Fulcrum

AsksIs tech rich or cheap against the broad market right now?

A session VWAP drawn on the relationship between two markets instead of one. It rebuilds the NQ/ES ratio bar by bar — 2500·NQ/ES, optionally normalized by the prior session’s VXN×US10Y — weights it by the geometric mean of both legs’ volume, and anchors a session, weekly, or monthly VWAP with ±1σ and ±2σ bands on the result. Zone readout, price labels, and cross alerts included. The risk divisor uses confirmed prior-day closes only, so values match live and on reload. It lives in its own pane with its own scale, so it drops onto any chart — ES, SPX, or the ratio itself — with nothing to configure.

Plain EnglishOne line that says whether the relationship is trading above or below its volume-weighted mean today, and how stretched the stretch is. ±2σ on a ratio behaves like ±2σ on price: somebody usually walks it back.

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Inputs and settings

Ratio componentsNumerator NQ, denominator ES, multiplier 2500 by default. The sample is the synchronous close ratio; the legacy synthetic HLC sample is available but combines extremes that did not occur at the same instant.

Risk adjustmentDivide by the prior confirmed daily closes of VXN and US10Y. The divisor is frozen for the whole anchor period. If a risk feed is missing, you choose: use the unadjusted ratio, or hide output until the next anchor. No placeholder value is ever substituted.

AnchorAuto picks Session through 20-minute charts, Week through 4-hour, Month above. The reset is read in the numerator’s exchange context so the chart symbol does not decide when the ratio restarts.

BandsHide bands for the first N observations (3) and require a minimum effective sample size (3). Effective N is sum(w)² / sum(w²): it drops when a few high-volume bars dominate the weighting. A minimum dispersion in basis points prevents tiny post-reset spreads from producing enormous sigma readings.

When it fails

Both legs need volumeThe weight is the geometric mean of the two legs’ volume. A leg without volume, such as a cash index, produces no observations at all.

Missing bars are skipped, not filledSecurity requests use gaps on and lookahead off. A missing leg bar is skipped; stale carried-forward values never enter the ledger. On mismatched sessions the sample can be thinner than the chart suggests.

Early in the anchorRight after a reset the mean is a handful of observations. The bands stay hidden until the observation and effective-N minimums are met; the dashboard reads warming up until then.

It is a relationship, not a signalThe ratio describes how two markets have moved together in this anchor. Crossing a band is a statement about dispersion, not a forecast of either leg.