Counting the touch bar
The bar that reaches the band often trades back through VWAP inside that same bar, so counting it turns a wick into a return nobody could have taken. Counting starts at the bar after the touch.
The Stretch
Does price come back to VWAP after touching a band? NQ futures, 5-minute bars.
The ladder
Every session, every band, the first time price touches it. Then one question, asked two ways: does price get back to the VWAP of that moment before it runs another sigma further out, or does it get back at all before the session closes. The orange dots are the answer. The grey rings ask the same question of a line drawn at random the same distance away, on the same days.
Back to VWAP
Session
Band distance from VWAP, in sigma
- Touches
- …
- Back to VWAP
- …
- Random line
- …
- Difference
- …
- Coin line
- …
One session
Three ways to fool yourself
No random line
A share on its own is not evidence, because price spends the session wandering back and forth across its own average anyway. The same question is asked of lines drawn at random, at the same distance, on the same days.
No clock
Wait long enough and price gets back to almost any level, so an answer with no deadline flatters itself. One reading gives it until price runs another sigma the wrong way, and the dotted line is what a coin manages under that rule.
Under the hood
Data. NQ futures one-minute bars from the London Strategic Edge vault, rows, to , resampled to five minutes inside each session.
Sessions. RTH runs and Globex , anchored separately. Half days and data gaps are excluded: sessions in all.
VWAP and sigma. Both cumulative from the session anchor on the typical price, volume weighted, the way a chart draws them. A band is VWAP plus or minus k sigma.
Warm-up. No touch counts in the first bars of a session, and none while sigma is still zero. Early bands are noise, not levels.
The touch. The first time price reaches a band, once per session, per band, per side. The band is the previous bar's VWAP plus or minus k times the previous bar's sigma, so nothing is read from a bar before it has closed.
The level. Price has to get back to the VWAP of that moment, held where it was at the touch. Counting starts at the bar after the touch: the touch bar itself can never be a return, which is where the loudest version of this test leaks.
Two readings. The first gives price until it runs one more sigma the wrong way. The second gives it the rest of the session and nothing else, so it has no way to lose except the close.
The random line. Five levels a session, drawn inside the range of the session's first thirty minutes, then treated exactly like VWAP: same distance in the same sigma, same first touch, same two readings, same days. Seed .
The coin line. One divided by one plus the band distance in sigma. That is how often a walk with no drift and no memory gets back to the level before it runs one sigma further out, and it applies to the first reading only, because the second has no boundary to lose against.
What is not here. No position size, no costs, no profit and loss. The question is whether price comes back, and the answer is a share of touches.
Next door: The Hump, the same odds question asked about size, and The Desk, the book these tests are kept honest for.
RESEARCH NOTES, NOT INVESTMENT ADVICE.