Mountain Frog Research

Sessions most like 2026-09-23, as of 11:30 ET

A morning that printed its high at the bell, built its range downward, and sits back near the weak end of it after a mid-morning bounce faded.

What would separate them: What separates these outcomes is visible on the tape rather than in the setup: whether the mid-morning bounce high is reclaimed and held, whether price can work back above VWAP and stay there, and whether the heavier volume arrives on the push away from the session low or on the attempt back up into the range. A probe of the session low that gets absorbed and rejected looks different from a clean break with size behind it.

These are the sessions that had held their morning move by this hour — the giveback into the cutoff was more contained than the corpus norm, which is largely what the match selected for. Today sits just below the quiet end of the group on volatility backdrop, and below the corpus median, with participation running above the corpus norm but lighter than most of the cohort. Where today stands apart is the path it took to get here: its deepest pullback ran toward the far end of what these sessions saw, and that bounce has since been handed back, leaving price nearer the morning extreme than most of the cohort was at the cutoff. What the group does not share is the resolution — having arrived at this hour looking alike, they went separate ways.

Reversed and ran 3 of 12

These traded up through the morning's high after the cutoff and kept going, in some cases far beyond it. Most carried the advance into the close; where it was not carried, the bulk of it was handed back before the bell.

new high 3 new low 0 median to close +0.93 ATR
Broke down hard 3 of 12

These kept pressing lower after the cutoff, cutting fresh lows well past the morning's and closing on the weak side of the day. The lows did not always hold into the bell, but these still closed well beyond where they stood at the cutoff.

new high 0 new low 3 median to close -1.36 ATR
Slipped, then stuck 2 of 12

These did take out the morning low, but the break never gathered pace and the follow-through stayed modest. The afternoon settled into a drift rather than a trend.

new high 0 new low 2 median to close -0.29 ATR
Went nowhere 4 of 12

These held inside the range that was already in place at the cutoff, taking out neither extreme. Price finished close to where it sat at midday, the afternoon adding rotation but no direction.

new high 0 new low 0 median to close +0.16 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.

2026-09-23 — TODAY vwap -0.24· hi +0.06 @09:30 · IBgap -0.30· vwapΔ -0.64 · retr 15%/50%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
5 of 12 expanded downward
after the cutoff, by which extremes they took
Room past the level
-1.16 ATR
median run from the cutoff price
Heat before it got there
+0.08 ATR
worst excursion against you between the cutoff and the extreme — not the whole session · worst +0.11 ATR · typically reached 15:20
What would catch it off guard
7 did something else
4 stayed in balance, 3 expanded upward · worst close +2.06 ATR

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
2026-09-23 — today0.0043.51.111.1515%50%in progress
2024-11-200.2949.81.211.1922%53%+0.93+1.00-0.07YES
2022-12-060.7455.50.771.2318%20%-0.29+0.08-0.69YES
2022-10-140.8374.21.312.1922%38%-0.59+0.00-0.70YES
2025-08-290.8844.00.971.1329%38%+0.16+0.18-0.22
2024-09-030.9059.20.761.2224%32%-0.71+0.11-1.16YES
2025-03-040.9261.01.322.4710%52%+0.64+2.04-0.01YES
2024-10-010.9450.51.361.6226%28%+0.16+0.62-0.33
2024-09-110.9457.81.331.4929%34%+2.06+2.25-0.03YES
2025-11-030.9454.51.041.0837%51%+0.26+0.41-0.02
2025-02-210.9550.80.741.1427%39%-1.36+0.11-1.48YES
2026-06-050.9855.50.851.2712%26%-1.90+0.06-2.27YES
2026-02-231.0279.80.731.2234%35%-0.05+0.14-0.29
cohort low44.00.731.0810%20%-1.90+0.00-2.27
cohort median55.51.041.2326%38%+0.16+0.18-0.29
cohort high79.81.362.4737%53%+2.06+2.25-0.01
cohort hit rate3/125/12
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.

2024-11-20 d=0.29 vwap -0.24· hi +0.03 @09:30 · IBgap -0.25· vwapΔ -0.65 · retr 22%/53%max closed +0.93 ATR
2022-12-06 d=0.74 vwap -0.21· hi +0.10 @09:33 · IBgap -0.31· vwapΔ -0.54 · retr 18%/20%max closed -0.29 ATR
2022-10-14 d=0.83 vwap -0.27· hi +0.24 @09:39 · IBgap -0.38· vwapΔ -0.58 · retr 22%/38%max closed -0.59 ATR
2025-08-29 d=0.88 vwap -0.15· hi +0.09 @09:30 · IBgap -0.16· vwapΔ -0.56 · retr 29%/38%max closed +0.16 ATR
2024-09-03 d=0.90 vwap -0.18· hi +0.06 @09:31 · IBgap -0.19· vwapΔ -0.48 · retr 24%/32%max closed -0.71 ATR
2025-03-04 d=0.92 vwap -0.45· hi +0.09 @09:38 · IBgap -0.27· vwapΔ -0.53 · retr 10%/52%max closed +0.64 ATR
2024-10-01 d=0.94 vwap -0.15· hi +0.02 @09:30 · IBgap -0.16· vwapΔ -0.70 · retr 26%/28%max closed +0.16 ATR
2024-09-11 d=0.94 vwap -0.13· hi +0.02 @09:30 · IBgap -0.37· vwapΔ -0.80 · retr 29%/34%max closed +2.06 ATR
2025-11-03 d=0.94 vwap -0.06· hi +0.02 @09:30 · IBgap -0.34· vwapΔ -0.54 · retr 37%/51%max closed +0.26 ATR
2025-02-21 d=0.95 vwap -0.16· hi +0.01 @09:30 · IBgap -0.31· vwapΔ -0.42 · retr 27%/39%max closed -1.36 ATR
2026-06-05 d=0.98 vwap -0.31· hi +0.09 @09:33 · IBgap -0.24· vwapΔ -0.44 · retr 12%/26%max closed -1.90 ATR
2026-02-23 d=1.02 vwap -0.25· hi +0.28 @09:38 · IBgap -0.34· vwapΔ -0.52 · retr 34%/35%max closed -0.05 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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