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MNQ Futures · Initial Balance Research

Post-IB Breach
MFE / MAE Analysis

After price breaches an IB level, how far does it extend? How much heat do you take? MFE and MAE measured as multiples of IB range. All years, full session.
MFE = max favorable excursion · MAE = max adverse excursion · Retest = price touches breached level before hitting MFE target
Key Takeaways
IBH Median Max MFE
0.52x
N = 442 breaches
IBL Median Max MFE
0.57x
N = 402 breaches
Breach Survival Curve
IBH Breach Survival Curve (N=442)
% of breaches reaching each MFE threshold beyond IB high
Retest vs No-Retest Paths — did price retest the breached level first?
MAE Before Reaching Each MFE Threshold — how much heat before target? (x IB range)
Breach Survival Curve
IBL Breach Survival Curve (N=402)
% of breaches reaching each MFE threshold beyond IB low
Retest vs No-Retest Paths — did price retest the breached level first?
MAE Before Reaching Each MFE Threshold — how much heat before target? (x IB range)
IB Size Context — multiples are deceptive
Small IB (<75pt)

Ranging/choppy session. Extensions look large in multiples — 37% reach 1.0x, 19% reach 1.5x. But 1.0x is only ~59 points.

Large IB (150–250pt)

Trending hour. Extension drops hard — only 10% reach 1.0x (which would be another ~180pts). The trend already "used up" the move.

The pattern is consistent on both sides. Small IB breaches are almost 4x more likely to reach 1.0x extension than large IB breaches (37% vs 10%). The market gives roughly similar point moves after a breach regardless of IB size — a small IB just makes the multiple look bigger.
Target setting: if IB is small, you can hold for higher multiples. If IB was a big trend, take the 0.25x and be happy — odds of continuation drop fast.
IB = Initial Balance (09:30–10:30 ET, first two 30-min bars)
IBH = IB High breach · IBL = IB Low breach · MFE = Max Favorable Excursion · MAE = Max Adverse Excursion
Retest = price touches the breached IB level again before reaching the MFE threshold
All data: MNQ futures, all years, full session (RTH + ETH post-IB)