Compression Meter

Score the range in front of you, then see what ranges like it actually did. The score is the book's; the outcomes are ours, measured on 490 SPY sessions — and they do not say what most people expect.

ATR of the last 5 bars

ATR of the last 20 bars

Range width now

high minus low of the last 20 bars

Range width before

the window before that

———

ATR ratio

—

Width contraction

—

Measured failure rate

—

breakouts from ranges like this

Measured impulse

—

median best price in 10 min

—

The honest part. We tested whether compression improves the breakout on 490 first-of-day SPY breakouts. It does not: the failure rate is 74% whether the range was compressed or not, and the difference in outcome at +30 minutes was −0.137W with a 95% interval of [−0.330, +0.056] — straddling zero. What compression does change is the size of the impulse: 0.33W against 0.25W. So a high score is a reason to expect a bigger first move, not a better trade. Score the range to decide how much to harvest, not whether you are right.