Late-Day Auction Completion Study
MNQ futures study testing whether the final daily high or low forms late in the session, using mutually exclusive close windows and regime-based conditioning.
15:00–16:00 EST is the primary late-day auction-completion window.
The dominant signal is not a blind breakout trigger. The research is better framed as a risk-regime model: identify when the market is more likely to complete a new daily extreme late, then manage continuation, exhaustion, and rejection risk accordingly.
Close2h-only
P(day high/low in 14:00–15:00). Sample: 196 / 1299. CI: 13.25%–17.14%.
Close1h-only
P(day high/low in 15:00–16:00). Sample: 425 / 1299. CI: 30.22%–35.32%.
Last15-only
P(day high/low in 16:00–16:15). Sample: 227 / 1299. CI: 15.51%–19.64%.
| Object | Definition | Use |
|---|---|---|
| IB | 09:30–10:30 EST initial balance high, low, and range. | Core structure. |
| Close2h-only | 14:00–15:00 EST mutually exclusive bucket. | Early late-day auction. |
| Close1h-only | 15:00–16:00 EST mutually exclusive bucket. | Primary late-day auction window. |
| Last15-only | 16:00–16:15 EST mutually exclusive bucket. | Post-cash spillover / final impulse. |
IB break direction improves context, but does not justify blind chasing.
The upside continuation side is cleaner than downside continuation after IB low break, but this is a moderate asymmetry, not a deterministic setup.
| Conditional Probability | Sample | Probability | 95% CI |
|---|---|---|---|
| P(new day high 14:00–15:00 | IB High Break) | 108 / 809 | 13.35% | 11.18%–15.87% |
| P(new day high 15:00–16:00 | IB High Break) | 249 / 809 | 30.78% | 27.70%–34.04% |
| P(new day high 16:00–16:15 | IB High Break) | 133 / 809 | 16.44% | 14.05%–19.15% |
| P(new day low 14:00–15:00 | IB Low Break) | 88 / 740 | 11.89% | 9.75%–14.42% |
| P(new day low 15:00–16:00 | IB Low Break) | 176 / 740 | 23.78% | 20.86%–26.98% |
| P(new day low 16:00–16:15 | IB Low Break) | 94 / 740 | 12.70% | 10.49%–15.30% |
IB extension is the strongest variable identified so far.
The cleanest continuation zone appears near 1.25x to 2.00x IB extension. Above 2.00x IB, the response weakens, which may indicate exhaustion or that the day auction completed earlier.
| Conditional Probability | Probability | Regime Read |
|---|---|---|
| P(high/low 15:00–16:00 | max IB ext 0–0.25) | 14.11% | Balance / poor continuation |
| P(high/low 15:00–16:00 | max IB ext 0.25–0.50) | 30.43% | Moderate auction |
| P(high/low 15:00–16:00 | max IB ext 0.50–0.75) | 33.84% | Moderate directional |
| P(high/low 15:00–16:00 | max IB ext 1.00–1.25) | 38.17% | Transition |
| P(high/low 15:00–16:00 | max IB ext 1.25–1.50) | 52.11% | Strong continuation regime |
| P(high/low 15:00–16:00 | max IB ext 1.50–2.00) | 50.53% | Strong continuation regime |
| P(high/low 15:00–16:00 | max IB ext 2.00+) | 41.46% | Extreme / possible exhaustion |