Trading System Research for February Part II - Interesting Patterns in the Market

January seems unusual from the perspective that the biggest moves happen at the beginning of the day followed by a "dead market" in the afternoon. In order to quantify this behavior, I did some analysis on the one-minute data for the E-mini Nasdaq futures from 9:30 - 4:00 pm and broke the day up into two segments. The morning session is 9:30 am - 12:00 and from 12:00 - 4:00 pm. The percentage of the entire days range was attributed to each segment and the ratio of the morning session is divided by the afternoon session. The plot going back to January 2020 is below.

August 2021 is the highest ratio while the three next highest values are August 2025, December 2025, and January 2026.

The recent trade has seen a significant uptick in the afternoon follow up with 3 of the last 6 months showing much higher values in the ratio. In this study, the market can simply reverse and that range is still part of the morning range.

My next analysis will be based on the percentage of time (and to what extent) there is range expansion in the afternoon session compared to the range of the existing morning session and how that compares to recent months as well as historically.

I wanted to determine the average path of the market (E-mini Nasdaq) for each year based on the movement from the open for the day session. The plot for each year is below. 2026 is very bearish so far but we are only one month in. We can see how 2023 was very bullish.

This is based on the futures from 9:30 - 4:15. I would like to do the study again based on the Nasdaq 100 index from 9:30 - 4:00. We have done other studies on the day session trend versus the night session trend.

In 2026, the Nasdaq 100 is up 302.54 points. The night session is up 794.36 points while the day session is -491.82 points.

With a new Fed Chair there is always uncertainty and when there is uncertainty asset prices can potentially drop as investors may decide to go into cash. I realize, going into cash would defy the concept of the debasement trade.

We saw Gold and Silver post some massive drops on Friday while Bitcoin is down over 8% this weekend.

I think the first week of February will be an interesting week.

Stay tuned for more research and updates as fast as we can get them out.