In one sentence
This page covers the ES (S&P 500 futures) intraday system; options selling and the metals trend lines have their own pages. It takes one kind of trade only: price breaks below a qualified low, then reclaims it and holds — go long; targets above are taken in steps, with a portion left to follow the trend. No trades otherwise.
Anchor: which lows qualify
An anchor is a meaningful low, and only three kinds count: the prior day's RTH low; a low that held for hours or launched a move of 20 points or more; a cluster of lows sitting together. Every anchor has a tier: A+, A and B+ are the auto tier, where the program may act on its own; B is the alert tier, which only sends a notification and leaves the decision to a person. Tiers are raised or lowered every day on evidence: raising needs evidence, lowering is mechanical.
Trigger: three steps, all mechanical
- Flush: price breaks below the anchor by at least the flush threshold, max(8 points, 0.15σ).
- Reclaim: a later 2-minute bar closes back above the anchor.
- Acceptance: price then holds for two more bars without a new low below the flush low.
All three are needed. Any filter cancels the trade: the 11:00–14:00 ET chop window, the 30 minutes before a tier-one data release, a knife that falls more than 0.5σ within five minutes, an anchor already stopped out twice that day, or an entry more than 8 points above the anchor.
Position management
The stop sits 2 points below the flush low. At the first target most of the position is closed and the stop moves to break-even; at the second target another part is closed, and the rest runs with a trailing stop. After a winning first trade the day is done by default; a second trade may only risk profit already banked. The record is kept at 10 micro contracts.
Sigma: where the band comes from
Today's 1σ = prior VIX1D ÷ 100 × prior SPX close ÷ √252. Only closing values are used; the band is not reset intraday from live values. The sigma band decides three things: the flush threshold, how many σ of travel trigger a fresh look during the day, and whether event-day premium is priced in.
GEX: computed in-house, not bought
Dealer gamma is computed from option-chain open interest and same-day volume: the put wall and call wall act as magnets and resistance, and the profile-based zero gamma tells whether price sits in positive gamma (mean reversion) or negative gamma (trend amplification). Cash-index levels need the basis added to convert to ES. The direction panel reads the sign only, not the size.
Three daily calibrations
- Premarket (08:28 ET): refresh the anchor list, σ, GEX, events and the regime gate; write the day's route.
- Midday (11:28 ET): check price, basis and GEX shifts; the structure stays as it is.
- Close (17:28 ET): fix the high, low and close, reconcile every statement made premarket, raise or lower anchor tiers, and prepare anchors for the overnight market.
The three calibrations do not trust each other: each one cross-checks the previous numbers against an independent data source and explains any gap above 5 points.
Regime gate
If the prior close is below the 50-day average, or there are two down bars in a row, every auto-tier anchor drops to the alert tier. This was added after the live loss on 9/1: in a falling market, small mid-range entries do not pay for their risk.
Research method
Stock research works from original SEC XBRL filings — no PDF parsing and no second-hand data: the three quarterly statements, profit checked against cash flow, accrual ratio, DSO, backlog, a fixed-dimension peer table, a reverse DCF and three scenarios. Script output is the working draft; every number on the conclusion card is checked once more against the filing. Theme scans use second derivatives: acceleration of growth, incremental margin, and orders accelerating relative to revenue.
What this system does not do
The futures leg does not short (shorting is handled by the options hedge layer), does not forecast, does not chase, does not look for trades in the chop window, and does not use anyone else's levels.