🎯 Pratique du trading

Rapports, saisonnalité, spreads, couverture et sessions

Dans ce chapitre

1 Calendrier des rapports 2 Saisonnalité & facteurs fondamentaux 3 Trading sur spreads 4 Hedgers vs. spéculateurs 5 Couverture dans le portefeuille retail 6 Sessions, liquidité & mécanique des marchés

1. Calendrier des rapports

💡 Futures traders live by report calendars. Walking blindly into an EIA report or a USDA WASDE is not trading the market — it's reading tea leaves. Reports reset price levels in seconds. No technical setup survives a surprise print unscathed.

Weekly Recurring

Report	Time	Affects
EIA Crude Oil Inventories	Wed. 10:30 ET	CL, B, HO, RB
EIA Natural Gas Storage	Thu. 10:30 ET	NG
CFTC Commitments of Traders	Fri. 15:30 ET	all
Initial Jobless Claims	Thu. 08:30 ET	ES, NQ, 6E, ZN

Monthly Recurring

Report	Time	Affects
Non-Farm Payrolls (NFP)	1st Fri. 08:30 ET	ES, NQ, ZN, ZB, 6E
CPI	mid-month, 08:30 ET	ZN, ZB, ES, 6E, GC
PPI	monthly, 08:30 ET	Bonds, GC
USDA WASDE	8–12th, 12:00 ET	ZC, ZS, ZW, LE, HE
FOMC Meeting	every 6 weeks, 14:00 ET	all

Quarterly / Event Reports

USDA Grain Stocks — Jan/Mar/Jun/Sep
USDA Prospective Plantings — late Mar
USDA Acreage — late Jun
USDA Cattle on Feed — monthly, moves LE/GF
USDA Hogs and Pigs — quarterly
OPEC Meetings — 4× per year, plus extraordinary sessions
BoJ / ECB / BoE Rate Decisions

CoT Report Deep-Dive

The Commitments of Traders (CoT) is the weekly X-ray into the positioning of all market participants.

What's inside: Long and short positions broken down by trader category for every reported futures market.

Categories:

Producer/Merchant/Processor: Physical market participants — oil companies, mills, mine operators. Their trading is primarily hedging.
Swap Dealers: Banks and financial intermediaries hedging OTC swaps with futures.
Managed Money: Hedge funds, CTAs, speculatively acting funds. The most important group for contrarian signals.
Other Reportables: Large traders that don't fit any other category.
Non-Reportable: All smaller positions below the reporting threshold — essentially corresponds to retail traders.

Typical extremes: When Managed Money is extremely long (historical 90th percentile or higher), that's a classic contrarian signal — too many speculators are already in the trade, upside potential is exhausted, the market is vulnerable to corrections.

Timestamp: The report captures positions as of Tuesday's closing price, but doesn't appear until Friday 15:30 ET — a 3-day delay. In fast-moving markets, positioning can change significantly before publication.

Available free at cftc.gov — weekly for all regulated US futures markets.

⚠️ Report Trading Rules:

30 minutes before a high-impact report reduce position size by half or close the position entirely — slippage at the print often exceeds the intended setup target.
Widen stop-loss: For high-impact reports, expand the ATR-based stop to 1.5× the normal ATR to avoid being stopped out of a healthy position.
Don't trade the first move: The initial reaction to a report is often a false breakout — the market overshoots, then reverses, and the actual direction establishes itself only in the minutes that follow. Wait for confirmation.

📋 Cross-Link: The most important report times in compact form in the Futures Cheatsheet Page 6.

2. Saisonnalité & facteurs fondamentaux

💡 Unlike stocks, commodities have real, recurring supply and demand cycles. Weather, seasons and holidays co-write the script — seasonality in commodities is not a statistical artifact but physical reality.

Energy Seasonality

Natural Gas (NG): Heating Demand Dec–Feb (peak January) — households and power plants drive the largest demand spike of the year. Cooling Demand Jun–Aug (summer peak) — air conditioning in US Sunbelt states pushes electricity demand and thus gas consumption higher again.
Crude Oil (CL): US Summer Driving Season (Memorial Day late May → Labor Day early September) — highest gasoline consumption of the year. Refinery maintenance in spring (March–April) and autumn (October) interrupts processing and briefly weighs on crude demand before it picks back up.
Heating Oil (HO): Mirror image of NatGas — winter peak driven by residential and industrial heating in the US Northeast and in Europe.
Gasoline (RB): Peak during the driving season, seasonal widening of the crack spread (RB minus CL) in spring when refineries switch to summer-blend formulations.

Grains Seasonality

Corn: Pollination risk in July — heat during the pollination phase in the US Corn Belt disrupts the crop; weather reports regularly trigger "weather rallies" during this window.
Soybean: Pod setting in August is the most critical growth phase; heat stress or drought during this week can shift the harvest estimate by hundreds of millions of bushels.
Winter Wheat: Emergence autumn (Sep–Oct), freeze risk Dec–Feb (winterkill without snow cover), harvest June (US Southern Plains) through July (Northern Plains).
South American counter-season: Brazil's safra Jan–May and Argentina's soybean harvest (Feb–Apr) are counterweights to the Northern Hemisphere — a bad season in Brazil can override US soybean seasonality.

Precious Metals Seasonality

Gold: Dhanteras (October/November) and the Indian wedding season (Oct–Dec) drive physical jewelry demand. Chinese New Year (Jan/Feb) generates stockpiling purchases from November/December onward. Historically weakest phase: summer (June/July), when Indian and Chinese buying slows.
Silver: Industrial demand (solar, electronics) is relatively evenly distributed. Slight Q4 strength from jewelry and investment demand at year-end, following gold with a lag.

Livestock Seasonality

Live Cattle (LE): BBQ season May–September drives beef demand — retail prices and futures tend to trend stronger seasonally during this window. Winter (Dec–Feb) typically weaker.
Lean Hogs (HE): Similar pattern but less pronounced — pork is in stronger year-round demand and less dependent on the BBQ season than beef.

Softs Seasonality

Coffee (KC): Brazil's main harvest May–September. Frost risk June–August (Southern Hemisphere winter in Minas Gerais/Paraná) — a frost event can reduce the harvest estimate overnight by 10–20% and send Arabica futures into limit moves.
Orange Juice (OJ): Florida hurricane season June–November — every hurricane track over Florida triggers spike moves in OJ regardless of actual crop damage.
Cocoa (CC): Main crop October–March (Ivory Coast and Ghana supply >60% of world production). Mid crop April–September is smaller; El Niño years (drought in West Africa) dominate the big annual moves.
Cotton (CT): US planting April–May (Texas/Mississippi), harvest September–November. At the same time, India and Pakistan compete with their own supply Oct–Dec.

⚠️ Seasonality is not a schedule: Historical patterns are priced in real-time by algorithms, CTAs and seasonal funds. Trading on seasonality alone often means trading against an already-discounted expectation — the market anticipates the pattern before it materializes. Only the combination of seasonality + fundamentals + technical analysis produces a robust setup with a genuine edge.

📊 Tools for seasonality data: seasonalcharts.com, Moore Research Center (MRCI) and SeasonalEdge offer statistically prepared historical seasonal patterns — including win rate, average move and optimal entry/exit windows going back 5, 10 and 15 years.

3. Trading sur spreads

💡 Instead of making a directional bet, spread trading means you trade the relationship between two contracts. Advantages: lower margin, lower volatility, fewer exogenous risks — you are less dependent on whether the overall market rises or falls, and only on how two contracts develop relative to each other.

Calendar Spread

A calendar spread combines a long contract in the nearby delivery month (front month) with a short contract in the deferred delivery month (back month) — or vice versa. You are not betting on the absolute price direction, but on the change in the term structure.

Corn example: Long ZCH26 (March) + Short ZCN26 (July) — the classic Mar/Jul spread. The trading logic: when inventories are high, the contango curve steepens (back months more expensive). As inventories tighten — or USDA reports signal scarce supplies — the contango flattens and the front-back spread narrows.
Betting on term-structure change: High inventory → contango flattens → front-back spread falls. Shortages or unexpected demand → backwardation → spread widens in favor of the front month.
Typical use case: Seasonal rollover windows when you have a view on inventory developments but want to minimize outright price risk.

Crack Spread (3:2:1)

Crude oil (CL) is refined into gasoline (Gasoline/RB) and heating oil (Heating Oil/HO). The 3:2:1 crack spread reflects this refinery margin:

Position: Sell 3 contracts CL + buy 2 contracts RB + buy 1 contract HO.
Measures: The refinery profit margin — how much remains after buying crude oil and selling the products.
Crack high: Refineries are highly profitable → incentive to process more → bullish for refinery stocks (Valero, Phillips 66, Marathon Petroleum).
Crack low: Margins are being squeezed → refinery capacity is shut down or throttled → less crude demand from processing.
Seasonal: Crack spreads typically widen in spring when refineries switch to summer-blend formulations — a classic seasonal spread setup.

Crush Spread

Analogous concept for soybeans: 1 bushel of soybeans (ZS) is processed into roughly 44 lbs of soybean meal (ZM) and 11 lbs of soybean oil (ZL).

Long crush: Long ZM + Long ZL − Short ZS → profits when the processing margin widens.
Reverse crush: Short ZM + Short ZL + Long ZS → profits when the processing margin narrows.
Who trades the crush spread: Major processors like ADM, Bunge and Cargill hedge their processing margin through this spread — their hedging activity is visible in the COT report as commercial hedgers and moves the market.
Drivers: Changes in biodiesel demand (ZL) or animal feed demand (ZM) shift the value of the products relative to the raw material.

Inter-Exchange Spread

The best-known inter-exchange spread is Brent (ICE: B) vs. WTI (CME: CL). Both measure crude oil but on different exchanges and with different crude quality.

Historical range: $2–$12 under normal market conditions. During geopolitical crises or logistical bottlenecks the spread can explode to $30+ (summer 2011, Libya crisis).
Drivers: US export capacity, Permian Basin shale production, pipeline infrastructure (Cushing bottlenecks), geopolitical risks in the North Sea vs. Gulf states.
Practical use: When the WTI-Brent spread is unusually narrow (WTI more expensive than Brent), it signals US export bottlenecks or overflowing Cushing storage.

Inter-Market Spread

Inter-market spreads connect related but different markets — the goal is to exploit a structural relationship:

Gold/Silver Ratio (GC/SI): The classic precious metals spread trade. Historical mean-reversion range lies between 40:1 and 100:1. Extremes (e.g. 120:1 in crises) signal reversion potential.
NOB (Notes over Bonds): ZN vs. ZB: 10-year Treasury Note against 30-year Treasury Bond — measures the yield curve steepness at the long end. Rising NOB spread = curve flattening; falling NOB = curve steepening.
FYT: ZF vs. ZN: 5-year Note against 10-year Note — the 5Y-10Y spread that describes the mid-curve. Closely traded by hedge funds for rate-expectation trades around Fed meetings.

💡 Margin advantage through SPAN: The CME's SPAN margining system accounts for correlation between related contracts. Spreads therefore typically receive a 60–80% margin discount compared to two independent single-leg positions. Example: An ES calendar spread costs about $800 initial margin — a single ES contract requires around $12,000. This makes spread trading accessible even to smaller accounts that could not hold an outright futures contract.

⚠️ Spreads are NOT risk-free: The lower margin tempts traders to underestimate the risk. During basis breaks — when the historical relationship between two contracts breaks down structurally — spreads can run far beyond historical ranges. Example: The Brent-WTI spread exploded to over $25 in summer 2008 even though the historical range was $2–$5. Anyone long WTI/short Brent experienced massive mark-to-market losses. Backtesting and clear stop-loss levels are just as mandatory for spreads as for outright positions.

🔗 Cross-Link: Conceptual parallel to options spreads — see Ch. 9.10 Vertical Spreads. The fundamental principle of combining two instruments to control risk and exposure is identical across both asset classes.

4. Hedgers vs. spéculateurs

Le marché des futures compte deux groupes de participants opposés. Comprendre cela permet de lire les mouvements de prix différemment.

Good investors are good investors because they know how to take losses. They don't hold on to losses. Jim Rogers · cofondateur du Quantum Fund · « Hot Commodities » · 2004

Archives · 1974 En réaction aux scandales de manipulation des prix sur les marchés céréaliers du CBOT, le Congrès américain adopte le Commodity Futures Trading Commission Act of 1974. La CFTC reprend la supervision jusque-là exercée par le département de l'Agriculture des États-Unis et est légalement tenue de publier chaque semaine le Commitments of Traders Report (CoT) — une ventilation des positions en Commercials (hedgers), Non-Commercials (grands spéculateurs) et Non-Reportables (particuliers). Étendu en 2009 au Disaggregated CoT, avec des catégories séparées pour les Swap Dealers et le Managed Money. Le rapport paraît chaque vendredi à 21h30 (heure de Paris) avec les données de positionnement du mardi — pour les traders de spreads et les contrariens, c'est la lecture hebdomadaire incontournable.

Commercials = Hedgers

Producteurs (compagnies pétrolières, agriculteurs), transformateurs (raffineries, minoteries) et négociants. Leur objectif est la protection des prix — ils veulent couvrir le risque de prix de leur activité opérationnelle. Ils sont structurellement short car ils vendent dès aujourd'hui leur production future pour en fixer le prix.

Non-Commercials = Spéculateurs

Hedge funds, CTAs (Commodity Trading Advisors) et Managed Money. Leur objectif est le profit lié au mouvement de prix. Ils n'ont aucune matière première physique en arrière-plan — ils tradent purement sur des anticipations. Les Non-Commercials sont typiquement des suiveurs de tendance : ils achètent quand les marchés montent et vendent quand ils baissent.

Non-Reportables = Particuliers

Investisseurs particuliers sous le seuil de déclaration de la CFTC. Typiquement du « dumb money » : long en haut, short en bas. Leurs positions agrégées servent souvent d'indicateur contrarien.

CoT Report en détail

La CFTC publie le Commitments of Traders (CoT) Report chaque semaine en trois versions :

Legacy Report : la répartition classique en trois groupes — Commercials / Non-Commercials / Non-Reportables. Disponible depuis 1986, offrant une longue série historique pour les comparaisons.
Disaggregated Report : ventilation plus détaillée en cinq groupes — Producer-Merchant / Swap Dealers / Managed Money / Other Reportables / Non-Reportables. Permet une analyse plus précise de qui se trouve derrière les positions. Les Swap Dealers (banques) ont été détachés des Commercials.
TFF Report (Traders in Financial Futures) : spécifique aux futures financiers (taux, actions, forex) — Dealer / Asset Manager / Leveraged Funds / Other Reportables. Particulièrement pertinent pour les futures obligataires et les futures d'indices actions.

Interprétation

Commercials extrêmement long : signal haussier — les initiés du secteur concerné achètent au plus bas. Ils connaissent leurs marchés mieux qu'aucun spéculateur externe.
Commercials extrêmement short : souvent malgré tout une opportunité d'achat — ils ne font que couvrir leur production, pas exprimer une opinion de marché. Une couverture extrême signifie qu'une grande part de la production est déjà verrouillée.
Managed Money extrêmement long : signal de vente contrarien — un trade encombré (crowded trade). Quand tous les suiveurs de tendance sont déjà long, il ne reste plus de pression acheteuse pour pousser les prix plus haut.
Managed Money extrêmement short : signal d'achat contrarien — le marché est positionné à son pessimisme maximal, toute bonne surprise force le short-covering.

💡 Étude de cas : l'or à l'automne 2015 — À l'automne 2015, le rapport CoT sur l'or a atteint des extrêmes historiques : le Managed Money était record short, tandis que les Commercials (sociétés minières et producteurs d'or) étaient record long. Le setup contrarien classique — les producteurs rachetaient au plus bas tandis que les spéculateurs construisaient leurs positions short. Six mois plus tard : l'or valait environ 25 % de plus. Qui avait su reconnaître et exploiter le signal CoT s'était positionné sur l'un des meilleurs points d'entrée de la décennie.

💡 Outils pour l'analyse CoT : cftc.gov fournit les données brutes (rapports originaux) ; barchart.com et cotbase.com proposent un traitement visuel avec analyse en Z-score et en percentiles — pour voir instantanément si le positionnement actuel se situe dans la zone d'extrême historique.

⚠️ Limites importantes : le rapport CoT est un rapport hebdomadaire avec environ 3 jours de décalage — la date d'arrêt est le mardi, la publication a lieu le vendredi. Non adapté au day trading. À utiliser exclusivement pour le swing et le position trading. De plus : les « extrêmes » peuvent rester extrêmes pendant des semaines voire des mois. Le CoT est un signal structurel, pas un outil de timing précis — toujours l'utiliser en combinaison avec l'analyse technique et d'autres données fondamentales.

📉 L'Open Interest comme confirmation de tendance

L'Open Interest (OI) — le nombre de contrats ouverts, pas encore clôturés — est un baromètre de tendance indépendant pour les futures et les options. Tandis que le rapport CoT montre qui est positionné, la combinaison prix, Open Interest et volume révèle à quel point une tendance est saine. La lecture classique selon John J. Murphy :

Prix	Open Interest	Lecture
↑ hausse	↑ hausse	Tendance haussière saine — de l'argent frais afflue vers les positions longues, la hausse est portée par une conviction nouvelle.
↑ hausse	↓ baisse	Tendance haussière qui faiblit — la hausse est portée par le short-covering, pas par de l'argent frais. Une fois les shorts couverts, le carburant manque.
↓ baisse	↑ hausse	Tendance baissière saine — de nouvelles positions short s'ouvrent, la pression vendeuse est réelle et durable.
↓ baisse	↓ baisse	Tendance baissière qui s'essouffle — la liquidation de positions longues pousse le prix, les positions se ferment au lieu de s'ouvrir. Le mouvement s'épuise.

Le volume comme troisième confirmation

Le volume apporte la troisième dimension : s'il augmente dans le sens de la tendance, il confirme le mouvement. Une cassure sur fort volume et Open Interest en hausse est le signal le plus fort d'une tendance viable — une cassure sur volume et OI en baisse est, au contraire, suspecte et souvent de courte durée.

⚠️ Limite importante : l'Open Interest n'existe que pour les futures et options — des instruments à nombre de contrats variable. Les actions n'ont pas d'OI (seulement un nombre fixe de titres en circulation, pas de « contrats ouverts ») ; c'est l'analyse pure du volume qui prend le relais. Ne transpose donc jamais la matrice OI sans réflexion sur des actions individuelles.

Cette analyse prix-OI-volume complète la lecture de positionnement du rapport CoT vue plus haut dans cette section, ainsi que le regard institutionnel sur la constitution et le dénouement de l'OI dans le chapitre Institutional Flow (section 10.5.2) : le comportement de l'OI montre d'abord si une tendance est saine, puis le rapport CoT révèle quels participants de marché se trouvent derrière.

5. Couverture dans le portefeuille retail

Futures are the classic tool for hedging a stock portfolio — and often cheaper than options once you understand the mechanics.

Portfolio Beta Hedge with Short ES

The formula for the required number of ES contracts:

Number of ES = (Portfolio Value × Portfolio Beta) / (ES Price × $50)

Example: $200,000 portfolio, beta 1.2, ES at 5,000:

(200,000 × 1.2) / (5,000 × 50) = 240,000 / 250,000 = 0.96 ≈ 1 ES contract

Alternative: 10 MES (Micro E-mini S&P 500) for more precise sizing without a full ES contract.

The short ES earns during a market crash and compensates the portfolio loss — the hedge works like insurance without a premium (only margin needs to be posted).

Rollover Overhead

ES and MES futures expire quarterly — the four expiry months are H (March), M (June), U (September), Z (December), meaning the position needs to be rolled approximately 4× per year.

Cost per roll using a spread order (calendar spread): typically approximately $100–200 per roll (1 tick spread + commission). At 4 rolls per year approximately $400–800 total cost — significantly cheaper than comparable put protection.

Alternative: Long Put

Comparison of the two hedging strategies:

Aspect	Short ES Future	Long Put
Upfront cost	Margin (returned when closed)	Put premium (lost if not needed)
Upside if market rises	Limited (loss on short)	Unlimited (put expires worthless)
Hedge effectiveness	100% linear (delta 1)	Non-linear (delta 0 → 1)
Tax DE	Derivatives loss bucket	Derivatives loss bucket

Gold as an Inflation / Crisis Hedge

Gold performs particularly well in two specific scenarios: inflation (1970s, 2020–2022) and systemic crises (2008, 2020). As a diversifier, an allocation of 5–10% of portfolio value is appropriate.

GC (Gold Future, CME): $10 per tick (0.10 USD), contract size 100 troy ounces. For larger portfolios or institutional use.
MGC (Micro Gold Future): 1/10 the size of GC — ideally sized for retail portfolios. One MGC equals 10 troy ounces.

Bond Hedge with Short ZN

Anyone holding a portfolio with many bonds or long duration (tech stocks have very long implicit duration due to their high valuation multiples!) can benefit from rising interest rates:

Short ZN (10-Year Treasury Note Future, CME): Bets on rising US rates = falling bond prices. Contract size $100,000 notional.
Short FGBL (Euro-Bund Future, Eurex): European equivalent — bets on rising EUR rates. Suitable for Euro investors with EUR bond exposure.

💡 NatGas hedge for households: Theoretically you can hedge your winter gas consumption with NG futures (Henry Hub Natural Gas, CME). In practice: 1 NG contract = 10,000 MMBtu — that corresponds to approximately 50× the annual consumption of an average household. NG futures are therefore exclusively relevant for large consumers (factories, power plants, utilities). For private households the sizing problem is simply unsolvable.

⚠️ Hedge timing: Hedges are insurance — and insurance costs money even when nothing happens. Continuously hedged portfolios lose structurally: roll costs eat into returns and the short hedge limits upside in rising markets. The right approach: use hedges tactically — during high market uncertainty, before major macro events (Fed decisions, elections), in overbought market conditions. Permanent hedging is a fee for safety that you don't need during bull markets.

🔗 Cross-Link: Long put as a portfolio hedge — see Ch. 9.5 Protective Put. The options alternative to the futures hedge with a different risk profile (premium vs. margin, non-linear vs. linear protection).

6. Sessions, liquidité & mécanique des marchés

💡 Intro: Futures trade almost 24 hours — but not all hours are equal. Trading outside the liquidity windows costs you: wide spreads, thin order books and unpredictable slippage.

CME Globex

Trading hours: Sunday 18:00 ET → Friday 17:00 ET (nearly 24/5)
Daily break: 17:00–18:00 ET (60 minutes — settlement and system reset)
Regular Trading Hours (RTH) for index futures: 09:30–16:15 ET
Extended Hours (ETH): everything outside RTH — lower volume, wider spreads

ICE Futures

ICE Europe (Brent, FTSE): 01:00–23:00 CET
ICE Futures US (softs such as cocoa, coffee, sugar): 03:30–14:00 ET for grains/soft-like contracts

Eurex

Pre-trading: 07:30–08:00 CET
Trading: 08:00–22:00 CET
Post-trading: 22:00–22:30 CET
DAX futures RTH: 09:00–17:30 CET (highest liquidity)

Liquidity Windows

Window	Time (ET)	Volume Characteristics
US Open	08:30–10:00	High but volatile (reports, news)
US Regular	10:00–15:00	Highest liquidity, tightest spreads
US Close	15:00–16:15	Very high (pension rebalancing)
Asia Session	19:00–03:00	Low, wide spreads
EU Open	03:00–08:00	Medium, Bund/DAX liquid

Limit-Up/Down

CL (Crude Oil): Daily limit 7% (hard limit 15% upon CME expansion)
ZC (Corn): 40 cent daily limit (seasonally adjustable)
ES (S&P 500): Circuit breakers at −7%, −13%, −20% from the opening
At limit hit: No further movement in the limit direction — only closing of existing positions is permitted

Circuit Breakers

The Flash Crash of 6 May 2010 showed how rapidly markets can spiral out of control. The SEC subsequently expanded the circuit-breaker framework significantly:

Level 1 (−7%): 15-minute trading halt
Level 2 (−13%): Additional 15-minute trading halt
Level 3 (−20%): Trading halted for the remainder of the trading day

Futures have their own price fluctuation limits per contract — these may differ from equity circuit breakers and are set out in the contract specifications of CME/Eurex/ICE.

⚠️ Overnight gap risk: Friday 17:00 ET to Sunday 18:00 ET = 49 hours without US futures trading. Weekend events — bank collapse, outbreak of war, election result — lead to Sunday opens with gaps of typically 2–5%, historically up to 20%. Stops do not help during a gap: price jumps directly past the stop, execution occurs at the next tradable price. Anyone staying in risky positions over the weekend must factor this gap into maximum risk — not as an exception but as a real possibility.

💡 When to trade? For day trading in ES/NQ/CL the rule of thumb is: 09:30–11:30 ET (US open — high liquidity, clear impulses) and 14:00–16:00 ET (US afternoon — volume picks up again). Outside these windows: only trade with wider stop distances and tighter position sizes — the thinner order book penalises tight stops with frequent false breakouts.