From TradingView · · 1m 30s
When the overnight move has already spent the day
Ten years of NQ data on why a big overnight run turns the New York morning into chop.
In brief
Ten years of NQ data on why a big overnight run turns the New York morning into chop. Once 90% of the 20-day ADR is gone before the 9:30 open, chop rates jump from about 40% to 58%. Skip the session instead of hunting a setup in it. Originally reported by TradingView.
The pattern he kept seeing
When NQ runs hard overnight and eats most of its average daily range before 9:30 ET, the New York morning tends to turn into chop. Plenty of motion, no clean direction.
“The movement becomes increasingly choppy instead of clean directional delivery.”
He put a number on it
Roughly 10 years of 1-minute US100/NQ proxy data. Measure how much of the 20-day ADR is consumed by 9:30 ET, then measure how often the AM session goes choppy.
Chop climbs with consumption
At 20-30% ADR consumed, 30.7% of mornings chopped. At 60-70% it was 44.1%. By 110-120% it hit 57.4%. The curve bends steadily against you.
Ninety percent is the cliff
Below 90% ADR consumed, about 39.6% of mornings turned choppy. At 90% or more, that jumped to roughly 58%. Same chart, different market.
“That's a major change in the trading environment.”
Range is not opportunity
These mornings still travel. The range just gets distributed back and forth, so a clean-looking setup stops you out, reverses, and baits you into the next one.
“Suddenly you're tempted to start buying lemons.”
The BASE20 filter
Under 70% ADR is normal. 70-80% means inspect carefully. 80-90% is reject-first. 90% and above is a hard pass by default, and his own edge starts decaying in that 80-90% band.
“Sometimes the best trade of the day is realizing the opportunity happened while you were asleep.”
The takeaway
Once 90% of the 20-day ADR is gone before the 9:30 open, chop rates jump from about 40% to 58%. Skip the session instead of hunting a setup in it.
