Quant Systems

Chart Archive

S&P500 Futures (ES) Intraday Charts
  • Research Reference
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► The archive contains Zip files for each year, which you can download. 
► You have 14 days from time of purchase to download the archive to your computer.  
► For subsequent years, after 2023, purchase those years archive(s) separately. 
► The archive is offered at 50% discount compared to buying one year at a time ($97 for one year). 
overview
This module contains historical 5 min intraday charts of ES from Ali's archive:
  • 2015: 241 charts 
  • 2016: 256 charts
  • 2017: 251 charts
  • 2018: 254 charts
  • 2019: 253 charts
  • 2020: 255 charts 
  • 2021: 253 charts 
  • 2022: 249 charts 
  • 2023: 248 charts 

Format

File Format
  • All files are graphical (image) .PNG file type
  • The archive is organized base don year
  • To view charts, download the Zip file on your computer and unzip the folder
  • Size: Most files are about 1920 x 973 pixels
  • Each file is made up of 3 charts. Most of the archive has a small daily chart and a 60 minute intraday chart along with a large five minute chart
  • Friday chart includes a small weekly chart
  • The last day of the month includes a small monthly chart
Example
  • The chart below shows how most charts in the archive is organized
  • Later charts include an opening gap measurement indicator as you see on this chart

Click to enlarge

Annotations
Most charts have the following annotations:
  • Day of the week
  • High of the prior day (dark blue line)
  • Low of prior day (dark red line)
  • All time high (pink line)
  • Open of the day (light green line)
  • Bars are numbered every other bar
  • Some trend lines are drawn
  • Some measured moves are marked
  • Opening gap: marked and measured using an indicator (see chart example above for details) starting in 2019

Indicators

Daily Chart
  • EMA20 (blue)
  • EMA50 (green)
  • EMA200 (pink)

60Min Chart
  • EMA20 (blue)
  • EMA200 (pink)
5Min Chart
  • EMA20 (blue)
  • EMA60 (gray) representing EMA20 of 15Min chart
  • EMA200 (blue dot-dash) representing EMA20 of 60Min chart, using Dr Al Brook's code that calculates this EMA based on the 5Min OHLC data
  • Day-Date indicator
  • Opening gap measurement indicator (2019 onwards)
  • Bar numbering

Click to enlarge

Opening Gap Classifications
Starting in 2019, opening gaps are classified as follows:
  • Typical Gap: a gap that is neither small or big
  • Small Gap: when the range of the gap is smaller than 10% of average daily range of the past 21 days
  • Big Gap: when the gap is bigger than the biggest gap of last five big gaps


The chart examples on this page indicate examples of the above gap types and how the indicator is marking them. 

Click to enlarge

File Name Convention

General Format
YYYYMMDD_Symbol - Gap - Day Structure - Day Type
Example:
     20210115_ES - 20 pt Gap Dn Open - ORV Dn, PW LOD Rev, SC BL Trend, WBRF, DT LH MTR Dn - TTRD
  • All files are named according to the above convention
  • File names start with date (Year Month Day)
  • Followed by symbol, which is ES for all charts in the archive
  • If the day has a gap on the open, gap size is mentioned as points and in later years as percentage of the average daily range
  • Price structures that build the day's chart are mentioned next, in the order they appeared 
  • File name ends with the day type. For example, a TTRD is a Trending Trading Range Day, which is a type of a trading range day that also trends some of the time
Opening Range Types
  • The very first acronyms after gap size explain the type of the opening range
  • Opening range (OR) or the first hour is the initial price action of the day that can last anywhere between less than an hour to more than two hours
  • Most days (about 80% of them) have at least one reversal in the first hour and therefore form a trading range on the open
  • If this range is broken out of, the OR type is ORBO for opening range breakout
  • If the day forms a triangle for example, on the open followed by a breakout, it will be a TRI ORBO 
  • When there is only one reversal during the OR, it is called ORV up or down (for Opening Range reVersal)
  • If the day trends from the first bar, the day is a T1B (Trend from 1st Bar) bull or bear 
  • Generally speaking, there are only three types of OR: T1B, ORV, and ORBO
Day Types
  • TRD: Trading Range Day
  • TTRD: Trending Trading Range Day
  • SPB: Small PullBack trend
  • Trend: Bull (BL) or Bear (BR) trend all day
  • FOMC: FOMC Report or Minutes announced 
  • TRI: Triangle
  • ET: Expanding Triangle
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Chart Archive

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How to Use this Archive

  • As a quick reference
  • As a database for chart reading practice
  • For reviewing quickly how the market cycle evolves over time across days and intraday timeframes 
  • Reviewing major market events of the past ten years, such as 2018 mini-crash, US President elections, COVID crash, etc.
  • Understanding FOMC effect on intraday price action
  • Systems research
  • Probability research: counting occurrences of a particular structure across time with a simple keyword search in file names

Note on this Archive

  • This is Ali's personal chart archive that he has collected over a decade of day trading
  • Systems Academy students use it for systems research and development 
  • You will see footprints of a trader's development journey in these charts: earlier charts are marked with trend lines and notes while later ones  have much less annotations because the trader now sees everything in a glance and does not need annotations anymore
  • You will also notice that Ali added a few indicators to the charts (as he developed his coding and automation skills) such as more sophisticated bar numbers or the opening gap indicator
  • Ali uses proprietary systems and indicators for his trading that are all excluded from these charts 
  • The purpose of this chart archive is to facilitate price action practice. So, Ali has kept the charts clean and simple to be timeless and not require updating as systems and indicator technology change over time

Ali Moin-Afshari

Systematic Trader
ABOUT ALI
Ali Moin-Afshari is the founder of Quant Systems and course creator of the Systems Academy program. He has had a successful +20-year career in IT and telecom, working as an architect, consultant, and founder of two IT companies. He began his trading career initially as a side business in 2007 and became a full time trader in 2014. He is a systems expert and has designed,  developed, and programed more than 200 trading systems.
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