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Market Structure Dashboard

2019-01-02 to 2026-05-27 | 1,899 sessions | ES 5-min bars | Swing 5

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The question & finding

Does a structure break hold through the close?

In ES, BOS events continued through the session close 56.1% of the time, versus 58.8% for CHoCH. Compare the two event types before examining direction, timing, and confirmation settings.

5,427 events across 1,899 sessions. Continuation means the session closed beyond the break level in the signal direction—not that an executable trade won. Historical results do not guarantee future outcomes.

BOS vs CHoCH Accuracy

Session-Close Continuation Rate

BOS — trend continuation signals

BOS
56.1%
43.9%

CHoCH — reversal signals

CHoCH
58.8%
41.2%

CHoCH signals modestly outperform BOS by 2.7pp. Reversal signals carry a slight edge.

Event Distribution

BOS
68%
CHoCH
32%

Count Breakdown

BOS total: 3,673
CHoCH total: 1,754
BOS continued: 2,061
CHoCH continued: 1,031

BOS signals outnumber CHoCH ~2:1. Trend continuation events naturally dominate in trending sessions.

Sample counts & setup
5,427
Total Events
3,673
BOS Signals
1,754
CHoCH Signals
56.1%
BOS Accuracy
58.8%
CHoCH Accuracy
2.9
Avg Events/Session
Direction Split

BOS by Direction

BOS UP
59.3%
n=2,087
BOS DOWN
51.8%
n=1,586

BOS UP outperforms BOS DOWN by 7.5pp. ES structural long bias.

CHoCH by Direction

CHoCH UP
60.5%
n=875
CHoCH DOWN
57.1%
n=879

CHoCH UP also leads (60.5% vs 57.1%). Bullish reversals hold better than bearish.

Swing Length & Time-of-Day

Accuracy by Swing Length

40%45%50%55%60%65%70%57.4%56.1%Swing 3n=9,05256.1%58.8%Swing 5n=5,42756%62.1%Swing 8n=3,078
BOS AccuracyCHoCH Accuracy

Swing 3 = 15 min (sensitive) | Swing 5 = 25 min (balanced) | Swing 8 = 40 min (conservative). Longer swings: fewer signals, CHoCH improves to 62.1%.

Time-of-Day Distribution

069813962094279254%n=966Post-IB EarlyBOS: 54.1%CHoCH: 51.4%54.5%n=2,022MiddayBOS: 54.3%CHoCH: 55%60.1%n=2,428LateBOS: 59.4%CHoCH: 60.8%

IB period (6:30-7:30) excluded (only 11 events). Bar height = event count, label = accuracy.

Yearly Stability

Accuracy by Year (BOS / CHoCH Split)

40%45%50%55%60%65%70%75%2019n=7422020n=7622021n=7492022n=7312023n=7452024n=7072025n=7282026n=263
BOSCHoCHCombined
Signal Frequency & Confirmation Mode

Events per Session Distribution

0.9%09.3%128%234.4%320.7%45.7%50.9%60.1%7Events per Session

Most sessions produce 2-4 BOS/CHoCH events. Median: 3 events per session.

Close vs Wick Confirmation

Close-Based
56.9%
n=5,427
Wick-Based
50.3%
n=6,845
Close BOS
56.1%
Close confirmation
Close CHoCH
58.8%
Close confirmation

Close-based confirmation (56.9%) significantly outperforms wick-based (50.3%). Wick confirmation generates 1418 more signals but at coin-flip accuracy.

MFE / MAE Analysis

BOS Excursion (points)

Avg MFE
16.48
Favorable excursion
Avg MAE
12.99
Adverse excursion
Median MFE
10.75
Favorable excursion
Median MAE
7.5
Adverse excursion

BOS MFE/MAE ratio: 1.27:1 avg, 1.43:1 median.

CHoCH Excursion (points)

Avg MFE
13.84
Favorable excursion
Avg MAE
10.5
Adverse excursion
Median MFE
8.25
Favorable excursion
Median MAE
6.5
Adverse excursion

CHoCH MFE/MAE ratio: 1.32:1 avg, 1.27:1 median.

Definitions & interpretation

What is BOS / CHoCH?

Break of Structure (BOS) and Change of Character (CHoCH) are market structure concepts that identify trend continuation and potential reversals using confirmed swing highs/lows on 5-minute bars.

BOS (Break of Structure) — Price breaks a swing high/low in the same direction as the prior breakout. Signals trend continuation. e.g., breaking a higher high after previously breaking to the upside.
CHoCH (Change of Character) — Price breaks a swing high/low in the opposite direction of the prior breakout. Signals a potential reversal. The first counter-trend break after a trend.

How to use this

  • Session-Close Continuation — "Accuracy" measures whether the session closes in the breakout direction past the break level. This tells you if the signal held through close.
  • Close-based confirmation is superior — Close-based BOS/CHoCH (57%) significantly outperforms wick-based (50.3%). Use close confirmation for cleaner signals.
  • Late session signals are strongest — Events after 11:00 AM PT show 60.1% accuracy vs ~54% for earlier periods. Late signals have less time to reverse.
  • CHoCH slightly outperforms BOS — CHoCH (58.8%) vs BOS (56.1%). Reversal signals carry modest edge over continuation.
  • Upside breaks are more reliable — BOS UP (59.4%) and CHoCH UP (60.2%) outperform their DOWN counterparts. Consistent with ES long bias.