Overnight Halfback
How often does the regular session trade the overnight midpoint, compared with a price at the same distance from the open?
The figures come from the regular sessions of ES, NQ, YM and RTY since 2010 (RTY since 2017), with a paired test against the control and a false-discovery control. Charts from 1 to 30 minutes; micros use the figures of their full-size contract. On other markets it draws the line without a table.
One of our guides' tables on the same thing the indicator measures, with its sample and its date range.
The overnight midpoint (halfback): how often the regular session trades it, against a price at the same distance
ES, NQ, YM y RTY
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| Market · night | Trades the halfback | Trades the control (same distance from the open, other side) | Reading | Sessions |
|---|---|---|---|---|
| ES · all nights | 75.4% | 75.9% | same as chance | 3,866 |
| ES · night of 0.7% or more | 54.0% | 61.2% | same as chance | 668 |
| NQ · all nights | 76.7% | 76.1% | same as chance | 3,877 |
| NQ · night of 0.7% or more | 60.7% | 63.2% | same as chance | 944 |
| YM · all nights | 74.8% | 75.5% | same as chance | 3,884 |
| YM · night of 0.7% or more | 52.6% | 57.1% | same as chance | 604 |
| RTY · all nights | 76.9% | 77.2% | same as chance | 2,173 |
| RTY · night of 0.7% or more | 64.7% | 64.2% | same as chance | 614 |
n = 13,800 · 2010-06-07 to 2026-10-23 · historical futures data
Regular session (9:30-16:00 ET) of ES, NQ, YM and RTY, front contract, 7-Jun-2010 to 23-Oct-2026 (RTY from 10-Jul-2017); complete sessions only (early closes left out) and no contract change between the sessions compared. Night = from 18:00 ET the evening before to 9:29 ET (at least 300 minutes with a price); halfback = the midpoint between its high and its low. Traded = the regular session trades that price (its low at or below the level and its high at or above it). Control = the price at the same distance from the 9:30 open, on the other side of it, the same day (paired comparison, McNemar's test). 'Night of 0.7% or more' = the 9:30 open is 0.7% or more away from the prior day's 16:00 close. Reading: Benjamini-Hochberg correction at 5% over 54 comparisons, the 46 fixed before looking at any result and the 8 rotation and 5-session ones of these tables, which were not; a cell that does not survive it is 'same as chance'. The four indices move together: their rows are not four independent confirmations. No row differs from its control: the halfback is traded as often as any price that far from the open. Distance and frequency only. It is what happened, not a signal.
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