--- title: "Forex market structure research · Oxarus Quant" description: "Studies on support and resistance levels, weekend gaps and how price behaves at levels, built on millions of minutes of data." url: https://oxarus.com/en/quant/research key: quant-research route: /quant/research unit: quant locale: en status: live alternates: tr: https://oxarus.com/tr/quant/research en: https://oxarus.com/en/quant/research documents: json: https://oxarus.com/machine/en/quant/research.json jsonld: https://oxarus.com/machine/en/quant/research.jsonld txt: https://oxarus.com/machine/en/quant/research.txt schema: oxarus.machine/2.0 --- # Forex market structure research · Oxarus Quant > Studies on support and resistance levels, weekend gaps and how price behaves at levels, built on millions of minutes of data. Breadcrumbs: [Oxarus home](https://oxarus.com/en) › [Oxarus Quant](https://oxarus.com/en/quant) › [Research](https://oxarus.com/en/quant/research) ## Notices - Interface data marked as representative is illustrative; it is not a real client, result or measurement. - Not investment advice. Trading in financial markets carries a risk of losing capital. ## Sections - [we measure first.](#hero) - [two published studies.](#studies) - [how long at the level?](#dwell) - [when do they close?](#gaps) - [how we avoid fooling ourselves.](#method) - [let data answer your question.](#cta) ## we measure first. _QUANT · RESEARCH_ We test widely held but rarely measured market ideas against data: seven years of minute prices, a matched control group for every idea and a repeat on a second pair. We publish the ideas that don't hold up, too. - [Institutional research](https://oxarus.com/en/quant/research#cta-heading) → `open_page(path="/quant/research", anchor="cta-heading")` - [Findings](https://oxarus.com/en/quant/research#studies) → `open_page(path="/quant/research", anchor="studies")` - Minute data, 2020–2026 - A matched control group in every test - Replicated on EURUSD and GBPUSD 1. Level 2. Control 3. Result _Representative interface data_ · Representative chart. Findings are for research purposes only and are not investment advice. - **file:** level\_study.ipynb - **dataset:** EURUSD · M1 · 2020–2026 · 40,658 touches - **tag:** Representative chart Count touches · Build control lines · Compare rates - **done:** done - **level:** Previous day high (PDH) - **band:** band = 0.05 × ATR - **levelTag:** PDH **Matched control** - **tag:** ctl - **body:** For every real level, a line at the same distance that means nothing. Taken from another day's real offset, shifted by 7 days. - **Real level:** 9–25 / day - **Control line:** ~25 / day - **Distance distribution:** identical **Three touches on one level** - 0 - **n:** #1 - **minutes:** 4 - **dwell:** 4 min - **out:** REJECT - 1 - **n:** #2 - **minutes:** 9 - **dwell:** 9 min - **out:** REJECT - 2 - **n:** #3 - **minutes:** 31 - **dwell:** 31 min - **out:** BREAK > The touch that stayed longest in the band broke the level. One representative day; the rates are in the third cell. - **resultTitle:** Break rate · by level family | | | | | --- | --- | --- | | PIVOT | 41 | 40 | | PDHLC | 41 | 40 | | ROUND | 41 | 40 | | SWING | 41 | 40 | | FIB | 39 | 39 | **Same result every year** - 2020 - 2021 - 2022 - 2023 - 2024 - 2025 - 2026 - **verdict:** No difference: a level's name doesn't change the odds of a break. > Representative chart; rates are from the published study. ## two published studies. _STUDIES_ Each study states its sample, period and control method. Pick a finding to bring its panel forward in the figure. > From the published study. For research purposes only, not investment advice. - **Do levels really hold?** · _EURUSD and GBPUSD · 2020–2026_ At pivots, previous-day levels, round numbers, swing and Fibonacci levels, we checked whether price broke through, and compared the results with meaningless control lines that share the same distance distribution. - **sample:** 83,527 - **sample unit:** touches **STUDY FACTS** - **Sample:** 83,527 touches - **Period:** 2020–2026 - **Pairs:** EURUSD · GBPUSD - **Resolution:** M1 (minute bars) - **Control:** Distance-matched lines - **Replication:** Replicated on GBPUSD **FINDINGS** - Every level family broke about 41% of the time; matched control lines, 40%. The same held in each of the seven years. - Which touch it was made no difference: from the 1st touch to the 5th, 41%, 40%, 39%, 42%, 44%. - The only thing that changed the outcome was how long price stayed near the level on that touch. The same result replicated point for point on GBPUSD. - Break rate by level family - Break rate by touch number - Break probability by time in the band - **Go to the dwell-time chart** - [Go to the dwell-time chart](https://oxarus.com/en/#dwell) - **Do weekend gaps close?** · _EURUSD · weekend and holiday breaks_ We measured when the Monday opening gap made it back to Friday's close, and how far price traveled before it did. - **sample:** 345 - **sample unit:** breaks **STUDY FACTS** - **Sample:** 345 breaks - **Period:** 2020–2026 - **Pair:** EURUSD - **Resolution:** M1 (minute bars) - **Reference:** Friday close - **Horizon:** 60 days **FINDINGS** - 65% of gaps closed during the opening session; among those, the median time to close was 11 minutes. - 95% closed within five trading days, and 98% within sixty days. - The small tail that never closed lined up exactly with geopolitical shock days. For gaps larger than 5 pips, the median excursion before closing was 21 pips, and 120 pips in the worst decile. - Closed in the opening session - Share closed over time - Excursion before the close - **Go to the gap chart** - [Go to the gap chart](https://oxarus.com/en/#gaps) | | | | | --- | --- | --- | | PIVOT | 41 | 40 | | PDHLC | 41 | 40 | | ROUND | 41 | 40 | | SWING | 41 | 40 | | FIB | 39 | 39 | - **matched control:** 40 **touch number** 41 · 40 · 39 · 42 · 44 - 20 - 21 - 22 - 23 - 24 - 25 - 26 **stops** 0 · 10 · 30 · 60 **eurusd** 41 · 51 · 55 · 56 **gbpusd** 40 · – · 54 · – - **all:** 65 - **big:** 10 - **median time to close:** 11 min - **open** - **all:** 0 - **big:** 0 - **session** - **all:** 65 - **big:** 10 - **5 days** - **all:** 95 - **big:** 85 - **60 days** - **all:** 98 - **p50:** 21 - **p90:** 120 - **max:** 470 - **still open after 60 days:** 2 _Interface labels:_ Research note · Published · Figure {n} · level · 2020–2026: same every year · {value} pts · min · pips · all gaps · over 20 pips · log scale ## how long at the level? _TIME AT THE LEVEL_ The longer price stays in a level's band, the more likely it is to break the level, until the effect levels off. Pick a duration; the chart and the ranges update together. - **stop option:** ≥{minutes} min - **replication:** GBPUSD replication - **probability:** break probability - **base:** base - **lift:** vs base - **lift unit:** pts - **not measured:** not measured - **pair eur:** EURUSD - **pair gbp:** GBPUSD > Break probability by time spent in the level band. A research finding, not a trade recommendation. #### By session: base → 30 minutes #### Time in the band - **rejects:** Rejections - **breaks:** Breaks - **median:** median - **selected:** selected **Robustness to band width** With the band varied between 0.03 and 0.08 × ATR, the 30-minute lift stayed between +12 and +14 points. - **plateau:** plateau - **dataset:** EURUSD · GBPUSD · M1 · 2020–2026 · n=83,527 **Time already in the band** 0 · 10 · 30 · 60 **eurusd** 41 · 51 · 55 · 56 **gbpusd** 40 · – · 54 · – - **control:** 40 - **control short:** control **plateau** 56 · 57 - **minute unit:** min - **break query:** P(break | dwell ≥ {minutes} min) - **chart sample:** EURUSD n=40,658 · GBPUSD n=42,869 **By session: base → 30 minutes** - **ASIA** - **base:** 43 - **at30:** 55 - **LDN** - **base:** 40 - **at30:** 56 - **NY** - **base:** 40 - **at30:** 55 - **By session: base → 30 minutes:** 30 min **rejects** 9 · 10 **breaks** 28 · 31 - 0.03 - 0.05 - 0.08 - **Robustness to band width:** × ATR **Robustness to band width** 12 · 14 - **Robustness to band width:** 30 min ## when do they close? _WEEKEND GAPS_ Across 345 weekend and holiday breaks, how long the opening gap took to get back to Friday's close. Pick a horizon. **Horizon** - **Session** - **5 days** - **60 days** The remaining 2%: gaps still open after sixty days. Every one of them coincides with a major geopolitical shock. #### Cumulative share of gaps closed #### By gap size - **all gaps:** All gaps - **big gaps:** Over 20 pips - **same session:** Closed in the same session - **within week:** Within 5 trading days **Excursion before closing (≥5 pips)** Before the gap closed, price moved the other way by a median of 21 pips, 120 pips in the worst decile, and 470 pips at most. - **median fill:** median fill - **axis open:** open - **axis session:** session - **axis day:** 1 day - **axis week:** 5 days - **axis two months:** 60 days - **unfilled:** unfilled - **not measured:** not measured - **pips unit:** pips > EURUSD, 345 weekend and holiday breaks. A research finding, not investment advice. - **n:** 345 - **median fill:** 11 min - **Horizon:** 60 days - **chart sample:** EURUSD n=345 **points** 0 · 65 · – · 95 · 98 - 0 - **at:** 1 - **value:** 10 - 1 - **at:** 3 - **value:** 85 - **unfilled:** 2 - **all:** 65 - **big:** 10 - **all:** 95 - **big:** 85 - **all:** 98 **Excursion before closing (≥5 pips)** - **p50:** 21 - **p90:** 120 - **max:** 470 - **Excursion before closing (≥5 pips):** pips · log scale ## how we avoid fooling ourselves. _METHOD_ We logged every interim result that turned out wrong. Switch any entry between how it looked at first and what it actually was. - **Random lines broke less often than levels, so levels looked like 'magnets.'** · _CONTROL BIAS_ The random lines sat farther from price. Once the control lines were built with the same distance distribution, the difference vanished. - **Three months of data showed a clear dip at the third touch.** · _MULTIPLE COMPARISONS_ Across seven years of data, it evaporated. Run enough comparisons, and some differences show up by chance. - **One measurement came out with a 100% break rate.** · _SIGN BUG_ When a rate sticks to 0 or 1, suspect the measuring machinery first. It was a single sign error. - **An idea seemed to hold on one pair.** · _REPLICATION_ We rebuilt the same test from scratch on another pair. Nothing that failed to hold on both counted as a finding. #### Correction log - **resolved:** resolved - **count:** {fixed} / {total} resolved - **schematic:** schematic - **show traps:** Show first glance - **show fixes:** Apply corrections - **random:** random lines - **matched:** matched lines - **levels:** levels - **distance:** distance to price **touch rates** 41 · 40 · 39 · 42 · 44 - **3 months of data** 7 years of data - **bug: sign(dist):** 100 - **fixed:** 41 - **matched control:** 40 - **eur:** EUR 55 - **gbp:** GBP 54 - **start:** 0m - **end:** 30m _Interface labels:_ At first glance · Actually · open ## let data answer your question. _RESEARCH_ If you'd like us to run measurements or hypothesis tests on market data for your organization, or build its research infrastructure, get in touch. - [Send a research request](https://oxarus.com/en/contact?start=quant) → `start_project_brief(topic="quant")` - [info@oxarus.com](mailto:info@oxarus.com?subject=Research%20request) → `contact(subject="Research request")` ## Actions - [Institutional research](https://oxarus.com/en/quant/research#cta-heading) → `open_page(path="/quant/research", anchor="cta-heading")` - [Findings](https://oxarus.com/en/quant/research#studies) → `open_page(path="/quant/research", anchor="studies")` - [Send a research request](https://oxarus.com/en/contact?start=quant) → `start_project_brief(topic="quant")` - [info@oxarus.com](mailto:info@oxarus.com?subject=Research%20request) → `contact(subject="Research request")` - [Türkçe](https://oxarus.com/tr/quant/research) → `switch_locale(locale="tr", path="/quant/research")` ## Related pages - [Oxarus Quant](https://oxarus.com/en/quant)