Index Sync: Do the Four Index Futures Moving Together Mean Cleaner Trends?
The average 5-minute return correlation of ES, NQ, YM and RTY through each regular session since 2002. We built this to test the day-trader claim that synchronized tapes trend cleanly. The claim fails — sync makes sessions bigger, not cleaner — and bigger-with-normal-capture is exactly what makes the tradeable day: big-and-clean sessions are nearly 3× more frequent in the top sync quartile, and because sync is persistent, today's reading forecasts tomorrow's.
Today's reading
As of the July 24, 2026 close, the four US index futures ran a 5-minute return correlation of 0.77 — the 57th percentile of the trailing year (Mixed). Sessions in this sync quartile were historically followed by a big-and-clean session 8.5% of the time, with an average next-session ES move of 0.37%. Tradability context, not a market call.
Sources, methodology & freshnessLast updated 2026-07-24 · Open ↓Close ↑
Source
ES, NQ, YM & RTY continuous-futures 5-minute bars (TradeStation), regular cash session, timestamps aligned across all four — April 2002–present
Methodology
Sync = avg pairwise correlation of aligned 5-min returns (6 pairs); agreement = share of bars all four move together; live regime = rolling 252-session percentile; study tables = full-sample quartiles with disclosed thresholds
Updates
Daily after US market close (~1pm PT)|Last: 2026-07-24
Maintained & reviewed by Yuriy Matso — methodology shown on the page.
Index syncES·NQ·YM·RTY · 2026-07-24
MIXED
sync 0.77 · 57th percentile of the trailing year
Last 10 sessionssync trail
Sync
0.77
Agreement
73%
Percentile
57
Since 2002, sessions in this sync quartile were followed by a big-and-clean ES session 8.5% of the time, with an average next-session move of 0.37%. Tradability context, not a direction call.
01
The last 10 sessions, bar by bar — agreement prints
The intraday view, in the same format as our TICK dashboards. Each 5-minute print is how many of the four contracts' candles moved together, signed by direction: +4 means all four printed green in the same five minutes, −4 all four red. The second pane accumulates the prints through the session — the day's conviction line. Sessions where the prints pin the ±4 rails are the one-tape days the quartile table below is about; refreshes with the daily close, no streaming.
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02
Where the tape sits — rolling percentile vs SPY
Window:loading…
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SPY (top, log)sync, rolling 252-session percentileDivergent <20Mixed 20–60Synced 60–85Locked-in ≥85
03
Bigger, not cleaner — what each sync quartile delivered
Full-sample quartiles since 2002 (thresholds 0.75 / 0.82 / 0.87). Trend-day share barely moves. Move size more than doubles. And the money column is the second-to-last one: what the NEXT session delivered — sync is persistent enough that today's quartile is a forecast.
Trend day = ES captures ≥70% of its session range open-to-close. Big-and-clean = trend day AND an |ES session move| ≥ 0.75%. Session returns exclude overnight gaps. Consecutive days share regimes, so treat these as descriptive base rates.
04
The 2022 test — yearly sync since 2002
We anchored this gauge to a known answer: traders remember 2022 as the great index-trading year, and the data agrees — 2022 is #1 of 25 years in four-contract agreement and #5 in sync, while also posting the sample's highest directional capture. The contrast year is 2020: enormous volatility, mid-pack sync — vol with violent rotation, not one tape. The low-sync years (2021, 2024, 2017) are the chop-and-rotation tapes.
05
What sync does NOT tell you — direction
A fully synchronized down day feels like the start of something. Historically it wasn't: forward ES returns after top-quartile sync days were mildly above baseline in both directions. This gauge reads tradability, not market direction.
Setup
N
+1 sessions
+5 sessions
+21 sessions
Top-quartile sync, all four up
477
+0.07% · 53%↑
+0.29% · 57%↑
+0.64% · 59%↑
Top-quartile sync, all four down
634
+0.06% · 53%↑
+0.30% · 57%↑
+0.72% · 63%↑
All sessions (baseline)
5,944
+0.04% · 53%↑
+0.12% · 55%↑
+0.34% · 56%↑
Medians of compounded ES regular-session returns (overnight gaps excluded). The divergence tail carries no edge either: bottom-decile sync days were followed by roughly baseline returns. Both nulls are shown deliberately — the useful content is the tradability forecast in section 02, and we'd rather you not read direction into it.
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Every 5-minute candle of the regular cash session (8:30–3:00 Central) for ES, NQ, YM and RTY continuous futures, timestamps intersected so all four are measured on identical bars — back to April 2002.
2
Score each session's sync
Sync is the average pairwise correlation of 5-minute returns across the six contract pairs. A second gauge, agreement, counts the share of bars where all four moved the same direction. High sync = one tape; low sync = four tapes.
3
Read the level against its own era
Sync drifts structurally — the 2002–2016 plateau ran far higher than the post-2017 tape — so the live state is a rolling 252-session percentile (Divergent / Mixed / Synced / Locked-in), never a raw-level comparison across decades.
4
Attach what actually followed
For every sync quartile since 2002 we show what the SAME session looked like (move size, trend-day share, big-clean share) and what the NEXT session delivered. That next-day column is the point: sync is persistent, so today's reading is a forecast of tomorrow's tradability.
Who Uses Index Sync
Day Traders
The direct question this answers: is tomorrow likely to pay? Big-and-clean sessions (strong capture AND a real move) followed top-quartile sync days ~19% of the time vs ~7% after low-sync days.
Futures Traders
A regime read on the exact instruments you trade — and a warning label: in low-sync regimes the four contracts are four different trades, and index-level setups degrade.
Swing Traders
Sync regimes are the macro-vs-rotation dial: 2022's rates-driven tape was the highest-agreement year on record, while 2021/2024-style dispersion years ranked last. Which market you are in changes which strategies work.
Systematic Traders
A clean daily series since 2002 with a documented, persistent regime structure (lag-1 autocorrelation ~0.65) — test it as a volatility-participation filter against your intraday systems.
Pro Tips
01
Bigger, not cleaner
The intuitive claim — "when everything moves together the trend is clean" — is the one the data rejects. Trend-day share is flat-to-lower as sync rises. What rises sharply is SIZE: average ES session moves more than double from the bottom to top sync quartile. Size with normal capture is what makes the tradeable day.
02
Use it the evening before
Because sync is strongly regime-persistent, the read is most useful as tomorrow's prior, not today's postmortem: after top-quartile sync days, next-session big-clean frequency ran ~19% vs ~7% after bottom-quartile days.
03
It is not a direction signal
High-sync all-four-down days did NOT precede weakness — forward returns were mildly above baseline in both directions. Read it as tradability, never as a market call.
04
Watch the sync-vs-vol distinction
2020 was a huge-volatility year but ranked mid-pack on sync — vol with violent rotation. 2022 was the highest-agreement year in the sample. The gauge separates "everything moves together" from "everything moves"; controlling for today's move size, high sync still preceded ~50% larger next-day moves.
Common Issues & Solutions
Isn't this just measuring volatility?▾
Partly correlated, not the same. Within every same-day move-size tercile, high-sync days still preceded materially larger next-day moves. And the year ranks separate them: 2020 (massive vol, violent rotation) ranks mid-pack on sync while 2022 tops the agreement ranking.
Why did the "clean moves" hypothesis fail?▾
Directional capture (|close−open| ÷ range) is roughly constant across sync regimes — around 45–48% on average with trend days slightly LESS frequent at high sync. What changes is the size of the range being captured. The tradeable "big-and-clean" day is a size phenomenon, not a capture phenomenon.
Why a rolling percentile instead of the raw sync level?▾
Structural drift. The HFT/ETF-era tape of 2002–2016 ran sync levels (0.80–0.89 yearly averages) that the post-2017 market rarely touches. A 0.75 reading is unremarkable in 2010 and elevated in 2024 — the rolling 252-session percentile makes eras comparable, the same treatment our NYSE TICK dashboard uses.
Why do the study tables use full-sample quartiles then?▾
The base rates need fixed, disclosed buckets to be reproducible; the tables state the thresholds. The live regime chip uses the rolling percentile. Both framings are shown, and they answer different questions: "what did days like this deliver historically" vs "how unusual is today within the current era".
Frequently Asked Questions
What is the Index Sync indicator?▾
A daily gauge of how correlated the four main US index futures — ES (S&P 500), NQ (Nasdaq-100), YM (Dow) and RTY (Russell 2000) — ran during the regular session, measured as the average pairwise correlation of their aligned 5-minute returns, with history back to 2002 and base rates for what each sync regime delivered next.
Do synchronized markets produce cleaner trends?▾
No — that popular claim fails the test. Trend-day frequency is flat-to-lower as sync rises. Synchronized sessions are BIGGER, not cleaner: average ES moves more than double from the bottom to the top sync quartile, and because capture stays constant, big-AND-clean sessions are nearly three times more frequent at high sync.
Does today's sync predict tomorrow?▾
Historically, yes — that is the useful part. Sync is strongly regime-persistent (day-to-day autocorrelation ~0.65), and next-session big-and-clean frequency ran ~19% after top-quartile sync days versus ~7% after bottom-quartile days, a gradient nearly as strong as the same-day one.
Is high sync bullish or bearish?▾
Neither. Fully synchronized down days did not precede weakness (next-21-session medians were mildly above baseline in both directions). The gauge reads tradability and participation, not market direction — the page shows those tables so you don't have to take that on faith.
Was 2022 really the best year for index day trading?▾
By these measures, yes: 2022 ranks #1 of 25 years in four-contract agreement and top-5 in sync, while also posting the highest directional-capture average in the sample. By contrast 2020 — a much bigger volatility year — ranks mid-pack on sync: vol with rotation, not one tape.
What data does it use?▾
5-minute bars of the four continuous index futures' regular cash sessions from TradeStation, timestamps intersected across all four contracts, April 2002 to present, refreshed after every close.