Read the auction.
Measure the odds.
MEZACAPITAL studies how futures markets auction, through volume profile and Auction Market Theory, and measures what actually changes the odds. We publish the research and teach the method. We do not sell signals.
A trader's reading of the market, held to a scientist's standard.
Auction Market Theory gives traders a map: value, the point of control, the edges where the auction accepts or rejects price. We take that map seriously and then ask a harder question: once you know where the levels are, what actually moves the odds?
- Probability, not predictionEvery read is a probability that one level is reached before another. It is never a trade instruction, and we do not publish entries, stops or strategies.
- The shape is the mapProfile shapes tell you where the targets are. Our tests show that what moves the odds is where price sits on that map: its distance to each level, the time spent there, and the volume traded at that price.
- Compared fairlyA call on the nearer level is right more often by geometry alone. Every hit rate we report sits next to its base rate and next to what pure distance and time would have predicted.
- Rules before resultsPass criteria are written before a test is run, one full year of data was held back untouched until the end, and live results are logged forward, day by day.
How a market idea becomes a measured result.
Rebuild the auction
Years of tick-level trades for ES, NQ and GC, rebuilt minute by minute into the developing profile a trader would have seen at that moment, with nothing from the future.
Define it like a trader
Each situation, such as price outside value or price in the low-volume gap between two balance areas, is defined by an experienced trader and checked by hand against real sessions before any model sees it.
Test it honestly
Fit on early years, check on later years, confirm once on a locked year, then log forward live. Ideas that fail are reported as failures, including our own.
What the data says, so far.
The shape is the map, not the forecast
In three separate tests, the profile-shape label added little once the distances to the levels were known. In the gap between two balance areas, the observed rate of returning to the origin was 0.636 on ES against 0.629 from distance alone.
Volume pulls price toward it
Outside value, heavy volume at the current price went with a return to the point of control far more often than thin volume did (ES, held-out year: 63% vs 26%). The common reading, that surplus volume outside value means escape, did not hold.
Headline hit rates flatter
Calls made right next to the target look excellent (about 80%) and are mostly geometry. With real room to the target, hit rates fall to about 61–68%. The true edge is the gap to what distance and time already say.
Learn to read the auction with numbers behind it.
We are preparing two things for traders who want more than chart folklore. Join the early-access list to hear first.
The course: Auction Market Theory, measured
- Value, the point of control and the value area, built from real tick data
- Profile shapes as maps: where the targets are and why
- Distance, time and the base rate: judging any setup fairly
- Volume as a magnet: what heavy and thin areas actually do
- Keeping your own forward log
Research papers
- Full write-ups of each study: question, data, method, results
- Every hit rate next to its base rate and the geometry reference
- The limits and the failed hypotheses, stated plainly
- Updated as the forward log matures
Who is behind MEZACAPITAL.
Oscar Meza
Founder · Research
Oscar is an intraday futures trader in ES, NQ and GC who reads the market through Auction Market Theory and volume profile. He founded MEZACAPITAL to test that reading against the data: to keep what holds, drop what does not, and teach the difference.
Contact: contact@mezacapital.org
Be first to the course and the papers.
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