Market Regime Lab / Study 01
Observe first.
Understand next.
A quiet instrument for studying intraday futures. One contract, connected sessions, and a traceable path back to the source.
Preparing the research instrument…
01 / Provenance
Every candle has a source.
Databento GLBX.MDP3 one-minute OHLCV forms the canonical dataset. Five-minute candles preserve each instrument independently, including calendar spreads. No continuous contract or price adjustment is applied.
02 / Convention
Time, kept explicit.
Bars begin at UTC multiples of five minutes and cover [start, start + 5m). Sessions use Chicago trade dates, rolling at 17:00 local time. Missing minutes remain unfilled; incomplete candles and degraded sessions are identified.
03 / Smoothing inquiry
Measure the filter.
Compare EMA, KAMA, and trend-quality KAMA against regular GC candles. Study normalized distance, crossings, slope persistence, and adaptive band width within the selected research window. Parameters describe behavior; they do not prescribe a trade.
Follow another thread of curiosity.
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