Yesterday Post-Mortem Performance Analysis of the JATS™ V-SNAV™ + HALO™ and Volatility Compass™ Reports for ES = A-

April 1, 2026

Apr 01, 2026

This is a post-mortem performance analysis of the JATS™ V-SNAV™ + HALO™ and Volatility Compass™ reports for the session of March 31, 2026, comparing the predictive modeling against actual market data.

I. Market Performance Summary (2026-03-31)

Metric,Reported Level (Model),Actual Performance,Delta / Accuracy
Open (ESM26),6385.25 (Mean),6385.25,0.00 (Perfect)
Intraday High,6506.00 (PT3A),6583.25,+77.25 (Exceeded)
Intraday Low,6342.00 (PT1B),6353.25,+11.25 (Held)
Session Close,N/A,6570.75,+2.86% Gain
VIX Close,28.99 (Ref. Price),25.25,-17.51% (Crushed)

II. Post-Mortem Analysis

1. Regime Identification: Expansion (Success)

The reports explicitly identified an Expansion Regime with a “Momentum override active outside the 83% range.” This was the defining characteristic of the session. The model correctly prioritized “Breakout Logic” over “Fade Logic,” accurately predicting that static resistance would be neutralized by flow.

2. Level Validation & Gravity Path

The Mean (6385.25): The session opened exactly at the modeled Mean. This provided a perfect structural anchor for the day’s development.
The Trigger (6428.50): The reports identified 6428.50 as the “Expansion Trigger.” Once the market sustained positioning above this node, it triggered the “linear gravity path” toward the upside targets.
The Options Wall (6460.00): This “institutional magnet” was reached and breached early in the momentum sequence, validating the concentration of Open Interest (738k contracts) as a primary attractor.
Terminal Extreme (6506.00): The model labeled PT3A (6506.00) as the “absolute extreme exhaustion point.” While the direction was correct, the sheer magnitude of the momentum exceeded this terminal node by 77.25 points. The market closed nearly 65 points above what was modeled as the “terminal” boundary.

3. Volatility Thesis (VIX)

The Compass correctly identified a “substantial volatility crush.” While the report referenced a decline to 28.99, the actual market realized a much more aggressive collapse, finishing the day at 25.25 (-17.51%). The thesis of “absolute absence of a systemic macro shock” was perfectly aligned with the price action.

III. Performance Grade

Grade: A-

Strengths:

Precision: Perfect identification of the Mean at the Open.
Regime Accuracy: The “Expansion” classification was 100% correct and prevented any “premature fading operations” which would have been catastrophic for a trader.
Logic Flow: The “Breakout Logic” priority above 6428.50 was the correct tactical play for the session.

Weaknesses:

Underestimation of Volatility Tail: The “Terminal Extreme” (6506.00) was breached significantly. While PT3A is designed to capture 99% of distributions, the realized kinetic expansion (VUR 0.081) was more explosive than the model’s static ceiling suggested, leaving significant “alpha” on the table if a trader exited strictly at the PT3A target.

Conclusion: An excellent report that correctly steered users into the momentum move and away from the “mean-reversion trap.” The structural levels provided a clear roadmap, though the “exhaustion” levels required dynamic adjustment to account for the massive 2.86% daily rally.

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JATS™ Legal / Compliance Note: This report is educational volatility intelligence, not investment advice or a solicitation to buy or sell. All levels and options metrics are static morning-report snapshots and not a live signal feed.

The levels provided in this report are mathematically derived from historical and realized volatility data. In compliance with vendor guidelines, these outputs must not be used to provide specific trade signals. No forward scaling or synthetic term structure was applied.

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🔹 Purpose: Educational intraday volatility analysis and probabilistic market structure interpretation.
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Reports represent intraday volatility snapshots, not live signal feeds.

Note: All Report Metrics and Tier Signals are based on conditions at the time of report issuance.
This report is intended as an intraday volatility compass and does not represent a live or continuous data feed.

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🔒 Disclosure & Risk Notice
J Auto Trading Strategies, LLC (JATS) provides educational volatility analytics only and does not issue trading advice, signals, or solicitations. JATS is a Vendor Affiliate of @NinjaTrader and may receive compensation for referrals. Futures and options trading involve substantial risk and are not suitable for all investors. All analytics, methods, and data within the JATS V-SNAV + HALO™ Framework are proprietary to J Auto Trading Strategies, LLC.
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Disclaimer:
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Hypothetical Performance Disclosure:
Hypothetical performance results have inherent limitations. Unlike actual performance records, hypothetical results do not represent actual trading and may under- or over-compensate for the impact of certain market factors. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.

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