentage move away from the level that was observed in historical data before price eventually retraced — a rough guide to how much drawdown a position targeting this level may experience before it pays off.
MAE colour coding (also applied to the level lines on the chart):
- Blue (≤ 0.25%) — Very tight. Price tended to reach the level quickly with minimal adverse move.
- Purple (≤ 0.30%) — Tight. Small adverse excursion typical.
- Deep Orange (≤ 0.35%) — Moderate. Some heat expected.
- Teal (≤ 0.40%) — Moderate-wide.
- Orange (≤ 0.45%) — Wide. Requires more tolerance.
- Pink (≤ 0.50%) — Wide. Older or more distant levels.
### Column 4 — Dist Now (live, updates every bar)
The current distance between the last close price and the level, expressed as a percentage: abs(close − level) / close × 100.
Colour coding:
- Green — Distance ≤ MAE %. Price is within the typical adverse excursion range. Level is right here and very much in play.
- Yellow — Distance ≤ 2× MAE %. Price is approaching. Worth watching closely.
- Orange — Distance ≤ 3× MAE %. Level is possible but price needs to travel further to reach it.
- Grey — Distance > 3× MAE %. Level is far away, lower priority for the current bar.
Once a level has been hit, this cell shows "Hit ✓" in teal rather than a distance.
### Column 5 — Status
- Pending (yellow) — Level has not yet been touched this session.
- Hit ✓ (teal) — Price has traded through this level at some point during today's NY session.
### Header rows
- Active Session — Confirms the NY session is live (shown in red). Outside NY hours the table shows "Closed".
- Pattern — The detected London/Asia session pattern for today. This determines which set of conditional hit rates is shown.
- Active Levels — The number of level lines currently drawn on the chart (decreases as levels are hit and removed, if that option is enabled).
---
## Session Boxes
In addition to the level lines, the indicator draws session range boxes for three sessions:
- NY Session (8:00 AM – 4:00 PM ET) — Red by default
- London Session (2:00 AM – 8:00 AM ET) — Blue by default
- Asia Session (8:00 PM – 2:00 AM ET) — Orange by default
Each box tracks the high and low of its session in real time. These boxes serve both as visual context and as the input to the London/Asia pattern detection logic.
---
## Inputs Reference
### Trading Sessions
- Show NY Session (default: On) — Draws the NY session range box.
- NY Session Colour (default: Red) — Colour of the NY box border and background tint.
- Show London Session (default: On) — Draws the London session range box.
- London Session Colour (default: Blue) — Colour of the London box.
- Show Asia Session (default: On) — Draws the Asia session range box.
- Asia Session Colour (default: Orange) — Colour of the Asia box.
- Range Area Transparency (default: 90) — Opacity of the session box fill. 0 = fully opaque, 100 = invisible.
- Range Outline (default: On) — Whether to draw the session box border.
### Hourly Levels
- Show Hourly Levels at NY Open (default: On) — Master toggle. Draws all overnight levels at 8:00 AM.
- Show Hourly Opens (default: On) — Whether to include hourly open levels.
- Show Hourly Midpoints (default: On) — Whether to include hourly midpoint levels.
- Minimum Hit Rate % to Display (default: 75%) — Only levels with a hit rate at or above this threshold are drawn. Raise it to reduce clutter; lower it to see more levels. 75% is a reasonable default for NQ.
- Line Width (default: 1) — Thickness of the level lines. Range: 1–5.
- Retracement Line Style (default: Dashed) — Visual style of the level lines: Solid, Dashed, or Dotted.
- Label Size (default: Small) — Size of the text labels on each line: Tiny, Small, Normal, or Large.
- Remove Level When Hit (default: On) — When enabled, a level line and its label are deleted the moment price touches the level. Keeps the chart clean as the session progresses. Disable if you want all levels to remain visible throughout the session.
### Table Settings
- Show Statistics Table (default: On) — Master toggle for the stats table.
- Stats Table Position (default: Bottom Right) — Where the table appears on the chart. Options: Bottom/Middle/Top combined with Left/Center/Right.
- Stats Table Size (default: Small) — Text size inside the table: Auto, Tiny, Small, Normal, Large, or Huge.
---
## Recommended Usage
1. Apply only to NQ futures (CME: NQ1!, NQ continuous, or a specific front-month contract). The statistics do not transfer to other instruments.
2. Use on a timeframe of 1 minute to 15 minutes for the level lines and distance column to be most meaningful. On higher timeframes, individual bars may span several levels simultaneously.
3. Check the Pattern row in the table at the NY open. The indicator automatically applies pattern-conditional hit rates — so the percentages shown already reflect the historical accuracy for today's specific London/Asia relationship. The Asia Engulfs London pattern historically produces the highest hit rates across nearly all levels; London Engulfs Asia tends to produce the lowest. If the pattern shows as "Unknown" (rare, typically on the first bars of a chart load), the indicator falls back to overall hit rates.
4. Focus on green Dist Now cells at the NY open — these are levels price is already at or very close to. Green means you are within the typical adverse excursion zone, so risk is relatively defined.
5. Use the MAE % as a stop/risk guide — if price is at a level with a 0.25% MAE, a stop placed beyond 0.25% from the level is consistent with how the historical data behaved. This is not a hard rule but a statistical reference point.
6. Hit rate ≠ trade signal. A 94% hit rate on the 7–8am midpoint means price touched that level on 94% of historical days. It says nothing about whether price reversed, broke through, or what the risk/reward of any particular trade was.
---
## Known Limitations
- Replay / historical bars: The Dist Now column is live and reflects the current bar's close. On historical bars it will show the closing price of that bar, not today's live price.
- Pattern detection requires completed sessions: If the London or Asia session data is incomplete (e.g. on the first few bars of a new chart load), the pattern may show as "Unknown" and overall hit rates will be used instead of pattern-conditional rates.
- Level collisions: If two levels are very close in price (within ~0.5 points), their labels may overlap. Switching Label Size to Tiny can help if this is an issue on your layout.
- Contract rollovers: Around futures contract expiry, price gaps can cause overnight levels to be further from price than usual. Exercise judgement during roll weeks.
---
## Methodology Notes
Pattern classification, hit rate calculation, and adverse excursion analysis were computed from 12 years of NQ 1-minute data using Python (pandas). All times are New York (Eastern) time. Indicator
NY 5m & 15m Orb - Statistics & LTF Candle structureNY Opening Range (Enhanced with LTF) - NQ Futures Only
⚠️ IMPORTANT: NQ FUTURES ONLY
This indicator and ALL statistical probabilities are based on 12 years of historical analysis of NQ (Nasdaq-100 E-mini futures) ONLY. The probabilities, median extensions, and predictions are NOT applicable to ES, stocks, forex, or any other instruments. Use on other instruments at your own risk - the statistics will not be valid.
What This Indicator Does
The NY Opening Range (ORB) indicator tracks and visualizes the first 5 minutes (9:30-9:35 AM ET) and first 15 minutes (9:30-9:45 AM ET) of the New York trading session, providing:
Opening Range Zones - Visual boxes showing the high, low, and midpoint of each timeframe
Statistical Extension Levels - Median price targets based on 12 years of NQ data analysis
Lower Timeframe (LTF) Candles - Displays 1-minute candles from the OR period positioned to the right of current price for detailed structure analysis
Live Statistics Table - Real-time probability calculations that update as conditions are met throughout the session
The indicator helps traders identify high-probability setups by showing where price is statistically likely to move based on:
Opening range direction (bullish/bearish)
Which extreme formed first (high or low)
Whether price has broken the range
Current market structure
Key Features
5-Minute ORB (9:30-9:35 AM ET)
Opening range box with customizable bullish/bearish colors
Midpoint line (optional)
Median extension levels at +0.41% (high) and -0.45% (low)
1-minute LTF candles showing internal structure
Extension probability: 84.9% (upside), 81.0% (downside)
15-Minute ORB (9:30-9:45 AM ET)
Opening range box with customizable bullish/bearish colors
Midpoint line (optional)
Median extension levels at +0.38% (high) and -0.42% (low)
1-minute LTF candles showing internal structure
Extension probability: 77.2% (upside), 73.5% (downside)
Statistics Table
The table displays real-time probabilities for:
Direction: Whether the OR candle was bullish or bearish
Extreme First: Which level (high or low) was touched first during the OR period
Extension ↑/↓: Probability that price will break above the high or below the low
Midpoint Retest: Likelihood of price returning to test the midpoint (varies 71-88% based on conditions)
IB Prediction: Predicted direction of Initial Balance (9:30-10:30 AM, varies 50-74%)
Next Break: Most likely direction of next range break (varies 59-80%)
Session Close: Predicted direction of 4:00 PM cash close (varies 49-74%)
Each statistic shows a status indicator:
🟡 Pending (yellow): Condition hasn't been confirmed yet
🟢 Validated (teal): Condition has been met and confirmed
Configuration & Inputs
5-Minute ORB Settings
Colors:
Bullish Color: Color for bullish OR candles (default: bright green)
Bearish Color: Color for bearish OR candles (default: purple)
Bullish Fill / Bearish Fill: Semi-transparent fill colors for the range box
Range Display:
Range Style: Line style for high/low (Solid/Dashed/Dotted)
Width: Border width (1-10)
Show Midline: Toggle midpoint line visibility
Midline Style & Width: Customization for midpoint line
Median Extensions:
Show Median Extensions: Toggle extension levels
Extension Style & Width: Line customization
Show Extension Labels: Display percentage labels on extension lines
LTF Candles:
Show LTF Candles: Toggle 1-minute candle display
Number of Candles: How many recent candles to show (1-20, default: 5)
Offset: Distance from current bar in bars (default: 5)
Candle Spacing: Space between LTF candles (1-5)
Candle Width: Width of each LTF candle body (1-5)
LTF Bullish/Bearish Colors: Colors for LTF candles
Show LTF High/Low Lines: Display range of LTF candles
LTF Range Style, Width & Color: Customization for LTF range lines
15-Minute ORB Settings
(Same structure as 5-minute, with different defaults for LTF offset: 35 bars, and 15 candles)
Labels & Display
Show High/Low/Mid Labels: Toggle price level labels
Show Prices: Include actual price values in labels
Position: Place labels on Left or Right side of range
Statistics Table
Show Statistics Table: Toggle table visibility
Table Position: 9 position options (Top/Middle/Bottom × Left/Center/Right)
Table Size: Text size (Auto/Tiny/Small/Normal/Large/Huge)
Important Notes About LTF Candles
⚠️ Chart Timeframe Requirements:
LTF candles will NOT render properly if your chart timeframe is higher than the ORB timeframe:
For 5-minute ORB: Use chart timeframe ≤ 5 minutes
For 15-minute ORB: Use chart timeframe ≤ 15 minutes
Recommended chart timeframes: 1-minute, 2-minute, or 5-minute for best LTF candle visualization.
The LTF candles are "frozen" at the end of the OR period and displayed to the right of the orb box for the session. They show the internal 1-minute structure of how the opening range formed, which can be valuable for:
Identifying the order of extreme formation
Seeing liquidity sweeps or stop hunts
Understanding the microstructure of the opening auction
How to Read the Statistics Table
The statistics table uses a conditional probability system based on the 5-minute and 15-minute ORB characteristics:
Initial Conditions (Always Shown)
Direction: Bullish if close ≥ open, Bearish if close < open - Always validated
Extreme First: Which level (high or low) was touched first during the OR period - Validated after OR period ends
Progressive Statistics (Shown When Conditions Met)
Extension ↑/↓: Base probabilities that price will eventually break the high/low
Midpoint Retest: Probability varies based on direction + extreme first combination
IB Prediction: Predicted Initial Balance direction based on ORB pattern
Next Break: Most likely next level to break (high or low) based on current conditions
Session Close: Predicted 4PM close direction - only shown after a breakout occurs
Status Indicators
🟡 Pending: Waiting for condition to occur (you're watching for it)
🟢 Validated: Condition has been confirmed (it happened)
Example Interpretation:
5-MIN ORB
Direction: Bullish
Extreme First: Low First
Extension ↑: 84.9%
Extension ↓: 81.0%
Midpoint Retest: 81.8%
IB Prediction: Bullish 68.7%
Next Break: High 79.9%
Session Close: Bullish 67.1%
This tells you:
The 5-min candle closed bullish
The low was tested before the high during 9:30-9:35
Price has broken below the low (Extension ↓ validated)
Despite breaking the low, there's a 79.9% chance the high breaks next
If the high breaks, there's a 67.1% chance of a bullish cash close
Median Extension Levels Explained
The extension levels are NOT stop loss or take profit targets. They represent the median (50th percentile) price extension observed over 12 years of data when the high or low was breached.
5-Minute ORB:
High Extension: +0.41% above the OR high (median upside extension)
Low Extension: -0.45% below the OR low (median downside extension)
15-Minute ORB:
High Extension: +0.38% above the OR high
Low Extension: -0.42% below the OR low
These levels show where price typically extends to, but:
50% of extensions go further than these levels
50% of extensions don't reach these levels
They are reference points, not guarantees
Disclaimer
These Are Statistics, Not Predictions
All probabilities shown in this indicator are derived from historical analysis of 12 years of NQ futures data. They represent what has happened historically, not what will happen.
Important Limitations:
A 75% probability means it happened 75% of the time historically - but also failed 25% of the time
Past performance does not guarantee future results
Market conditions change; regime changes can invalidate historical patterns
Statistics are based on NQ futures only - not valid for other instruments
Risk Warning:
Do NOT trade based solely on these probabilities
Always use proper risk management and position sizing
These statistics should be ONE input among many in your trading decisions
No indicator, system, or probability can eliminate trading risk
You can lose money even when trading "high probability" setups
Recommended Use:
Use probabilities as confluence with your existing trading strategy
Combine with price action, order flow, and market context
Track the statistics yourself to verify they remain valid
Be aware that widely-known statistical edges tend to diminish over time
Technical Considerations
The indicator uses request.security and request.security_lower_tf which may cause repainting on the last bar
LTF candles are "frozen" after the OR period ends to prevent repainting
All statistics are calculated in real-time but validate only after conditions are fully met
The Initial Balance (9:30-10:30 AM) is used for certain probability calculations
Use at your own risk. Trade responsibly. Indicator
Initial Balance Statistical MappingInitial Balance Statistical Mapping
Overview
The Initial Balance (Enhanced) indicator is a sophisticated trading tool designed specifically for NQ (Nasdaq-100 E-mini Futures) during New York trading hours. It provides data-driven insights based on comprehensive analysis of 12 years of 1-minute price data (2013-2025), offering traders probabilistic forecasts for intraday price movement based on the market's behavior during the critical first hour of trading.
What is Initial Balance?
Initial Balance (IB) refers to the price range established during the first hour of the New York cash session (9:30-10:30 AM ET). This concept, pioneered by legendary trader Peter Steidlmayer as part of Market Profile theory, represents a critical period where the market establishes its initial value area for the day.
The IB high and low create key reference points that professional traders use throughout the session to:
Identify potential support and resistance levels
Gauge market directional bias
Set realistic profit targets
Assess market volatility and range expectations
Statistical Foundation
This indicator is built on rigorous statistical analysis of 12+ years of NQ futures data (over 3,000 trading sessions), examining:
Opening Range Patterns: 5-minute and 15-minute opening ranges
Initial Balance Characteristics: Directional bias, extreme formation sequence, and closing position
Breakout Behavior: Which IB boundary breaks first and subsequent price action
Midpoint Dynamics: Probability and timing of midpoint retests
Session Outcomes: Correlation between IB patterns and daily close direction
Extension Targets: Historical percentile-based price projections beyond IB boundaries
The statistical combinations tracked include:
IB direction (bullish vs bearish) × Extreme formed first (high vs low) × Close position (above vs below midpoint)
Post-break behavior (confirmation, reversal, or range-bound)
Conditional probabilities for over 16 unique market scenarios
Visual Components
1. IB Box
A shaded rectangular area highlighting the first hour's price range:
Top boundary: IB High
Bottom boundary: IB Low
Midpoint line: The 50% level of the IB range
Customizable colors for the fill, border, and midpoint
2. Extension Levels
Percentile-based price targets above and below the IB boundaries, calculated from historical extension data:
Above IB High:
25th percentile: +0.14% extension
Median (50th): +0.31% extension (default display)
75th percentile: +0.60% extension
90th percentile: +1.00% extension
Below IB Low:
25th percentile: -0.16% extension
Median (50th): -0.38% extension (default display)
75th percentile: -0.79% extension
90th percentile: -1.37% extension
These levels represent targets that historically occur at the specified frequency. For example, the median extension suggests that 50% of the time, the market extends at least this amount beyond the IB boundary when it breaks out.
3. Statistics Table
A dynamic information panel displaying real-time probabilities and historical context (detailed in "Interpreting the Statistics Table" section below).
Input Parameters
Calculation Period
IB Period: Default 0930-1030 (9:30-10:30 AM ET)
Defines the time window for Initial Balance calculation
Should match the first hour of NY cash session
Regular Trading Hours: Default 0930-1600 (9:30 AM - 4:00 PM ET)
Extension lines only display during these hours
Statistics table appears during RTH only
Prevents visual clutter during overnight sessions
Display Options
Show IB Box: Toggle the shaded IB range rectangle
Only Show Current IB: When enabled, previous days' IB boxes are removed (keeps chart clean)
Show Extension Labels: Display percentile labels on extension lines
Show Extensions: Individual toggles for each extension level
Colors
IB Box Color: Customize the shaded range fill (default: semi-transparent blue)
Box Border Color: Border line color (default: gray)
Midpoint Color: Midpoint line color (default: gray)
Extension Color: All extension lines and labels (default: blue)
Styling
Line Style: Choose Solid, Dashed, or Dotted for IB box borders and midpoint
Extension Line Style: Separate style control for extension levels
Extension Line Width: 1-4 pixels thickness
Extension Label Size: Tiny/Small/Normal/Large/Huge
Statistics Table
Table Position: 9 placement options (corners, edges, center)
Table Size: Auto/Tiny/Small/Normal/Large/Huge
Sessions for IB Stats: Number of previous sessions (5-250) to calculate rolling IB range statistics
Higher values = more stable averages
Lower values = more responsive to recent market conditions
Default: 50 sessions
Interpreting the Statistics Table
The statistics table is the analytical core of this indicator, providing probabilities derived from 12 years of historical NQ data. It updates in real-time as the trading day progresses.
Section 1: IB Characteristics
IB Direction
Bullish (green): IB close > IB open
Bearish (red): IB close < IB open
This reflects whether the first hour closed higher or lower than it opened
Extreme First
High First: The IB high was established before the IB low during the first hour
Low First: The IB low was established before the IB high
This sequence often indicates early momentum direction
Close Position
Above Midpoint: IB close is above the midpoint of the IB range
Below Midpoint: IB close is below the midpoint
This shows where buying/selling pressure finished within the range
Section 2: Historical Pattern & Probabilities
Historical Pattern
Shows the number of sessions (out of 3,000+) that match the current IB combination
Example: "151 sessions" means this exact pattern (e.g., Bullish + High First + Close Above Mid) occurred 151 times
Larger sample sizes (>100) provide more reliable probabilities
Smaller samples (<50) should be interpreted with appropriate caution
Next Break
Predicts which IB boundary will break first:
HIGH: Price likely to exceed IB high before IB low
LOW: Price likely to breach IB low before IB high
Neither: Higher probability that both boundaries remain intact for the session
Shows the highest probability outcome with its percentage
Based on what actually happened in similar historical sessions
Midpoint Retest
Probability that price will return to the IB midpoint at some point during the session
Initially shows "PENDING" status (orange)
Updates to "✓ CONFIRMED" (green) when the midpoint is touched after IB formation
Calculated based on sessions where price left the midpoint (>0.1% threshold) and returned
Average/median time to retest is tracked in the underlying data
Session Close
Highlighted row (green background): The key predictive metric
Predicts whether the NY cash session (9:30 AM - 4:00 PM ET) will close:
Bullish: Close > IB open (green)
Bearish: Close < IB open (red)
Shows the probability of the more likely outcome
This is arguably the most actionable statistic for directional bias
Section 3: IB Range Statistics
Current Range
The actual point value of today's IB range (IB High - IB Low)
Useful for comparing to historical norms
Mean (X/Yd)
Average IB range over the lookback period
"X/Y" indicates X sessions were captured out of Y lookback days
May be less than lookback if some days had incomplete data or early closures
Percentile Rank (color-coded cell)
Shows where today's IB range ranks relative to recent sessions:
Blue tint (<20th percentile): Unusually narrow range - expect potential expansion
Light gray (20-60th): Normal range
Dark gray (60-80th): Above average range
Red tint (>80th percentile): Unusually wide range - may indicate high volatility or potential consolidation
Format: "92nd" means today's range is larger than 92% of the last n sessions (n is defined by the lookback period)
Section 4: Post-Break Analysis (Dynamic Section)
This section appears only after the IB high or IB low is broken, replacing the standard table with expanded statistics.
━ IB HIGH BROKEN ━ or ━ IB LOW BROKEN ━
Orange header indicates which boundary was exceeded
Triggers when price definitively breaks through IB high or low
Historical Breaks
Number of times this specific pattern (IB direction + close position + break direction) occurred historically
Example: "1134 times" means this combination has broken the IB high 1,134 times in the dataset
Mid Retest Prob
Probability that price will return to test the IB midpoint after breaking out
Critical for entry/re-entry decisions and stop placement
Percentages typically range from 40-65% depending on the pattern
If Retest Occurs:
Shows three potential outcomes if the midpoint is retested after the break:
Bounce Back UP/DOWN (Confirmation - green text)
After breaking IB high and retesting midpoint → bounces back up (confirms bullish breakout)
After breaking IB low and retesting midpoint → bounces back down (confirms bearish breakdown)
This is the "successful retest" scenario traders often look for
Reverse to LOW/HIGH (Reversal - red text)
After breaking IB high and retesting → reverses and breaks IB low (failed breakout)
After breaking IB low and retesting → reverses and breaks IB high (failed breakdown)
The "trap" scenario that catches breakout traders
Stays in Range (neutral text)
Price retests midpoint but then remains between the midpoint and the opposite IB extreme
No additional breakout in either direction
Consolidation/balance scenario
Example Interpretation:
━ IB HIGH BROKEN ━
Historical Breaks: 1134 times
Mid Retest Prob: 44.9%
If Retest Occurs:
Bounce Back UP : 41.3% (confirms the high break)
Reverse to LOW : 39.1% (breaks IB low instead)
Stays in Range : 19.6% (consolidates)
This tells you:
This pattern has broken the IB high 1,134 times historically
There's a 44.9% chance price will retest the midpoint after breaking
IF it retests, there's roughly an equal chance it bounces back up (41.3%) or reverses to break the low (39.1%)
Only 19.6% of retests result in consolidation
This would be a high-risk breakout due to the near-equal probability of confirmation vs. reversal
How the Statistics Are Calculated
Data Collection Methodology
The Python analysis script processes:
12+ years of 1-minute NQ futures data (2013-2025)
3,000+ trading sessions
Only NY cash session data (9:30 AM - 4:00 PM ET)
Adjusted for early closures (holidays, half days)
Conditional Probability Framework
The indicator uses a nested conditional probability structure:
Level 1: IB Direction
Bullish (close > open) vs Bearish (close < open)
Level 2: IB Extreme Sequence
High First vs Low First
Determined by which extreme was reached first during IB formation
Level 3: IB Close Position
Close Above Midpoint vs Close Below Midpoint
Where within the range did the IB close?
Level 4: Break Direction
Which boundary broke first after IB?
High Breaks / Low Breaks / Neither
Level 5: Midpoint Retest Behavior (post-break)
Did midpoint get retested after break?
If yes: Confirmed / Reversed / Stayed in Range
This creates specific combinations like:
"Bullish IB + Low First + Close Above Mid" → 76.7% bullish session close (1,281 historical occurrences)
"Bearish IB + High First + Close Below Mid" → 73.9% breaks low first (1,127 occurrences)
Extension Percentile Calculations
For each session, the maximum extension beyond each IB boundary is measured:
High Extension: (Session High - IB High) / IB High × 100
Low Extension: (IB Low - Session Low) / IB Low × 100
These extensions are collected across all sessions, and percentiles are calculated:
25th percentile: 25% of sessions extend at least this far
50th percentile (Median): 50% of sessions extend at least this far
75th percentile: 75% of sessions extend at least this far
90th percentile: 90% of sessions extend at least this far
Note: Sessions with no extension (price never exceeded the IB boundary) are included in the dataset as zero-extension values. This is statistically important because it means:
The median extension of +0.31% above IB high means 50% of ALL sessions (including those that never broke the high) extended at least this far
This is a conservative, realistic measure of actual market behavior
IB Range Percentile Rank
The rolling percentile rank compares today's IB range to the previous N sessions (default 50):
Collect IB ranges for the past 50 sessions
Count how many of those ranges were smaller than today's range
Divide by total sessions and multiply by 100
Example: If 34 of the past 50 sessions had smaller IB ranges than today:
Percentile = (34/50) × 100 = 68th percentile
Today's range is larger than 68% of recent sessions
Real-Time Validation & Updates
The statistics table evolves as the trading day progresses:
Pre-IB Formation (9:30-10:30 AM)
Table shows "PENDING" for all fields in orange
No predictions yet, as IB hasn't formed
Useful as a reminder that IB is still forming
IB Formation Complete (10:30 AM)
All IB characteristics are determined and displayed
Historical pattern sample size is shown
Probabilities are populated based on the specific IB combination
"Midpoint Retest" shows expected probability with "PENDING" status
During Trading Session (10:30 AM - 4:00 PM)
Midpoint Retest status updates from "PENDING" to "✓ CONFIRMED" if midpoint is touched
Table remains stable showing initial probabilities
Extension levels continue to be displayed
After IB Breakout
Entire table is dynamically rebuilt when IB high or low is broken
Post-break statistics section is added
Shows refined probabilities specific to the break direction
Midpoint retest probability is now specific to post-break behavior
End of Session (4:00 PM)
Table is removed from chart
IB box and extensions remain visible for reference
Resets for next trading session
Practical Trading Applications
1. Directional Bias
Use the "Session Close" prediction to establish your directional bias for the day
Higher percentages (>70%) suggest stronger historical edge
Consider trading with the bias rather than against it
2. Breakout Trading
"Next Break" probability helps anticipate which boundary is more likely to break
Wait for confirmation, but prepare for the higher-probability direction
Use extension levels as initial profit targets
3. Mean Reversion
High "Midpoint Retest" probabilities (>80%) suggest mean reversion opportunities
After a break, if retest probability is high, consider waiting for the pullback
Post-retest statistics help determine whether to fade or trade with the move
4. Risk Management
Wide IB ranges (>75th percentile) may suggest:
Higher volatility day requiring wider stops
Potential for consolidation or smaller extensions
More challenging trading conditions
Narrow IB ranges (<25th percentile) may suggest:
Compressed volatility ready to expand
Potential for larger extensions when breakouts occur
Clearer directional moves
5. Trade Filtering
Use the statistics to avoid low-probability setups
If "Session Close" and "Next Break" align (both bullish or both bearish), confidence is higher
Conflicting signals suggest a more balanced, range-bound day
6. Exit Strategy
Extension percentiles provide logical profit targets:
Conservative: 25th percentile (smaller move, higher hit rate)
Moderate: 50th percentile (median expectation)
Aggressive: 75th-90th percentile (larger move, lower hit rate)
After a midpoint retest, use the post-retest probabilities to decide whether to hold or exit
Important Notes & Disclaimers
Timeframe Specificity
This indicator is designed exclusively for NQ futures
Statistics are derived from NY cash session hours only (9:30 AM - 4:00 PM ET)
Do not use on other instruments or timeframes without independent validation
The IB period should always be set to the first hour of the NY session
Statistical Interpretation
Probabilities are not certainties - a 70% probability means 30% of the time the opposite occurs
Sample size matters - combinations with <50 occurrences should be treated with caution
Market conditions evolve - the 12-year dataset includes various market regimes, but future behavior may differ
Past performance ≠ future results - these statistics are educational and analytical tools, not guarantees
Best Practices
Use this indicator as one component of a comprehensive trading plan
Combine with price action, volume analysis, and market context
Paper trade strategies based on these statistics before risking real capital
Keep a trading journal to track how probabilities play out in real-time
Adjust position sizing based on probability strength and your risk tolerance
Data Quality
Statistics are based on continuous NQ futures data (rollover-adjusted)
Early session closures, half days, and holidays are included in the dataset
Gaps and overnight moves are not considered in the analysis (only RTH data)
The indicator auto-detects early closures and adjusts the RTH end time accordingly
Technical Requirements
Platform: PulseWire (Pine Script v5)
Instrument: NQ (Nasdaq-100 E-mini Futures) recommended; adaptable to ES or YM with separate validation
Timeframe: Works on any intraday timeframe (1-min, 5-min, 15-min, etc.)
Lower timeframes (1-5 min) recommended for precision
Session Settings: Chart timezone should be set to "America/New_York" or equivalent for accurate IB timing
Data Requirements: Sufficient historical data to populate IB range statistics (minimum 50 sessions)
Version History & Updates
Current Version: Enhanced Initial Balance with Conditional Statistics (v1.0)
Key Features:
12-year statistical foundation (2013-2025)
16+ conditional pattern combinations
Dynamic post-break analysis
Real-time midpoint retest validation
Percentile-based extension targets
Rolling IB range analysis
Comprehensive statistics table
Conclusion
The Initial Balance (Enhanced) indicator transforms 12 years of market data into actionable, probabilistic insights for NQ traders. By understanding the historical behavior of specific IB patterns, traders can:
Make more informed directional decisions
Set realistic profit targets based on statistical extension frequencies
Anticipate mean reversion opportunities with midpoint retest probabilities
Manage risk with context-aware range analysis
Avoid low-probability setups and focus on higher-edge opportunities
This is not a "black box" system or a magic formula. It's a transparent, data-driven framework that provides historical context to inform your trading decisions. The statistics table doesn't tell you what will happen - it tells you what has historically happened when similar patterns emerged, allowing you to trade with probabilistic edges rather than guesses. Indicator
Daily Floor PivotsDaily Floor Pivots with Comprehensive Statistical Analysis
Overview
This indicator combines traditional floor pivot levels with golden zone analysis and comprehensive statistical insights derived from 15 years of historical NQ futures data. While the pivot levels and golden zones can be applied to any instrument, the statistical tables are specifically calibrated for NQ/MNQ futures based on analysis of 2,482 NY Regular Trading Hours (RTH) sessions from 2010-2025.
What Makes This Indicator Original
Unlike standard pivot indicators that merely plot levels, this tool provides:
Enhanced Golden Zone Analysis: Calculates not only the main golden zone (0.5-0.618 retracement of previous day's range) but also golden zones between each pivot pair (PP-R1, R1-R2, R2-R3, PP-S1, S1-S2, S2-S3)
Data-Driven Statistical Tables: Two comprehensive tables displaying real statistics from 2,482 trading days of NQ analysis, including:
Probability-based touch rates and continuation patterns
Context-aware statistics based on opening position
Gap analysis and behavioral patterns
First touch dynamics and time-to-reach averages
Granular Customization: Every visual element and statistical section can be independently toggled, allowing traders to focus on what matters most to their strategy
How It Works
Pivot Calculation Methodology
The indicator uses the standard floor pivot formula based on the previous day's price action:
Pivot Point (PP) = (Previous High + Previous Low + Previous Close) / 3
Resistance Levels: R1, R2, R3 calculated from PP and previous range
Support Levels: S1, S2, S3 calculated from PP and previous range
Golden Zone Calculations
Main Golden Zone: The 0.5 to 0.618 Fibonacci retracement of the previous day's range, representing a key reversal and continuation area.
Inter-Pivot Golden Zones: For each adjacent pivot pair, golden zones are calculated as:
Resistance pairs (PP→R1, R1→R2, R2→R3): 0.5-0.618 range from the lower pivot
Support pairs (PP→S1, S1→S2, S2→S3): 0.382-0.5 range from the upper pivot
These zones represent high-probability areas where price tends to react when moving between pivot levels.
Statistical Analysis Source
All statistics displayed in the tables are derived from external Python analysis of 15 years of 1-minute NQ futures data (2010-2025), specifically analyzing NY RTH sessions (9:30 AM - 4:00 PM EST). The analysis tracked:
2,482 complete trading days
Intraday pivot touches and closes
Opening position context
Gap behavior relative to previous day
Time-of-day patterns
Sequential pivot interactions
IMPORTANT: While the pivot levels and golden zones are universally applicable mathematical calculations that work on any instrument, the statistical percentages shown in the tables are specific to NQ/MNQ behavior only. Do not assume these statistics transfer to other instruments.
Configuration Guide
Basic Settings
Number of Periods Back (1-20, default: 3)
Controls how many historical pivot periods are displayed on the chart
Setting to 1 shows only current day's pivots
Higher values show more historical context
Labels Position (Left/Right)
Choose whether pivot labels appear on the left or right side of each level line
Line Width (1-5, default: 2)
Adjust the thickness of all pivot and golden zone lines
Golden Zone Customization
Show Daily Golden Zone (0.5-0.618)
Toggle the main golden zone on/off
When enabled, displays a shaded box between the 0.5 and 0.618 retracement levels
Line Color / Fill Color
Customize the appearance of the main golden zone
Fill color determines the shaded box transparency
Show Labels / Show Prices
Control whether "0.5" and "0.618" labels appear
Control whether price values are displayed on labels
Inter-Pivot Golden Zones
Six toggle options allow you to show/hide individual golden zones:
PP to R1 / PP to S1: Most frequently touched (60.8% / 50.9%)
R1 to R2 / S1 to S2: Moderately touched (25.2% / 24.0%)
R2 to R3 / S2 to S3: Rarely touched (9.4% / 10.5%)
Line Color / Fill Color: Customize appearance of all inter-pivot zones
Show Labels / Show Prices: Control labeling for inter-pivot zones
Usage Tip: Disable outer zones (R2-R3, S2-S3) on lower volatility days to reduce chart clutter.
Pivot Display
Show Support/Resistance Levels: Master toggle for all pivot lines
Show SR Labels / Show SR Prices: Control labeling on pivot levels
Individual level toggles and colors:
PP (Pivot Point): The central reference point
R1/S1: Primary resistance/support (38.9% / 35.4% touch rate)
R2/S2: Secondary levels (15.6% / 16.1% touch rate)
R3/S3: Extended levels (5.1% / 7.3% touch rate)
Color Customization: Each level's color can be independently set
Overall Statistics Table
Show Overall Statistics Table: Master toggle
Table Size: tiny/small/normal/large/huge/auto
Table Position: Top Left/Top Right/Bottom Left/Bottom Right
Section Toggles (enable/disable individual sections):
Current Session Info
Touch & Close Rates
Continue & Reject Rates
First Touch Statistics
Golden Zone Statistics
Daily Close Distribution
Highest/Lowest Levels Reached
Context Statistics Table
Show Context Statistics Table: Master toggle
Table Size: tiny/small/normal/large/huge/auto
Table Position: Top Left/Top Right/Bottom Left/Bottom Right
Section Toggles:
Current Opening Zone
Opening Zone Statistics
Previous Day Gap Context
Understanding the Statistical Tables
TABLE 1: OVERALL STATISTICS
This table presents universal statistics from 2,482 days of NQ analysis.
Current Session Info
Displays real-time context for the active session:
Open: Where the current RTH session opened relative to pivots (e.g., "GZ_TO_R1" means opened between the PP-R1 golden zone and R1)
Now: Current price position relative to pivots
Direction: Bull (close > open), Bear (close < open), or Flat
How to use: This section helps you quickly understand where price opened and where it currently is, providing immediate context for the day's action.
Touch & Close Rates
Shows probability that each pivot level will be reached during RTH:
Touch %: Percentage of days where price touched this level at any point
Example: R1 touched 38.9% of days, PP touched 57.5% of days
Close %: Percentage of days where price closed beyond this level
Example: R1 close beyond happened 39.8% of days
How to interpret:
Higher touch rates indicate more reliable levels for intraday targeting
The difference between touch and close rates shows rejection frequency
PP has the highest touch rate (57.5%), making it the most magnetic level
Outer levels (R3/S3) have low touch rates (5.1%/7.3%), indicating rare extension days
Continue & Reject Rates
When a level is touched, these statistics show what happens next:
Continue %: Probability price continues through the level
Example: When PP is touched, price continues 88.1% of the time
Reject %: Probability price rejects from the level and reverses
Example: When R1 is touched, price rejects 50.9% of the time
How to interpret:
PP shows highest continuation (88.1%), confirming it's a poor reversal level
Support levels (S1/S2/S3) show strong rejection rates (62.5%/60.7%/56.1%), making them better reversal candidates
Continuation rates above 80% suggest the level is better as a target than an entry
First Touch Statistics
Analyzes which pivot is typically touched first during RTH:
1st Touch %: Probability this level is the first pivot encountered
PP is first touched 37.1% of days (most common)
R1 is first touched 26.0% of days
S1 is first touched 10.9% of days
1st→Continue: If this level is touched first, probability of continuation
S1-S3 show 95.6%-100% continuation when touched first
This means when price reaches support first, it usually continues lower
Avg Time: Minutes after 9:30 AM EST before first touch
PP: 1h 6m average
S3: 19m average (when bearish)
R3: 3h 19m average (when bullish)
How to interpret:
Opening away from PP means higher probability of reaching extremes (R2/R3 or S2/S3)
When support is touched first (within first 2 hours), expect continuation lower
Late-day first touches (after 2 PM) often indicate strong trending days
Multi-Touch: Shows how often levels are tested multiple times (92.8%-95.0% across all levels)
Golden Zone Statistics
Main GZ: 58.5% touch rate for the 0.5-0.618 zone
Inter-Pivot zones:
PP-R1: 60.8% (highest probability)
PP-S1: 50.9%
R1-R2: 25.2%
S1-S2: 24.0%
R2-R3: 9.4%
S2-S3: 10.5%
How to interpret:
Main GZ is touched more often than any individual resistance level
PP-R1 and PP-S1 golden zones are high-probability mean reversion areas
Outer golden zones (R2-R3, S2-S3) are only relevant on high volatility days
Daily Close Distribution
Shows where RTH sessions typically close:
Above/Below PP: 58.5% close above, 41.5% below (slight bullish bias)
Above R1: 24.5% of days
Below S1: 18.7% of days
In GZ: Only 6.3% close in the golden zone (typically transits through it)
How to interpret:
Most days (58.5%) have bullish bias (close above PP)
Less than 25% of days are strong trending days (beyond R1/S1)
Golden zone is an action area, not a resting area
Highest/Lowest Levels Reached
Distribution of the most extreme level reached:
High Resist: R1 (26.0%), R2 (10.8%), R3 (5.1%)
Low Support: S1 (35.4%), S2 (1.9%), S3 (0.6%)
How to interpret:
Most days don't reach beyond R1 or S1
R3/S3 are rare events (5.1%/0.6%), indicating major trending days
S1 is reached as lowest level more often than R1 as highest, suggesting downside is more frequently tested
TABLE 2: CONTEXT STATISTICS
This table provides conditional statistics based on how the session opened.
Current Opening Zone
Displays which of 13 possible zones the RTH session opened in:
ABOVE_R3, R2_TO_R3, R1_TO_R2, GZ_TO_R1, IN_GZ, PP_TO_GZ, AT_PP, GZ_TO_PP, S1_TO_GZ, S2_TO_S1, S3_TO_S2, BELOW_S3
How to use: This immediately tells you the market structure and what type of day to expect.
Opening Zone Statistics
Detailed statistics for the current opening zone (only shows for 6 major zones):
For each zone, you see:
Occurs: How often this opening scenario happens
GZ_TO_R1: 38.4% (most common)
AT_PP: 12.8%
S1_TO_GZ: 24.2%
R1_TO_R2: 9.4%
S2_TO_S1: 6.3%
IN_GZ: 3.8%
Bull/Bear %: Close direction probability
Example: GZ_TO_R1 is perfectly balanced (50.0% bull / 49.6% bear)
R1_TO_R2 is bullish (58.1% bull / 41.0% bear)
Levels Hit: Probability of reaching each pivot level from this opening
Helps identify high-probability targets
Example: From GZ_TO_R1, PP is hit 52.9%, R1 is hit 49.0%, S1 is hit 21.6%
How to interpret:
GZ_TO_R1 (most common): Balanced day, watch PP and GZ for direction clues
AT_PP: Slight bullish bias (56.9%), high chance of touching both PP (92.8%) and GZ (90.3%)
R1_TO_R2: Bullish bias (58.1%), expect continuation to R2 (58.1% chance)
S2_TO_S1: Bullish reversal setup (59.9%), very high chance of S1 touch (82.8%)
IN_GZ: Rare opening (3.8%), bullish bias, virtually guaranteed GZ touch (100%)
Previous Day Gap Context
Shows current gap scenario and typical behavior:
Three scenarios:
GAP UP: Opened Above Yesterday's High (20.5% of days)
R1 Touch: 65.9% (high probability)
R2 Touch: 42.1%
S1 Touch: 15.0% (low probability)
Bias: Bullish continuation
GAP DOWN: Opened Below Yesterday's Low (11.3% of days)
S1 Touch: 71.5% (high probability)
S2 Touch: 55.2%
R1 Touch: 12.1% (low probability)
Bias: Bearish continuation
NO GAP: Opened Within Yesterday's Range (68.2% of days)
PP Touch: 69.5%
GZ Touch: 71.7%
R1 Touch: 35.2%
Bias: Balanced (watch for direction at PP/GZ)
How to interpret:
Gap days (up or down) tend to continue in the gap direction
When gapping, fade trades are low probability (15.0% and 12.1%)
Most days (68.2%) open within previous range, making PP and GZ critical decision zones
The "bias" line provides clear directional guidance for trade selection
Practical Application Examples
Example 1: Standard Day Setup
Scenario: RTH opens at 20,450
PP: 20,400
GZ: 20,390-20,395
R1: 20,425
Previous day high: 20,460
What the tables tell you:
Opening Zone: "GZ_TO_R1" (38.4% occurrence)
Gap Context: "NO GAP" (68.2% occurrence)
Expected behavior: Balanced (50/50 bull/bear)
High probability: PP touch (52.9%), GZ touch (56.8%)
Moderate probability: R1 touch (49.0%), S1 touch (21.6%)
Trade plan:
Wait for price to reach PP (52.9% chance) or GZ (56.8% chance)
Look for directional confirmation at these levels
First target R1 if bullish, S1 if bearish
Avoid assuming direction without confirmation (perfectly balanced opening)
Example 2: Gap Up Day
Scenario: RTH opens at 20,510
Previous day high: 20,460
R1: 20,425
R2: 20,475
What the tables tell you:
Gap Context: "GAP UP" (20.5% occurrence)
R1 touch: 65.9% probability
R2 touch: 42.1% probability
S1 touch: Only 15.0% probability
Bias: Bullish continuation
Trade plan:
Favor long setups
Target R1 first (65.9% chance), then R2 (42.1%)
If R1 breaks, R2 becomes likely target
Shorting is low probability (only 15.0% reach S1)
Example 3: Opening in Golden Zone
Scenario: RTH opens at 20,393
PP: 20,400
GZ: 20,390-20,395
What the tables tell you:
Opening Zone: "IN_GZ" (rare, only 3.8% occurrence)
Bullish bias: 58.1%
GZ touch: 100% (guaranteed - already there)
PP touch: 75.3%
R1 touch: 41.9%
Trade plan:
Expect price to test PP (75.3% chance)
Slight bullish bias suggests long setups better than shorts
Watch how price reacts at PP - likely to continue to R1 (41.9%)
This is an uncommon opening, suggesting potential for larger moves
Best Practices
Match Your Instrument: Remember, statistics are NQ-specific. If trading other instruments, use the levels but disregard the statistical percentages.
Combine with Price Action: Use the statistics for probability context, not as standalone signals. Always confirm with price action, volume, and your trading methodology.
Adapt Table Display: Don't display all sections all the time. Toggle based on your trading phase:
Pre-market: Focus on "Gap Context" to understand the setup
Market open: Watch "Opening Zone Statistics" for directional bias
Intraday: Monitor "Current Session Info" for position tracking
Understand Context: A 60% touch rate doesn't mean guaranteed—it means 40% of days don't touch. Use these probabilities to size positions and manage expectations.
Inter-Pivot Golden Zones: These are most useful when price is already in motion toward a level. For example, if price breaks above PP heading to R1, the PP-R1 golden zone (60.8% touch rate) becomes a high-probability pullback area.
Time Awareness: The "Avg Time" statistics help you understand urgency. If it's 10:30 AM and S1 hasn't been touched (average is 55 minutes), the window for bearish moves is closing.
Technical Notes
Time Zone: All times referenced are NY/EST
Session Definition: RTH is 9:30 AM - 4:00 PM EST
Calculation Period: Pivots update daily based on previous 24-hour period (18:00 previous day to 17:00 current day)
Data Source: Statistics derived from 12 years of NQ 1-minute futures data (2013-2025)
Sample Size: 2,482 complete RTH trading sessions
Disclaimer
This indicator provides statistical probabilities based on historical NQ futures data. Past performance does not guarantee future results. The statistical tables are educational tools and should not be the sole basis for trading decisions. Always:
Use proper risk management
Combine with your own analysis
Understand that probabilities are not certainties
Remember that statistics are instrument-specific (NQ/MNQ only)
Credits
Statistical analysis performed using Python analysis of 12 years of historical NQ futures data. All pivot and golden zone calculations use standard mathematical formulas applicable to any instrument. Indicator
NQ Hourly Retracements - 12y Stats with LevelsHour Stats with Levels - PulseWire Indicator Description
IMPORTANT: NQ FUTURES ONLY
This indicator is specifically designed for and calibrated to NQ (Nasdaq-100 E-mini) futures only. The statistical data is derived exclusively from 13 years of NQ price action (2013-2025). Do not use this indicator on any other asset, ticker, or market as the statistics will not be applicable and may lead to incorrect trading decisions.
Overview
"Hour Stats with Levels" is a statistical analysis indicator that provides real-time probability-based insights into hourly price behavior patterns. The indicator combines historical pattern recognition with live price action to help traders anticipate potential sweep and reversal scenarios within each trading hour.
Originality and Core Concept
This indicator is based on a comprehensive statistical analysis of 12y years of 1-minute NQ futures data, examining a specific price pattern: when an hourly candle opens inside the previous hour's range. Unlike generic support/resistance indicators, this tool provides hour-specific, context-aware probabilities based on 30,000+ historical occurrences of this pattern.
The originality lies in three key areas:
Pattern-Specific Statistics: Rather than applying generic technical analysis, the indicator only activates when the current hour opens within the previous hour's range, providing relevant statistics for this exact scenario.
Context-Aware Probabilities: Statistics are differentiated based on whether the current hour opened above or below the previous hour's open, recognizing that bullish and bearish opening contexts produce different behavioral patterns.
Comprehensive Retracement Tracking: The indicator tracks four independent retracement levels after a sweep occurs, showing the probability of price returning to: the swept level itself (90+% probability), the 50% level, the current hour's open, and the opposite extreme.
How It Works
The Core Pattern
The indicator monitors a specific price structure:
Setup Condition: The current hourly candle opens inside (between) the previous hour's high and low
Sweep Event: Price then breaks above the previous high (high sweep) or below the previous low (low sweep)
Retracement Analysis: After a sweep, the indicator tracks whether price retraces to key levels
Statistical Foundation
The underlying analysis processed 1-minute bar data from 2013-2025, identifying every instance where an hourly candle opened inside the previous hour's range. For each occurrence, the system tracked:
Whether the high, low, or both were swept during that hour
The distance of the sweep measured as a percentage of the previous hour's range
Whether price retraced to four key levels: the swept level, the 50% point, the current open, and the opposite extreme
These measurements were aggregated for all 24 hours of the trading day, with separate statistics for bullish contexts (opening above previous open) and bearish contexts (opening below previous open), creating 48 unique statistical profiles.
Sweep Distance Percentiles
The "reversal levels" are drawn based on historical sweep distance distributions:
25th Percentile: 75% of historical sweeps were larger than this distance. This represents a conservative reversal zone where smaller, contained sweeps typically reverse.
Median (50th Percentile): The midpoint of all historical sweep distances. Half of all sweeps reversed before reaching this level, half extended beyond it.
75th Percentile: Only 25% of sweeps extended beyond this distance. This represents an extended sweep zone where price has historically shown exhaustion.
For example, if the previous hour's range was 20 points and the median high sweep distance is 40% of range, the median reversal level would be placed 8 points above the previous high.
How to Use the Indicator
Sweeps were calculated using 1m data - as such, it's recommended to use the indicator on a 1min chart
Visual Components
Hour Delimiter (Gray Vertical Line)
Marks the start of each new hour
Helps identify when new statistics become active
Sweep Markers
Green "H" label: High sweep has occurred this hour
Red "L" label: Low sweep has occurred this hour
Markers appear on the exact bar where the sweep happened
Target Levels (Blue Lines)
Prev Open: Previous hour's opening price
Prev High: Previous hour's highest price (sweep target)
Prev Low: Previous hour's lowest price (sweep target)
Prev 50%: Midpoint of previous hour's range
Current Open: Current hour's opening price (key retracement target)
Reversal Levels (Purple Dashed Lines)
Positioned beyond the previous high/low based on historical sweep percentiles
Three levels above previous high (for high sweeps)
Three levels below previous low (for low sweeps)
These represent statistically-derived zones where sweeps typically exhaust
The Statistics Table
The table dynamically updates each hour and displays different statistics based on whether the current hour opened above or below the previous hour's open.
Status Row
Shows current state: waiting for sweep, or which sweep(s) have occurred
If waiting, indicates which sweep is more probable based on historical data
SWEEP PROBABILITIES Section
High Sweep: Historical probability (%) that price will sweep the previous high this hour
Low Sweep: Historical probability (%) that price will sweep the previous low this hour
Both Sweeps: Historical probability (%) that price will sweep both levels this hour
These probabilities are derived from counting how many times each pattern occurred in similar historical contexts. For example, "High Sweep: 73.18%" means that in 73.18% of historical occurrences where the hour opened in this same context (same hour of day, same position relative to previous open), price swept the previous high before the hour closed.
AFTER HIGH SWEEP → Section
These statistics activate only after a high sweep has occurred. They show the probability of price retracing to various levels:
→ Prev High: Probability that price returns to (or below) the level it just swept. This is typically 90%+ because sweeps often act as "false breakouts" or liquidity grabs before reversal.
→ 50% Level: Probability that price retraces at least halfway back into the previous hour's range. This represents a moderate retracement.
→ Current Open: Probability that price retraces all the way back to where the current hour opened. This indicates a complete reversal of the sweep move.
→ Prev Low: Probability that price retraces entirely through the previous range to touch the opposite extreme. This represents a full reversal pattern.
AFTER LOW SWEEP → Section
Mirror of the above, but for low sweeps:
→ Prev Low: Retracement to the swept low level (90%+ probability)
→ 50% Level: Retracement to middle of range
→ Current Open: Full retracement to current hour's open
→ Prev High: Complete reversal to opposite extreme
Important Note on Retracement Statistics: These percentages are tracked independently. A 90% probability of returning to the swept level doesn't mean there's only a 10% chance of deeper retracement. Price can (and often does) retrace through multiple levels sequentially. The percentages show how many times price reached at least that level, not where it stopped.
Trading Applications
Anticipating Sweeps
When an hour opens inside the previous range, check the probabilities. If "High Sweep: 70%" and "Low Sweep: 30%", you know there's a 70% historical likelihood of an upside sweep occurring this hour. This doesn't guarantee it will happen, but provides statistical context for potential setups.
Reversal Trading
The most reliable pattern in the data is the 90%+ retracement probability to swept levels. When a sweep occurs, traders can anticipate a retracement back to at least the swept level in the vast majority of cases. The reversal level percentiles help identify where sweeps may exhaust.
Position Management
The retracement probabilities help manage existing positions. For example, if you're long and a high sweep occurs, you know there's a 90%+ chance of at least some retracement to the swept level, which might inform profit-taking or stop-loss decisions.
Confluence with Current Open
The "Current Open" retracement statistics (typically 60-70%) highlight the magnetic quality of the hour's opening price. After a sweep, price frequently returns to test this level.
Customization Options
The indicator offers extensive visual customization:
Toggle on/off: hour delimiters, sweep markers, target levels, reversal levels, statistics table
Customize colors, line widths, and styles for all visual elements
Adjust label sizes and table position
Show/hide individual target levels and reversal percentiles
Limitations and Considerations
Pattern-Specific: The indicator only provides statistics when the current hour opens inside the previous hour's range. If the hour opens outside this range (gaps up or down), the statistics are not applicable.
Historical Probabilities: The percentages represent historical frequencies, not predictions. A 70% probability means it happened 70% of the time historically, not that it will definitely happen 7 out of 10 times going forward.
NQ-Specific Calibration: All statistics are derived from NQ futures data. Market behavior, volatility, and patterns differ across assets.
Hour-Specific Behavior: Different hours show dramatically different statistics. For example, the 9 AM EST hour (market open) shows much higher sweep probabilities (80%+) than the 5 PM EST hour (30-50%) due to differing liquidity and volatility conditions.
No Guarantee of Execution: While a 90% retracement probability is high, it means 10% of the time, price did NOT retrace. Always use proper risk management.
Technical Notes
The indicator uses hourly timeframe data via request.security() to determine previous hour values
Sweep detection occurs in real-time on the chart's timeframe
Statistics are hardcoded from the comprehensive backtested analysis (not calculated on-the-fly)
The indicator stores static values at the start of each hour to ensure consistency as the hour progresses
All percentage values are rounded to one decimal place for clarity
This indicator provides a statistically-grounded framework for understanding hourly price behavior in NQ futures. By combining real-time pattern detection with comprehensive historical analysis, it offers traders probabilistic insights to inform decision-making process within the specific context of each trading hour. Indicator
Statistcal Daily Profile & Ranges# Statistical Daily Profile & Ranges - PulseWire Publication Guide
## Overview
The **Statistical Daily Profile & Ranges** indicator is a comprehensive tool designed to analyze intraday session behavior and daily range characteristics. It combines Average Daily Range (ADR) projection levels with detailed session-by-session statistics and probability-based trading insights derived from historical price action patterns.
## What This Indicator Does
This indicator provides traders with three core analytical components:
1. **ADR Projection Levels** - Dynamic support/resistance levels based on historical daily ranges
2. **Session Range Analysis** - Visual boxes and statistical breakdowns for four key trading sessions
3. **Dynamic Probability Display** - Real-time probability statistics based on overnight session relationships
## How It Works
### Average Daily Range (ADR) Calculation
The indicator calculates the average daily range over a user-defined lookback period (default: 10 days) and projects this range from each day's opening price. This creates two key levels:
- **ADR High**: Opening price + average daily range
- **ADR Low**: Opening price - average daily range
- **ADR Median**: The opening price (middle of the projected range)
These levels are recalculated at the start of each trading day and extend forward, providing dynamic support and resistance zones based on recent volatility characteristics.
### Session Tracking & Statistics
The indicator monitors four distinct trading sessions (times in Eastern Time):
1. **Asia Session** (8:00 PM - 2:00 AM)
2. **London Session** (2:00 AM - 8:00 AM)
3. **NY Open** (8:00 AM - 9:00 AM)
4. **NY Initial Balance** (9:30 AM - 10:30 AM)
For each session, the indicator:
- Draws a colored box showing the session's high-to-low range
- Tracks the opening price, high, and low
- Stores historical data for statistical analysis
- Calculates average ranges by day of week (Monday through Friday)
The session statistics are displayed in a customizable table showing average point ranges for each session across different weekdays, helping traders identify which sessions and days typically produce the most movement.
### Dynamic Probability System
The indicator analyzes the relationship between the Asia and London sessions to determine the current market setup. After the London session closes, it automatically detects one of four possible conditions:
**1. London Engulfs Asia**
- London session breaks both above Asia's high AND below Asia's low
- This indicates strong momentum during the European session
- Most common occurrence pattern
**2. Asia Engulfs London**
- Asia session range completely contains the London session range
- Indicates consolidation during London hours
- Relatively rare pattern (occurs approximately 5.36% of the time)
**3. London Partially Engulfs Upwards**
- London breaks above Asia's high but stays above Asia's low
- Suggests bullish momentum continuation from Asia into London
**4. London Partially Engulfs Downwards**
- London breaks below Asia's low but stays below Asia's high
- Suggests bearish momentum continuation from Asia into London
Once a condition is detected, the indicator displays a probability table showing historically observed outcomes for that specific setup, including:
- Probability of NY session taking out key levels (Asia high/low, London high/low)
- Probability of NY session engulfing the entire overnight range
- Directional bias for NY Cash session (9:30 AM - 4:00 PM)
## How to Use This Indicator
### Initial Setup
1. Add the indicator to your chart (works on any intraday timeframe below Daily)
2. Adjust the **ADR Days** setting (default: 10) to control the lookback period for range calculation
3. Adjust the **Session Lookback Days** setting (default: 50) to determine how much historical data feeds the statistics tables
### Reading the ADR Levels
- Use the **ADR High** and **ADR Low** lines as potential profit targets or areas where price may encounter resistance
- The **ADR Median** line represents the opening price and can act as a pivot point for intraday directional bias
- If price reaches the ADR High early in the session, it suggests strong bullish momentum; conversely for ADR Low
- These levels adapt daily based on recent volatility, making them more responsive than static levels
### Interpreting Session Boxes
- **Session boxes** visually highlight when each trading session is active and its price range
- Larger boxes indicate higher volatility during that session
- Compare current session ranges to the statistical averages shown in the table
- Sessions that are unusually quiet or active relative to historical averages may signal compression or expansion
### Using the Session Statistics Table
- The table shows average point ranges for each session broken down by weekday
- Identify which sessions typically produce the most movement on specific days
- For example, if London on Thursdays averages 40 points while Mondays average 25 points, you can adjust position sizing or expectations accordingly
- The **Total** column shows the overall average across all days
- Sample sizes (shown in brackets if enabled) indicate data reliability
### Trading with the Probability Table
The probability table updates dynamically after the London session closes and shows statistically probable outcomes based on 12 years of NQ futures data.
**Important Limitations:**
- **These probabilities are derived from NQ (Nasdaq E-mini futures) data only**
- **Do NOT apply these probability statistics to other instruments** (ES, stocks, forex, etc.)
- The probabilities represent historical frequencies, not guarantees
- Always combine with your own analysis, risk management, and market context
**How to Apply the Probabilities:**
When **London Engulfs Asia**:
- Watch for NY session to take out London's extremes (72.33% probability for high, 71.12% for low)
- Slight bullish bias in NY Cash session (54.80% vs 45.20%)
- Lower probability of complete overnight engulfment (44.13%)
When **Asia Engulfs London** (rare - 5.36% occurrence):
- Higher probability NY takes Asia's high (75.86%)
- Moderately high probability NY takes Asia's low (65.52%)
- Slight increase in bullish bias (58.42% vs 41.58%)
- Recognize this as an unusual setup
When **London Partially Engulfs Upwards**:
- Very high probability NY takes London high (81.51%)
- Strong probability NY takes London low (64.45%)
- Moderate probability NY takes Asian low (53.16%)
- Slight bullish bias (55.52%)
When **London Partially Engulfs Downwards**:
- Very high probability NY takes London low (75.29%)
- Strong probability NY takes London high (68.80%)
- Moderate probability NY takes Asian high (56.44%)
- Slight bullish bias maintained (52.99%)
### Practical Trading Applications
**Scenario 1: Range Projection**
If the ADR is 500 points and the market opens at 25,000:
- ADR High: 25,500 (potential resistance/target)
- ADR Low: 24,500 (potential support/target)
- Monitor how price interacts with these levels throughout the day
**Scenario 2: Session-Based Trading**
Using the statistics table, you notice London on Wednesdays averages 35 points. During a Wednesday London session:
- If London has already moved 30 points, the session may be exhausting its typical range
- If London has only moved 15 points with an hour remaining, there may be expansion potential
- Adjust stop losses and targets based on typical session behavior
**Scenario 3: Probability-Based Setup**
It's 8:05 AM ET and the indicator shows "London Partially Engulfs Upwards":
- You now know there's an 81.51% historical probability NY will take out London's high
- There's a 53.16% probability NY will reach down to Asia's low
- The NY Cash session has a slight bullish bias (55.52%)
- Consider this alongside your technical analysis for directional bias and level targeting
## Customization Options
### Visual Settings
- **Line Width**: Adjust thickness of ADR levels
- **ADR Color/Style**: Customize appearance of ADR projection lines (solid, dashed, dotted)
- **Median Line**: Toggle visibility and customize appearance separately
- **Session Box Colors**: Customize each session's box color independently
- **Show Session Boxes**: Toggle session box visibility on/off
### Label Settings
- **ADR Labels**: Show/hide labels for ADR High and ADR Low, adjust size
- **Median Label**: Separate control for median line label
- **Session Labels**: Show/hide session name labels, adjust size
- **Label Colors**: Customize text colors for all labels
### Table Settings
- **Session Stats Table**: Position (9 locations available), size (Tiny to Huge), toggle on/off
- **Sample Sizes**: Show/hide the number of historical samples used for each calculation
- **Probabilities Table**: Separate position and size controls, toggle on/off
### Session Times
- Each session's time range can be customized to fit different markets or preferences
- All times are in Eastern Time (America/New_York timezone)
## Technical Notes
### Data Requirements
- The indicator requires sufficient historical data based on your lookback settings
- Minimum recommended: 50+ days of intraday data for reliable statistics
- Works on any timeframe below Daily (1-minute, 5-minute, 15-minute, etc.)
### Calculation Methodology
- **ADR Calculation**: Simple average of absolute daily high-low ranges
- **Session Statistics**: Mean average of ranges for each session filtered by day of week
- **Condition Detection**: Boolean logic comparing session high/low relationships
- All calculations update in real-time as new bars form
### Probability Data Source
The probability statistics displayed in the dynamic table are derived from:
- **Dataset**: 12 years of NQ (Nasdaq E-mini futures) historical data
- **Methodology**: Frequency analysis of outcomes following specific setup conditions
- **Time Period**: Multiple market cycles including various volatility regimes
**Critical Warning**: These probabilities are specific to NQ and reflect that instrument's behavior patterns. Market microstructure, participant behavior, and volatility characteristics differ significantly across instruments. Do not apply these NQ-derived probabilities to other markets (ES, RTY, YM, individual stocks, forex, commodities, etc.).
## Best Practices
1. **Combine with Other Analysis**: Use this indicator as one component of a complete trading methodology, not a standalone system
2. **Respect Risk Management**: Probabilities are not certainties; always use proper position sizing and stop losses
3. **Context Matters**: High-impact news events, holiday trading, and extreme volatility can invalidate typical patterns
4. **Verify Statistics**: Monitor your own results and compare to the displayed probabilities
5. **Adapt Session Times**: If trading instruments with different active hours, adjust session times accordingly
6. **Regular Calibration**: Periodically review if the session averages and probabilities remain relevant to current market conditions
## Understanding Originality
This indicator is original in its approach to combining three analytical frameworks into a single tool:
1. **Dynamic ADR Projection**: Unlike static pivot points, these levels adapt daily based on recent volatility
2. **Session-Specific Statistics**: Goes beyond simple volume profiles by quantifying average ranges for specific time windows across weekdays
3. **Conditional Probability Display**: Automatically detects overnight session relationships and displays relevant probability data rather than showing all scenarios simultaneously
The conditional logic system that determines which probability set to display is a key differentiator—traders only see the statistics relevant to the current market setup, reducing information overload and improving decision-making clarity.
## Summary
The **Statistical Daily Profile & Ranges** indicator provides traders with a comprehensive framework for understanding daily range potential, session-specific behavior patterns, and probability-based setup analysis. By combining ADR projection levels with detailed session statistics and dynamic probability displays, traders gain multiple perspectives on potential price movement within the trading day.
The indicator is most effective when used to:
- Set realistic profit targets based on average daily range
- Identify which sessions typically produce movement on specific weekdays
- Understand probability-weighted outcomes for different overnight setup conditions (NQ only)
- Visualize session ranges and compare them to historical averages
Remember that all statistical analysis reflects historical patterns, and market behavior can change. Always combine indicator signals with sound risk management, proper position sizing, and your own market analysis. Indicator
multi-tf standard devs [keypoems]Multi-Timeframe Standard Deviations Levels
A visual map of “how far is too far” across any three higher time-frames.
1. What it does
This script plots dynamic price “rails” built from standard deviation (StDev)—the same math that underpins the bell curve—on up to three higher-time-frames (HTFs) at once.
• It measures the volatility of intraday open-to-close increments, reaching back as far as 5000 bars (≈ 20 years on daily data).
• Each HTF can be extended to the next session or truncated at session close for tidy dashboards.
• Lines can be mirrored so you see symmetric positive/negative bands, and optional background fills shade the “probability cone.”
Because ≈ 68 % of moves live inside ±1 StDev, ≈ 95 % inside ±2, and ≈ 99.7 % inside ±3, the plot instantly shows when price is statistically stretched or compressed.
3. Key settings
Higher Time-Frame #1-3 Turn each HTF on/off, pick the interval (anything from 1 min to 1 year), and decide whether lines should extend into the next period.
Show levels for last X days Keep your chart clean by limiting how many historical sessions are displayed (1-50).
Based on last X periods Length of the StDev sample. Long look-backs (e.g. 5 000) iron-out day-to-day noise; short look-backs make the bands flex with recent volatility.
Fib Settings Toggle each multiple, line thickness/style/colour, label size, whether to print the numeric level, the live price, the HTF label, and whether to tint the background (choose your own opacity).
4. Under-the-hood notes
StDev is calculated on (close – open) / open rather than absolute prices, making the band width scale-agnostic.
Watch for tests of ±1:
Momentum traders ride the breakout with a target at the next band.
Mean-reversion traders wait for the first stall candle and trade back to zero line or VWAP.
Bottom line: Multi-Timeframe Standard-Deviations turns raw volatility math into an intuitive “price terrain map,” helping you instantly judge whether a move is ordinary, stretched, or extreme—across the time-frames that matter to you.
Original code by fadizeidan and stats by NQStats's ProbableChris. Indicator
