Four futures contracts appear on the published record: S&P 500 futures (ES), 10-year Treasury futures (ZN), gold and crude oil. On each, the next close landed inside the inner band at roughly the same rate as on cash instruments, historically. The Behavioral Transform Model applies the same construction to a futures series as to anything else: a rolling window of roughly the last 60 daily returns, nothing fitted per contract.
From the Proof page:
These are historical calibration figures; past behavior is not a guarantee of future results.
For the S&P 500 exposure, yes. The cash index, the SPY ETF and the ES contract are three separately built data series with different histories and trading hours, and the Proof page reports that they calibrated alike. The cross-asset article treats that wrapper result in full, so it gets one sentence here.
A long futures history is a chain of individual contracts joined at roll dates. How the chain is built, and whether the price jump at each roll is adjusted away, is a property of the data series, not of the indicator. The live pages do not state how the published futures series were constructed, so this article makes no claim about it. On a chart, the band is computed from the closes of whichever series is displayed, continuous or single-contract, and an unadjusted roll gap enters the window as a return like any other.
Each futures sample is 20 to 25 years, far shorter than the 97-year S&P 500 series, and the paper reports a confidence interval per instrument. Session hours, margin and leverage are outside what a band describes. The band is an expected range, not a claim that price reverses at its edges, and the paper validates calibration, not the profitability of any use.
Does the band work on micro contracts such as MES?
A micro contract tracks the same underlying price series, so the returns are the same; no separate figure is published for micros.
Which futures were not tested?
The Proof page shows 16 of 40 instruments; the full table is in the working paper. Nothing here claims a figure for any contract not listed.
Does the band widen around a roll?
Only if the roll produced a large return on the displayed series. On a back-adjusted series there is no jump to enter the window.
Details are in the working paper. The 30-day free trial lets you view the range on the contracts you trade: start free, cancel anytime.
Oisigma provides descriptive market analytics for educational use. It is not investment advice, does not predict prices, and does not provide buy or sell signals. Statistics referenced are historical and were measured in our working paper (not peer-reviewed); past behavior is not a guarantee of future results. Trading and investing involve substantial risk of loss, including the possible loss of all capital invested. Leveraged products (futures, options, margin) carry additional risk and can result in losses that exceed your initial investment. Bollinger Bands® is a registered trademark of John Bollinger; Oisigma is not affiliated with or endorsed by Mr. Bollinger. RiskMetrics® is a registered trademark of MSCI Inc.; Oisigma is not affiliated with or endorsed by MSCI Inc. Nothing in this article is a recommendation to use any particular strategy. Read the full Disclaimer →
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