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Pre NY Session Value Area vs NY Session OHLC

Scenario Analysis

By: FeW

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Assumption

  • Is there any edge to be found in:
    • The reaction of PA during the NY Session to the pre session PA

​

  • Why?
    • To decide if I need to «sit on my hands» on certain days
    • to avoid Chop or –EV days.
    • To figure out what days are most likely to trend or mean revert

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Parameters

  • Date Range: 11/01/2024 to 04/06/2024
  • Samples: 100
  • TF: 30Min chart
  • Ticker: BTCUSDT.P Bybit
  • Measure the PA pre session with the SVP
    • on mondays from D open to 13:30UTC (DO to NYO)
    • On every other weekday from previous day 20:00 UTC to 13:30UTC (NYC to NYO)
  • Measure the OHLC of the NY Session
    • Find out how price reacted to the Volume Profiles and Daily open levels.
    • Find out the probability of a trending, mean reverting or chop day.

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Parameters II

  • Value Area
    • Why the timerange from DO to NYO and NYC to NYO?
      • To see the intraday reaction of price during the NY Session in comparison to the value built by other sessions.
    • VA Size, POC height & where price is located in the VA at NYO (above or below VAH etc.) are measured and put into categories.
      • VA Categories:
        • VA <500 pips, VA <1000>500 pips, VA >1000 pips
          • Low POC, Mid POC, High POC
            • Price at mid VA, Price under/above VAH/VAL
  • NY OHLC
    • This is the «reaction» and is measured in Open to close and High to Low.
      • An average of all the data within the sample range is sorted into the categories of types of Value area and used to give results for the probability matrix.

​

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Expectations

  • The results of this study is expected to help make an objective decision in whether or not the NY Session would be worth trading or not, on any given day.
  • By using overall Market structure & Value Area properties at Pre NY open to judge Probabilities of + or – EV days according to systems planned on that day.
  • The end result is a matrix that can be used to select the current intraday properties and see a table of averages of what the most probable reaction in the NY Session may be.

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Further Notes / Studies

  • A data range of 100 has proven to be too small as some of the averages (results) have simply too less data.
  • For a sufficient and reliable matrix I think a data sample of at least 100 for each category would be a great improvement.
  • This being said, I will continue to collect data for this matrix and republish the results once there is sufficient data available.

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Results

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1. VA Delta down + Overall Intraday Market Structure bearish

On Days with Majority of VA Delta down and a bearish intraday MS from Daily open to NYO, we are able to categorize the average of NY Session OHLC ranges into what kind of Value Areas were produced on that particular day.

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1. VA Delta down + Overall Intraday Market Structure bearish

Example. 12/01/2024. VA Size <500, POC is in the middle of VA and Price was inside the VA in the middle.

= High Probability of a Downtrend Session. (average of O-C and H-L are in harmony, not a big gap between them)

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1. VA Delta down + Overall Intraday Market Structure bearish

Example. 12/01/2024. VA Size <500, POC is in the middle of VA and Price was in the middle of the VA at NYO.

= High Probability of a Downtrend Session. (average of O-C and H-L are in harmony, not a big gap between them)

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2. VA Delta down + Overall Intraday Market Structure bullish

On Days with Majority of VA Delta down and a bullish intraday MS from Daily open to NYO, we are again, able to categorize the average of NY Session OHLC ranges into what kind of Value Areas were produced on that particular day.

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2. VA Delta down + Overall Intraday Market Structure bullish

Example. 01/03/2024. VA Size >1000, POC is in the middle of VA and Price was above VAH at NYO.

= High Probability of a Mean reverting Session. (average of O-C and H-L are in divergence, big gap between them)

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2. VA Delta down + Overall Intraday Market Structure bullish

Example. 01/03/2024. VA Size >1000, POC is in the middle of VA and Price was above VAH at NYO.

= High Probability of a Mean reverting Session. (average of O-C and H-L are in divergence, big gap between them)

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3. VA Delta up + Overall Intraday Market Structure bullish

On Days with Majority of VA Delta up and a bullish intraday MS from Daily open to NYO, we are again, able to categorize the average of NY Session OHLC ranges into what kind of Value Areas were produced on that particular day.

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3. VA Delta up + Overall Intraday Market Structure bullish

Example. 29/02/2024. VA Size >1000, POC is in the middle of VA and Price was under VAH at NYO.

= High Probability of a Mean reverting Session. (average of O-C and H-L are in divergence, big gap between them)

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3. VA Delta up + Overall Intraday Market Structure bullish

Example. 29/02/2024. VA Size >1000, POC is in the middle of VA and Price was under VAH at NYO.

= High Probability of a Mean reverting Session. (average of O-C and H-L are in divergence, big gap between them)

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4. VA Delta up + Overall Intraday Market Structure bearish

On Days with Majority of VA Delta up and a bearish intraday MS from Daily open to NYO, we are again, able to categorize the average of NY Session OHLC ranges into what kind of Value Areas were produced on that particular day.

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4. VA Delta up + Overall Intraday Market Structure bearish

Example. 31/05/2024. VA Size <1000>500, POC is in the middle of VA and Price was above VAH at NYO.

= High Probability of a Mean reverting Session. (average of O-C and H-L are in divergence, big gap between them)

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4. VA Delta up + Overall Intraday Market Structure bearish

Example. 29/02/2024. VA Size >1000, POC is in the middle of VA and Price was under VAH at NYO.

= High Probability of a Mean reverting Session. (average of O-C and H-L are in divergence, big gap between them)