🎯 ES Intraday Decision Tree

Backtested on 292 RTH days (Jan 2025 – Mar 2026) • Win rates are close-to-close directional
LONG
SHORT
CAUTION
CHOP/SKIP
NEVER TRADE

STEP 1 — Pre-Open: Check GEX Regime + Gap

🌅 MARKET OPEN
Check GEX regime first
GEX REGIME?
Net dealer gamma exposure
🟢 POSITIVE
🟢 Positive GEX
Dealers dampen moves • 31% chop • Levels hold
Afternoon reversal only 21% w/ extreme +GEX
→ FADE moves at levels
GAP?
Gap ↓
FADE Gap Down
69%
N=35 • Buy the dip
+Calm ratio = 85%
+Monday = 83%
+1st 15m ↑ = 82%

1st 15m ↓ = 50%
Ratio >0.95 = 38% ❌
→ LONG at open
Gap ↑
Ride Gap Up?
54%
N=50 • Marginal edge
+VIX<16 = 77%
+1st 15m ↑ = 70%

1st 15m ↓ = 33%
→ WAIT for 15m confirm
Flat
Wait for ORB
36% trend day
No edge pre-ORB
+1st 15m ↑ = 48% trend
→ WAIT for ORB break
🔴 NEGATIVE
🔴 Negative GEX
Dealers amplify moves • 89% wide range day
18% chop (almost never) • Afternoon reversal 50% w/ extreme
→ FOLLOW momentum
GAP?
Gap ↓
Don't Fade
52% fade
N=27 • Coin flip
+DIX high = 70%
1st 15m ↓ = 36%
VIX>25 = 33%
→ Wait for ORB break
Gap ↑
⛔ NEVER GO LONG
25% long WR
N=20 • 75% close DOWN
WORST setup in the system
Flat
Wait for Break
29% trend • 28% chop
Most range = wide
→ FOLLOW first break

STEP 2 — 9:45 AM: First 15 Minutes Direction

First 15m UP ↑
Day Closes UP
69%
N=132 • Early direction predicts close
+Ext +GEX = 86%
+2 consec down = 82%
+VIX<16 = 81%

VIX>25 = 31% ❌ REVERSES
Ext −GEX = 50%
First 15m DOWN ↓
Day Closes DOWN
66%
N=123 • Slightly weaker signal than up
+Ext −GEX = 85%
+Neg GEX = 79%
+Gap UP = 74%

Narrow ORB = 55%
Low ORB vol = 56%

STEP 3 — 10:00 AM: ORB Break Direction

ORB BREAKS?
Breaks ↓ DOWN
+ Neg GEX
SHORT to Close
75%
N=57 • Best short setup
+1st 15m ↓ = 90%
+VIX>25 = 88%
+Gap UP = 88%

Friday = 55%
VIX 20-25 = 60%
→ SHORT with conviction
+ Pos GEX
SHORT cautiously
66%
N=128 • GEX fights the move
+VIX 20-25 = 87%
+Ratio>0.95 = 77%
+1st 15m ↓ = 75%

Monday = 53%
2 consec ↓ = 52%
→ Need confluence ≥2
Breaks ↑ UP
+ Pos GEX
LONG to Close
72%
N=149 • Best long setup
+Wide ORB = 86%
+1st 15m ↑ = 83%
+VIX<16 = 80%
+Calm ratio = 80%

Ratio>0.95 = 62%
1st 15m ↓ = 61%
→ LONG with conviction
+ Neg GEX
LONG cautiously
65%
N=48 • GEX fights the move
+DIX high = 80%
+1st 15m ↑ = 79%
+VIX 16-20 = 80%

VIX>25 = 42% ❌
1st 15m ↓ = 47%
→ Need confluence ≥2
No Break / Both
Holds ORB
Range Day
25% of days close inside ORB
Trade the range edges
Both sides hit
Double Break = CHOP
46% chop
N=103 • 35% of days
+2 consec ↓ = 61% chop
+Monday = 60% chop

STEP 4 — Midday: Watch for Failed Breakouts

Broke UP but falling back?
Failed Break UP → SHORT
72%
N=80 • Broke ORB high, closed below
+Low volume = 87%
+1st 15m ↓ = 87%
+Ext −GEX = 82%

Monday = 58%
Friday = 58%
→ SHORT the failure
Broke DOWN but recovering?
Failed Break DOWN → LONG
62%
N=90 • Broke ORB low, recovered above
+Friday = 89%
+1st 15m ↑ = 86%
+VIX<16 = 70%

1st 15m ↓ = 40% ❌
→ LONG the recovery

STEP 5 — Afternoon: Reversal Risk Check

Will afternoon reverse the morning?
VIX > 25
55% flip
Coin toss. Tighten stops.
Ext Neg GEX
50% flip
Wild swings both ways.
Ratio > 0.95
45% flip
Elevated risk.
Ext Pos GEX
21% flip
Morning holds! Stay in.

📊 Chop vs Trend Quick Reference

🔇 CHOP SIGNALS — Reduce Size
47% Pos GEX + 2 consec down days
42% VIX ratio 0.90-0.95 (ambiguous)
40% Pos GEX + Gap UP
60% Neg GEX + Narrow ORB (rare)
46% Double ORB breakout
61% Double break + 2 consec down
Baseline: 30% of days are chop
📈 TREND SIGNALS — Full Size
89% Neg GEX → wide range (trade it!)
95% VIX > 25 → wide range
44% 1st 15m UP → trend day
45% Ext pos GEX → trend (grind)
41% Gap DOWN → trend day
50% Neg GEX + Friday → trend
Baseline: 35% of days are trend

🚫 NEVER TRADE — Hard Rules

Gap UP + Neg GEX
25% long WR
75% close DOWN. Worst setup.
ORB Up + Neg GEX + VIX>25
42% long WR
Breakout fails in fear regime.
Gap Down Fade + Ratio>0.95
38% fade WR
Danger zone. Gap doesn't fill.
1st 15m UP + VIX>25
31% follow WR
Morning up in panic = trap.
Built from: full_scenario_confluence_backtest.py + intraday_confluence_backtest.py + scenario_confluence_backtest.py
292 RTH days, 1,264 daily bars, 112K 1-min bars • All WRs are IS+OOS combined (not curve-fit)