Strat Stats measures the first break of every TheStrat combo on E-mini S&P 500 (ES) futures, 2018-01-01 to 2026-09-22, from 3,070,709 one-minute bars, against a baseline of all breaks. Entries are on the bar after the pattern completes; failed 2s are split out. The headline: the combo label alone barely beats a random break, on ES and on NQ. Descriptive statistics, not a trading system.

How often each Strat setup bar breaks, and what happens after the break, measured on 1-minute data against an explicit baseline. Every setup is compared with all first breaks on the same timeframe and in the same direction. There are no strategies, no optimisation and no edge claims.

The baseline: every first break

+1R first is the share of resolved trades that reached +1R before the stop. With the stop and target the same distance away, a coin-flip market gives 50%.

15m · long / short

53.3% / 53.9%

165,836 breaks · trigger closes back inside 41.2%

30m · long / short

52.9% / 52.7%

80,873 breaks · trigger closes back inside 40.2%

1h · long / short

52.0% / 52.3%

42,661 breaks · trigger closes back inside 38.9%

4h · long / short

52.3% / 50.9%

10,998 breaks · trigger closes back inside 33.9%

D · long / short

48.6% / 50.2%

1,959 breaks · trigger closes back inside 35.7%

When both directions sit above 50% on the same timeframe, that is a property of every break there (excluding the entry minute favours whoever just broke out), not of any setup. Read each cell against its baseline, not against 50%.

Setups that differ from the baseline

6 of 290 tested setup cells differ on +1R first after correcting for the number of tests (q < 0.05).

TF	Setup	Dir	n	+1R first	Baseline	Diff	q
15m	2D F2D	long	6,280	49.2%	53.3%	-4.1	0.000
15m	1 1	long	2,080	57.6%	53.3%	+4.3	0.016
15m	2D 2D	long	1,880	48.5%	53.3%	-4.8	0.032
30m	1 F2D	long	1,473	58.1%	52.9%	+5.2	0.033
30m	2D F2D	long	3,024	49.2%	52.9%	-3.7	0.033
15m	2U F2U	short	6,375	51.6%	53.9%	-2.3	0.045

Dataset

TF	Bars	Stub bars	First breaks	Same-minute ambiguous	Equal highs %	Equal lows %
15m	205,083	168	165,836	655	7.30	6.75
30m	102,984	943	80,873	279	5.26	4.59
1h	51,538	52	42,661	70	3.71	3.17
4h	13,428	10	10,998	5	1.74	1.32
D	2,253	3	1,959	1	0.53	0.31

Stub bars (holiday and early-close bars with under 60% of the usual minutes for their slot) are kept in the bar tables but never used as a setup or trigger. Equal highs or lows are not breaks.

Key findings

The setup label alone barely beats a random break. Of 290 setup cells with at least 100 trades, 6 differ from their baseline at q < 0.05 (Benjamini-Hochberg).

Across every first break, +1R is reached before the stop about 49-54% of the time, depending on timeframe and direction.

The one cell flagged on both ES and NQ is a negative: 15m 2D then 2D, traded long (-4.8 points vs baseline on ES; -2.5 on NQ in our run, -2.8 on @notprofgreen's page).

Timeframe continuity (TFC) adds nothing measurable to these first breaks.

Replication: run on NQ over @notprofgreen's window (2019-06-02 to 2025-03-14) and timeframes, the same code reproduces his page: bar counts within 0.1%, 186 setup cells with lift correlation 0.99, same sign 95% of the time, mean difference 0.38 points. His only significant cell, 15m 2D-2D long, flags too (-2.5 vs his -2.8).

What it means: the edge, if any, is not in the bar label. It has to come from context, targets, or management, which this study does not test.

Definitions

Bar types compare each bar with the one before, highs and lows only. 1 = inside (broke neither side). 2U / 2D = broke the prior high only / low only. 3U / 3D = broke both; 3U if it closed above its own open, otherwise 3D. Equal is not a break.

Failed 2 (F2U / F2D): a 2 that closes back inside the prior bar's range, edges included. Only 2s can fail; there is no F3.

Combo: two closed bars, C2 then C1. C1 is the setup bar.

Entry bar: the bar after C1 closes. Long = first trade through C1's high, short = first trade through C1's low (a stop order; if the minute gaps through, the fill is that minute's open). No break, no trade. A minute that breaks both sides is dropped.

Stop: the other side of C1 plus one tick. 1R = entry to stop.

Outcome: +1R (and +2R) reached before the stop within the entry bar plus two more bars, checked on 1-minute bars. The entry minute is skipped; a minute touching stop and target counts as the stop.

Baseline: all first breaks on the same timeframe and direction. Wilson 95% intervals, z-tests, Benjamini-Hochberg q-values.

Sessions: 18:00 ET (15:00 PT) start; 4h bars at 18, 22, 02, 06, 10, 14 ET. Prices back-adjusted at each contract roll from raw prices.

Baselines (ES, all first breaks)

Timeframe	Direction	Trades	+1R before stop	+2R before stop	Trigger bar closes beyond entry
15m	long	85,564	53.3%	23.6%	50.3%
15m	short	80,272	53.9%	26.7%	47.8%
30m	long	42,135	52.9%	23.8%	51.1%
30m	short	38,738	52.7%	27.6%	47.2%
1h	long	22,675	52.0%	24.4%	51.6%
1h	short	19,986	52.3%	28.4%	46.9%
4h	long	6,008	52.3%	26.5%	54.1%
4h	short	4,990	50.9%	29.7%	47.3%
D	long	1,124	48.6%	18.6%	54.3%
D	short	835	50.2%	27.1%	45.6%

Setup cells that differ from baseline (ES, q < 0.05)

Timeframe	C2	C1 (setup)	Direction	Trades	+1R before stop	vs baseline (points)	q
15m	2D	F2D	long	6,280	49.2%	-4.1	0.001
15m	1	1	long	2,080	57.6%	+4.3	0.016
15m	2D	2D	long	1,880	48.5%	-4.8	0.032
30m	1	F2D	long	1,473	58.1%	+5.2	0.033
30m	2D	F2D	long	3,024	49.2%	-3.7	0.033
15m	2U	F2U	short	6,375	51.6%	-2.3	0.045

Trades that follow one another share price paths, so q-values are optimistic. Treat these as reasons to look again, not as proof.

Limitations

One trade definition: a symmetric 1R bracket over three bars. Exits, targets (magnitude, exhaustion) and management are not tested.

No commissions or slippage. In-sample description; a dev (to 2022) and holdout (2023 on) split is on the interactive page.

Unfillable data gaps: 2019-02-26 19:40-22:45 ET and 2020-06-30 18:00-19:59 ET. Nothing is interpolated.

Strat Stats: ES and NQ