The math of extremes: how algo levels are computed

What the video is about

The video explains the algo level calculation in detail: a day runs from 18:00 to 18:00 New York, the opening price is taken as zero, and for every fifteen-minute candle of all days of history the high and low are measured in percent.

Quantiles are computed from these arrays: for example, the 90% level is the deviation above which a candle's high was found in only 10% of cases; the same is computed from the open of the candle itself, the hour and four hours.

New filters are shown (weeks of history — up to 245, months, weekdays) and personal settings are compared with the reference; the author explains how he uses moves beyond the deviation norm together with liquidity levels. The video is in Russian.

Key claims

• A BIASMACHINE day runs from 18:00 to 18:00 New York: at 18:00, after the 17:00–18:00 technical break, the Chicago Mercantile Exchange (CME) opens — one of the few sources of verifiable index volumes.
• The day's opening price is taken as a conditional zero; for every fifteen-minute candle of every day its high and low are recorded in percent.
• Levels 50, 60, 70, 80 and 90% are the shares of candles whose high did not exceed the given deviation; above the 90% level price was found in only 10% of cases.
• Deviations are computed both from the day open and from the candle's own open; an algo level is the deviation norm from the candle open.
• The reference algorithm has four deviation levels: hourly and four-hour samples, each with fifteen-minute ones inside; marks 25, 50, 75 and 100% show several zones triggering at once.
• The filters let you choose the number of weeks of history — up to 245 weeks on the recording day (data as of 17 October 2026).
• To repeat the calculation, the hardest parts are data normalisation, clock changes and gaps in the data.

Chapters

• 0:00 — Challenge emulation and the club
• 1:16 — New filters: weeks of history
• 2:11 — Personal settings and the reference
• 3:31 — The 18:00–18:00 New York day
• 4:28 — Why 18:00: the CME open
• 5:19 — The day open as a conditional zero
• 6:31 — Every fifteen-minute candle
• 8:03 — Data normalisation: clocks, time changes, gaps
• 9:03 — Quantiles: how many highs stayed below a level
• 11:31 — From the day open to the candle open
• 13:05 — Hour and four hours: four deviation levels
• 14:25 — The author's hypothesis: beyond the norm plus liquidity
• 15:56 — Filters in the tester and access
• 16:46 — Next: differences between assets

Transcript

The video is in Russian. The full Russian transcript is on the Russian page.

Questions about the video

How to read the numbers

Numbers are given as stated in the video on the recording date, 17 October 2026. After Research studies are recomputed they may differ.

Historical frequencies are not individual investment advice and do not guarantee repetition. Hypothetical results do not reflect real trading (CFTC Rule 4.41 principle).

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