Mountain Frog Research

Sessions most like 2026-09-03, as of 11:30 ET

An unbroken morning drive that is sitting on its high as the cutoff arrives.

What would separate them: The first genuine pullback after the cutoff is the observable thing: whether it is bought back quickly around the morning breakout area with volume returning on the push, or whether it drags and price settles beneath VWAP. In this cohort the sessions that kept going mostly showed little give-back below the cutoff price, while those that faded pressed deeper beneath it.

What these sessions share is not the wide opening range — the matcher selects for that — but how cleanly they held the morning advance: pullbacks stayed brief, price stayed pinned toward the upper part of the day, and each went on to print a fresh high after the cutoff without printing a fresh low. Today sits at the tight edge of that group on retracement: the high was set right at the cutoff and price has barely stepped away from it, and the deepest give-back of the morning was milder than most of the cohort's and far milder than a typical corpus session. Volume is running heavier than the corpus norm though ordinary within this group, and the underlying range backdrop is quieter than the corpus median, sitting toward the quieter side of this cohort as well.

Carried the drive 5 of 12

These pushed on through the afternoon and closed well above where they sat at the cutoff, holding a good part of the move they made. Give-back below the cutoff price was slight and brief where it appeared.

new high 5 new low 0 median to close +0.57 ATR
Pushed on, faded 4 of 12

Each traded above the morning high, in some cases by a wide margin, then leaked back for the rest of the day. They finished between the cutoff price and their own afternoon peak, closer to flat than the push had promised.

new high 4 new low 0 median to close +0.17 ATR
Push petered out 3 of 12

These barely improved on the morning high before the drive gave way, then worked sideways to lower for the balance of the session. They finished near or beneath where they stood at the cutoff, with the day's weakest stretch coming after it.

new high 3 new low 0 median to close -0.07 ATR

Written from the computed figures only, by a model that is not permitted to write a number — every count above is rendered from the same data as the table. Camps are one reading of these sessions, not a forecast: the matched features have been measured to add nothing over price position alone, so a cohort rate at this sample size is descriptive.

2026-09-03 — TODAY vwap +0.81· hi +1.20 @11:29 · IBgap -0.13· vwapΔ +0.20 · retr 1%/19%max in progress
All twelve, and today, on one set of axes hover a line to isolate it · use the plot column in the table below to drop a session — the scale refits to what is left, so hiding an outlier gives the rest the whole frame
Faint left of the cutoff: those sessions were selected for resembling today there, so the agreement is by construction. Everything that matters is to the right. Outcome is in the geometry as well as the colour — a new high is a line clearing its own earlier high — because red and green are the hardest pair to tell apart with colour-blindness.
What these became
12 of 12 expanded upward
after the cutoff, by which extremes they took
Room past the level
+0.64 ATR
median run from the cutoff price · +0.57 ATR beyond the morning high itself
Heat before it got there
-0.08 ATR
worst excursion against you between the cutoff and the extreme — not the whole session · worst -0.20 ATR · typically reached 15:10
What would catch it off guard
0 did something else
none · worst close —

What kind of session these became — expansion one way, both ways, or balance — on the same four-way split the corpus study uses, where balance is a third of all sessions. Deliberately not a hit rate: which extreme gets taken largely restates where price already sat at the cutoff, and nobody holds to the close anyway. How far it ran, what it cost to sit through, and when it got there are the parts a trade is built on. n=12.

plot sessiondistATRIB /ATRRVOL retr nowretr max to closemax upmax down new highnew low
2026-09-03 — today0.0043.20.601.191%19%in progress
2023-03-161.2654.20.501.557%18%+0.56+0.64-0.12YES
2023-09-281.6834.50.701.291%15%+0.07+0.58-0.24YES
2024-04-051.7634.50.711.227%46%+0.16+0.78-0.25YES
2023-06-021.7638.00.651.685%10%+0.10+0.32-0.20YES
2026-05-141.9055.50.510.886%7%-0.07+0.18-0.41YES
2026-02-091.9656.50.820.882%8%-0.14+0.22-0.20YES
2025-08-061.9743.50.581.014%18%+0.17+0.35-0.18YES
2024-02-021.9736.50.581.228%34%+0.37+0.87-0.20YES
2023-10-062.0142.80.581.639%27%+0.88+1.26+0.00YES
2026-08-042.0567.00.751.107%8%+0.57+0.90-0.03YES
2026-02-062.0856.51.011.4710%18%+0.63+0.93-0.04YES
2024-11-192.1547.20.521.042%11%+0.29+0.47-0.18YES
cohort low34.50.500.881%7%-0.14+0.18-0.41
cohort median47.20.651.227%18%+0.29+0.64-0.18
cohort high67.01.011.6810%46%+0.88+1.26+0.00
cohort hit rate12/120/12
CORPUS median (n=967)50.50.511.0034%60%+0.05+0.30-0.28
CORPUS base rate56%50%

All ATR-normalised and measured from the 11:30 cutoff. max up / max down are forward excursions after the cutoff — not the session extremes, which in most of these were already set. new high / new low ask whether the post-cutoff move exceeded the pre-cutoff extreme. Click any row to expand that session's chart to full width and jump to it; click again to collapse.

2023-03-16 d=1.26 vwap +0.71· hi +1.25 @11:26 · IBgap +0.01· vwapΔ +0.47 · retr 7%/18%max closed +0.56 ATR
2023-09-28 d=1.68 vwap +0.50· hi +0.83 @11:29 · IBgap -0.12· vwapΔ +0.29 · retr 1%/15%max closed +0.07 ATR
2024-04-05 d=1.76 vwap +0.52· hi +1.09 @10:57 · IBgap -0.04· vwapΔ +0.43 · retr 7%/46%max closed +0.16 ATR
2023-06-02 d=1.76 vwap +0.46· hi +0.86 @11:28 · IBgap -0.06· vwapΔ +0.16 · retr 5%/10%max closed +0.10 ATR
2026-05-14 d=1.90 vwap +0.43· hi +0.94 @11:28 · IBgap +0.04· vwapΔ +0.33 · retr 6%/7%max closed -0.07 ATR
2026-02-09 d=1.96 vwap +0.51· hi +0.95 @11:28 · IBgap +0.09· vwapΔ +0.46 · retr 2%/8%max closed -0.14 ATR
2025-08-06 d=1.97 vwap +0.53· hi +0.70 @11:28 · IBgap -0.20· vwapΔ +0.16 · retr 4%/18%max closed +0.17 ATR
2024-02-02 d=1.97 vwap +0.56· hi +0.98 @11:29 · IBgap +0.19· vwapΔ +0.33 · retr 8%/34%max closed +0.37 ATR
2023-10-06 d=2.01 vwap +0.70· hi +1.01 @11:28 · IBgap +0.27· vwapΔ +0.10 · retr 9%/27%max closed +0.88 ATR
2026-08-04 d=2.05 vwap +0.46· hi +1.10 @11:25 · IBgap +0.14· vwapΔ +0.45 · retr 7%/8%max closed +0.57 ATR
2026-02-06 d=2.08 vwap +0.35· hi +1.12 @11:22 · IBgap -0.01· vwapΔ +0.46 · retr 10%/18%max closed +0.63 ATR
2024-11-19 d=2.15 vwap +0.58· hi +0.90 @11:29 · IBgap +0.24· vwapΔ +0.26 · retr 2%/11%max closed +0.29 ATR

How these were matched

Matched on seven measures, all ATR-normalised and z-scored: distance from VWAP, magnitude of the high off the open, the clock time of that high, expansion of the price-VWAP gap across IB creation, how far VWAP itself was dragged, and how much of the drive has been retraced — both currently and at its deepest. The IB-gap and VWAP terms separate a day that trended from one that chopped to the same place; the retracement terms separate a day still pinned near its high from one that has round-tripped to the open. Ordered nearest first. Solid = up to 11:30, the part matched on. Faded = the rest of the day, the part to read. Shaded band left of the 09:30 marker is premarket from 06:00 ET. The y-axis is a shared ATR ruler with the session open at 0, identical on every tile, so magnitudes are directly comparable.

n=12. This is a case-inspection tool for rare behaviour — sort the tiles into camps by eye. It is not an inference tool, and a percentage taken off this many charts would not mean anything.

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