Read the auction.
Measure the odds.
MEZACAPITAL studies how futures markets auction, through volume profile and Auction Market Theory, and measures what actually changes the odds. We publish the research and teach the method. We do not sell signals.
A trader's reading of the market, held to a scientist's standard.
Auction Market Theory gives traders a map: value, the point of control, the edges where the auction accepts or rejects price. We take that map seriously and then ask a harder question: once you know where the levels are, what actually moves the odds?
- Probability, not predictionEvery read is a probability that one level is reached before another. It is never a trade instruction, and we do not publish entries, stops or strategies.
- The shape is the mapProfile shapes tell you where the targets are. Our tests show that what moves the odds is where price sits on that map: its distance to each level, the time spent there, and the volume traded at that price.
- Compared fairlyA call on the nearer level is right more often by geometry alone. Every hit rate we report sits next to its base rate and next to what pure distance and time would have predicted.
- Rules before resultsPass criteria are written before a test is run, one full year of data was held back untouched until the end, and results are logged forward, day by day.
How a market idea becomes a measured result.
Rebuild the auction
Years of tick-level trades for ES, NQ and GC, rebuilt minute by minute into the developing profile a trader would have seen at that moment, with nothing from the future.
Define it like a trader
Each situation, such as price outside value or price in the low-volume gap between two balance areas, is defined by an experienced trader and checked by hand against real sessions before any model sees it.
Test it honestly
Fit on early years, check on later years, confirm once on a held-back year, then log results forward. Ideas that fail are reported as failures, including our own.
What the data says, so far.
Where an edge survives
Two narrow places beat distance and time on the held-back year: the rare, strong return calls between two balance areas, and calls outside value made with real room to the target in some markets. Both are now being tested forward.
Read the finding →Volume pulls price toward it
Heavy volume at the current price, or along the route back, goes with a return. Thin volume goes with escape. This reversed our own starting hypothesis.
Read the finding →The profile shape is the map, not the forecast
In three separate tests, the shape label added nothing or almost nothing once the distances to the levels were known.
Read the finding →Learn to read the auction with numbers behind it.
We are preparing two things for traders who want more than chart folklore. Join the early-access list to hear first.
The course: Auction Market Theory, measured
- Value, the point of control and the value area, built from real tick data
- Profile shapes as maps: where the targets are and why
- Distance, time and the base rate: judging any setup fairly
- Volume as a magnet: what heavy and thin areas actually do
- Keeping your own forward log
Research papers
- Full write-ups of each study: question, data, method, results
- Every hit rate next to its base rate and the geometry reference
- The limits and the failed hypotheses, stated plainly
- Updated as the forward log matures
Who is behind MEZACAPITAL.
An independent research group of traders and researchers. We trade our own accounts, do not manage outside money, and publish what we find.
Oscar Meza
Co-Founder · Head of Research
An intraday futures trader in ES, NQ and GC who reads the market through Auction Market Theory and volume profile. Oscar founded MEZACAPITAL to test that reading against the data: to keep what holds, drop what does not, and teach the difference.
Lance
Co-Founder · Discretionary Trading
A discretionary futures trader who brings the view from the screen: how a situation looks as it unfolds, and whether a finding still makes sense when it meets the live market.
Emiliano
Co-Founder · Quantitative Research
A quantitative researcher who turns trading ideas into precise, testable rules and builds the tools that test them fairly.
Contact: contact@mezacapital.org
Be first to the course and the papers.
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