SMT in ES and NQ futures: data alignment and dollar risk

ES and NQ have different contract economics

CME lists ES at $50 per S&P 500 index point and NQ at $20 per Nasdaq-100 index point. Both have a 0.25-point minimum tick for outright futures, giving different dollar tick values. These are E-mini specifications; do not substitute Micro E-mini sizing.

Freeze a data specification before searching for divergences

Use one-minute standard candles for this illustrative detector, with an explicitly chosen overlapping session such as 09:30–16:00 America/New_York on eligible weekdays. This is a research window, not a statement of complete exchange trading hours or an optimal session.

• Record exact exchange-qualified symbols and contract months. If using continuous futures, document roll and adjustment settings and exclude comparisons that span a roll under your chosen policy.
• Require identical bar opening and closing timestamps and complete peer OHLC data. Skip missing or stale values instead of forward-filling a held high or low.
• Respect holidays and shortened sessions. An IANA timezone handles daylight-saving offsets; a fixed UTC offset does not describe New York throughout the year.
• Do not assume real-time availability. Check each feed’s access and delay; a lagged peer may create an apparent mismatch.

An explicit pivot detector, with delay disclosed

For this hypothetical rule, a strict high pivot exceeds the highs of three bars on both sides; a strict low pivot is below all six surrounding lows. Exclude ties. Match same-type pivots only at identical swing timestamps, compare two consecutive matched pairs within the selected session, and reset after missing data or at session end.

The first knowable time is the entry research boundary

For a one-minute pivot bar opening at 10:00, three subsequent complete bars end at 10:04. A qualifying paired pivot is not knowable before that time. If testing next-bar-open execution, the earliest eligible fill follows confirmation, rather than occurring at the earlier extreme.

• The three-right-bar choice is illustrative. Five right bars require five later bars; neither setting is established as best here.
• Exact timestamp matching deliberately rejects nearby but unmatched pivots. A tolerance window changes the model and needs rules for matching order and pivot reuse.
• These example low comparisons define detection only. Choosing ES, NQ, a micro contract or no trade requires its own entry and risk specification.

Translate a hypothetical stop distance into dollar exposure

Suppose a separate long NQ test has an entry fill at 18,020 and planned stop at 18,000. The 20-point distance is 80 ticks, or $400 per E-mini contract before costs. This is invented arithmetic, not a proposed entry or broker quote.

• With an assumed $12 round-trip commission/fee total and two additional ticks of execution loss, the modeled amount is $400 + $12 + $10 = $422. A $500 budget permits one such contract under these assumptions; a $300 budget permits none.
• For comparison, a 5-point ES distance is 20 ticks × $12.50 = $250 before costs. Equal tick counts do not mean equal dollar risk across contracts.
• Margin is a collateral requirement, not the loss at a stop. Gaps, fast markets and unavailable liquidity can make realized losses exceed the modeled amount.
• A fixed three-to-five-tick buffer cannot be described as suitable for every setup. State the actual level, rounding and fill assumptions.

Backtesting one traded symbol with a peer input

A Pine strategy can use peer prices to form conditions, while its strategy orders operate on the chart instrument. It does not become a two-contract portfolio simulator merely by requesting another ticker. Verify contract multiplier, tick rounding, commission, slippage and order timing on the traded chart.

• Available intraday history and plan limits constrain the test. Strategy Optimizer compares exposed inputs; it does not supply unlimited years of missing one-minute data.
• Freeze settings before evaluating an untouched period. Report skipped/missing observations, signal count, completed trades and costs as well as returns.
• If adding YM or RTY, predefine their role and an incremental comparison. More correlated indices do not automatically supply independent evidence or raise win probability.
• Use separate detection and trade logs. A correctly timed divergence can still precede a losing trade.