@titouan_crtt: je sais pas elle

𝑇𝑖𝑡𝑜𝑢𝑎𝑛 ♕
𝑇𝑖𝑡𝑜𝑢𝑎𝑛 ♕
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Wednesday 09 September 2026 18:39:29 GMT
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Stop hunting tested on 16 years of E-mini S&P 500 futures minute bars.
Stop hunting tested on 16 years of E-mini S&P 500 futures minute bars. "They ran my stops" is the most repeated explanation in retail trading, and it has never been scored against a null. We took 4,096 sessions of ES 1-minute bars from September 2010 to September 2026 and measured how often price trades through a level and then goes no further than 4 ticks. Then we measured exactly the same thing at five distance-matched placebo levels per session, so the claim had to beat a level nobody is defending. The prior day's high did it 9.10% of the 1,836 times price crossed it. The matched fake levels did it 7.25% of 5,806. That is a difference of 1.84 percentage points, with a 95% interval of +0.14 to +3.49. It clears zero, and only just. The other three levels do nothing. The prior day's low, named just as often by the same traders, came out slightly negative at -0.76. Both overnight levels contain zero. 10 of the 17 years are negative. The filter its defenders add, counting only levels that were tested twice the day before, makes the result 0.30 worse rather than better. And the mechanical rule that fades the poke won 79 of its 86 trades, a 92% win rate, to make $7,019 net of costs in sixteen years, against $334,987 for holding one contract and doing nothing. The honest limits: 1-minute bars cannot see the order of prints inside a bar, and after the admissibility filters the placebo levels still sat slightly further from the open than the real ones. Sixteen years of ES minute bars come included with QuantPad, so there was no vendor account to buy before the first line of code. #QuantPad #quant #backtesting #futurestrading #priceaction

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