Why the firm's old daily trade ideas lost

Until October 2026 the firm published daily trade ideas that bought or sold when price broke through a marked level. Replaying the rule behind them on 2026 data for eight futures markets, it lost money after costs in every version tried. The review was done after the fact rather than planned in advance.

Refuted: Failed its test once trading costs were included. How to read a study.

Verdict, as the study states it: The published pick family has no edge — replicated three ways (net of $4 RT + 1 tick each way: -0.217R to -0.091R per trade across five variants).

Study number

FPR-26-11

Versions tested

53

Pre-registration written

none

First result

Sep 15, 2026, 22:26 ET

Markets

CL, NQ, ES, GC, ZN, RTY, YM, 6E (full-size contracts)

Backs

Level breakouts

Sample

Breakout replication: 2026 year-to-date only (3,971 sessions, about 5,500 trades per variant). Late-session momentum: 702 days 2023-2026. Overnight drift: 2020-2026, about 1,660 nights per root

Costs

$4 round turn plus 1 tick slippage each way (overnight/late-session scripts: NQ $14, ES $29, CL $24, GC $24 per round turn)

Notes and defects

Post hoc diagnosis, no pre-registration. Arms is a lower bound: 26 cells reported in the write-up (5 breakout variants, 4 target multiples, 1 breakeven-stop variant, 8 late-session-momentum cells, 8 overnight/day cells) plus about 27 conditioner splits printed by study2.mjs and not tabulated. The breakout replication covers 2026 YTD only; the multi-year evidence the write-up cites is the separate pn-001 study (orb-vxn-and-gex-regime) and an external paper. Three passages quoting the desk's live pick record were redacted under the 2026-09-10 disclosure rule. Scripts write a debug file to <out-dir>.

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 (2020-2026; the breakout scripts read 2026.csv only); QQQ dealer-gamma history <data-root>/fp-data/gex/history/*.json.gz from Unusual Whales API data (requires your own subscription; the pull scripts here read the key from an env file named by UW_KEY_FILE)

Original working title: Why the tape-graded record loses: replication of the published level-breakout family, plus late-session momentum and overnight drift checks

Files

Hashes for every file are in SHA256SUMS. Market data is not included.

Cite this study

Futures Playbook Research (2026). Why the firm's old daily trade ideas lost. Study FPR-26-11. https://www.futuresplaybook.com/research/level-breakouts-tape-diagnosis

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.