Chart Studies·Market Profile

Day Types — Fade or Follow?

Five recent SPY sessions classified by the Market Profile / TPO framework. Each chart shows the 5-min RTH session with VWAP overlay and Initial Balance(9:30–10:30) high/low marked. The label and “tell” are computed by the classifier from the day’s own bars — no hindsight, no answer key.

Reading each card

  • IBH / IBL— the first hour’s high & low (Initial Balance). The day’s anchor levels; accepting outside them is the first sign of a trend.
  • VWAP — volume-weighted average. Its slope and how often price crosses it (the VWAP× stat) separate a one-way trend from two-way rotation.
  • Ext — whether price extended beyond the IB (and held). Close Q — the range quintile where price closed (1 = bottom 20%, 5 = top 20%). Extreme quintile + held extension = trend day.
  • The colored badge is the called day type; the Tell beneath each chart explains what the classifier saw.
SPYWed, May 13, 2026
SPYWed, Mar 25, 2026
SPYTue, May 19, 2026
SPYThu, Apr 9, 2026
SPYFri, May 15, 2026

Classifier rules live in src/lib/market-profile.ts. The “fooled-you” day is the one to internalize: an open-drive sets a directional bias, the IB extends that way, then price fails back inside and closes the OTHER direction. By late morning the thesis has invalidated — switching sides is the play, not adding to the loser.