Does a strong 3:00 p.m. move carry into the close?
Checks whether a move of more than 0.3% between 3:00 and 3:30 p.m. tends to continue until the 4:00 p.m. close in Nasdaq-100 futures. It looked promising only after about 25 versions had been tried, which is weak evidence, and since 2023 it has averaged a loss on all four US stock-index futures.
Weak: Looked good only after many versions were tried, and has not held up since. How to read a study.
Verdict, as the study states it: VALIDATED, conditional — ship as a shadow-mode Close Read, not a sized trade.
- Study number
- FPR-26-01
- Versions tested
- 25
- Pre-registration written
- none
- First result
- Jul 27, 2026
- Markets
- NQ (cross-symbol check on ES, YM, RTY)
- Backs
- The last half hour, 15:30 to 16:00
- Sample
- NQ.c.0 1m, 3,948 full RTH sessions 2010-06-07 to 2026-07-24; IS 2010-2019 / OOS 2020-2026; survivor n=540 trades
- Costs
- 1.0 pt round trip on NQ; ES 0.5, YM 2.0, RTY 0.3 pt in the cross-symbol check
Notes and defects
Post hoc: about 25 hypothesis variants screened (18 in close_study.py), then the survivor put through robustness checks; no pre-registration exists. Survivor: |15:00 to 15:30 move| > 0.30%, follow it to the close: +5.79 bps/trade, t 2.17, bootstrap p 0.016, hit rate 51.5% (not significant). That t is below the t >= 3 bar the later pre-registered studies use. 2023-2026: the base rule is negative on all four index futures (NQ -2.3, ES -4.0, YM -0.9, RTY -0.6 bps, all n.s.); NQ longs +2.5 pt, shorts -8.9 pt. close_deep_dive.py needs pm_paths.parquet, which no script on disk generates. The calendar-study (OPEX, month-end, quarter-end) code was not found.
Data needed to rerun: CME futures 1-minute OHLCV bars (Databento GLBX layout: ts_event,rtype,publisher_id,instrument_id,open,high,low,close,volume,symbol) at <data-root>/fp-data/glbx/<ROOT>/1m/<YEAR>.csv; licensed vendor data, not redistributed (NQ, ES, YM, RTY 2010-2026)
Original working title: Close Read feasibility study: the 15:30 to 16:00 ET NQ window
Files
Resultsclose-read-study.md
Codeclose_cross_symbol.pyclose_dataset.pyclose_deep_dive.pyclose_regime.pyclose_robustness.pyclose_study.py
Hashes for every file are in SHA256SUMS. Market data is not included.
Cite this study
Futures Playbook Research (2026). Does a strong 3:00 p.m. move carry into the close?. Study FPR-26-01. https://www.futuresplaybook.com/research/close-read-last-half-hour
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.