The question started as a live-trading complaint: a short on Asia hit its full stop-loss despite pushing 45+ points favorable at one point. That led to two separate questions worth answering with real data rather than a gut read.
How far does price run once it starts expanding away from VWAP?
Using 1-minute MNQ data, an “expansion start” event was flagged per session (Asia/London/NY) whenever price crossed to one side of session VWAP and VWAP’s own slope cleared a minimum-points threshold over a lookback window – the first bar a debounced version of that condition turned true, not a strict crossover. From each event, entry queued at the next bar’s open (matching this project’s fill convention), and forward max favorable excursion was measured over a 45-minute cap.
| Session | Side | Median MFE | Hit ≥25pt | Hit ≥30pt | Hit ≥35pt |
|---|---|---|---|---|---|
| Asia | long | 19.5-20.5 | 42-43% | 35-36% | 29-30% |
| Asia | short | 23.5-25.0 | 48-50% | 42-44% | 36-40% |
| London | long | 21.5-23.0 | 45-47% | 37-38% | 32-33% |
| London | short | 27.2-28.0 | 53-54% | 47% | 41% |
| NY | long | 42.8-43.2 | 67-69% | 62-63% | 57-59% |
| NY | short | 51.0-52.5 | 70-73% | 65-69% | 61-64% |
NY clears a 25-point move over 65% of the time once expansion starts. Even Asia, the weakest of the three, is in the 35-50% range. The gap missing from this table on its own: nothing here measures how much the trade has to survive against it first before that favorable move shows up – a session with a great hit-rate and a routine 20-point drawdown first isn’t tradeable with a tight stop. That’s the natural next study, not yet run.
Does a fixed-point target even mean the same thing across the sample?
MNQ moved from roughly 16,300 to 29,900 over the 2024-2026 data window used here – an 83% re-rating. Re-running the same expansion study broken out by quarter, with the same event captured in three parallel units (raw points, % of entry price, multiples of a 14-period ATR), shows why that matters for anyone sizing TP/SL in fixed points:
- Median MFE in points climbs hard across the sample – NY long: 31.2pts in 2024 Q1 to 66.0pts by 2026 Q2.
- The same data in % of price stays roughly flat – 0.1-0.3% across every quarter, no clear trend.
- ATR-multiple is the most stable unit of the three – 2.0-3.3x across the entire sample.
A fixed 30-point target looked far easier to clear in 2026 than in 2024 (hit-rate roughly 53% to 82% across the same quarters) – but that’s mostly the index getting bigger under a static number, not the setup itself improving. The %-of-price and ATR-normalized readings of the identical trades barely moved over the same period.
What this doesn’t answer yet
This is one instrument’s data, over one 2.5-year window. It says %/ATR-normalized sizing is more stationary than fixed points here – it doesn’t say the coefficient itself holds indefinitely, or whether the same finding generalizes to other index futures (ES, YM) with different long-run price appreciation. A research brief covering exactly that – longer-history, cross-instrument data on whether volatility scales with price level structurally or moves on its own separate regime cycle – is out for external research; results pending.