Interview noteThis page restates a public interview in new words. Dollar results, win rates, and payouts are claims made by the speaker or the host. They are not this desk's record, and they are not a result to expect.
Fabio Valentini, walks through a day-trading model he has been building for six months. The host's introduction is specific: a professional scalper, alpha research for multiple seven-figure firms, and a podium finish in all four quarters of the futures audited challenge at the Robbins World Cup. The model is Nasdaq only. Fabio has not properly tested it elsewhere, and he refuses to say it transfers. He has other models that make money on Nasdaq and lose it on the ES, and the reverse. Correlation is not the same microstructure. Taking a gold strategy onto Nasdaq because the trader "has been successful" is, in his comparison, the same error as assuming his results will be yours because he has them.
Direction is value migration, not a hunch
The tool he calls Nasdaq effort is a simplification of which side is dominating. It studies imbalance, absorption, aggression, and the path of least resistance. If a given number of contracts moves price up more easily, the book is thinner on the upside and the market can explode there. Around that study he stacks the things the host lists at the top: value migration for the direction, delta and absorption for whether aggressive buyers or sellers are actually moving price, and large orders as a separate signature. A fully aligned filter, in the example he clicks through, is six trades, five of them take-gain, one a stop. The opening caption says "five tick gain." The later, clearer count is five take-gains and one stop. He treats the stack as confluence, and he names the overfitting risk directly. Stress a data set long enough and it will say what you wanted. He would rather watch, in real time, how price reacts to the area, and treat order flow as something that can influence the next short-term drift, not as a grail. The same tape still produces chop: a clean short, another clean short, a stopped long, then three stops in a row. That sequence is part of how the market develops.
Friday, the session he dissects, was a consolidation day. His diagnosis of why people lose those days is the swing. They cannot tell when an impulse is finished, so they do not know when the second attempt is the buy. He uses a template that marks the pressure area, who is dominating, and he wants the session read from the open to the close rather than from a single candle.
The open prints a first drive and a red cluster he already knew as strong absorption to the downside. Buyers pushed, he marks it with a triangle, and they were absorbed. That zone is his first confluence for where he is willing to engage. It is not yet a swing. The session then does what he calls the cage. Sellers were absorbed at the start, price came down, buyers were absorbed. The profile to the right of that stretch stayed balanced from the beginning of the session. Buyers and sellers are at fair value. Nobody has taken control. He does not want the trade inside that balance. He wants a directional auction outside value, because that is where he expects directional movement.
The first setup he actually saw was at VWAP, which the caption hears as "view up." For him that level is where reloading players put the maximum pressure to the downside. The area collapses. The sellers there are stronger than the other player. That is the logic, not a signal by itself. He then has the move from a point A to a point B as the trade location. At the bottom, buyers print an aggression he can see from the deep swing. VWAP is engaging price on the low side, and the delta candle colors say buyers are dominating that auction. When price comes back into the value area there is another confluence: value-area low, and a line where buyers took complete control. Sellers tried to bring it back and failed. That failure is the absorption.
Delta, then the proprietary box
Delta, he says, is the main force. A mean-reversion entry taken off the open still needs aggression on the trader's side: sellers taking control, or buyers punching a wall. The buy aggression outlined at the top had no reward. It was absorbed. On a continuation, the same picture can appear at the high. Buyers are aggressive and the result is zero. A negative candle in that spot means the buy power was absorbed to the downside. He also uses the delta candle to know when risk goes to zero. Enter, stop where he marked it, and when sellers take control the stop comes to flat. The reload of the buyers is the mirror. Heavy seller pressure, a candle with no result, absorption, buyers taking control. The extreme of that low was not a trade he could take. It was too late and too fast. The retest, where sellers again make no progress, is the trade.
Nasdaq effort is the study he has kept for years, of when one side is actually dominating an area. Everything else comes off the chart so the boxes can be read alone. Sellers taking control inside the box is his timing. From there he can try an explosive position back toward the next area. A return to a place that already showed absorption, with a stack of two sell-control zones, is an extra confluence. On the buy he skipped the first push because it was too fast. The second one confirms at the close of the candle that, in his words, says it is time to go up. Management is a trail under the last aggression. He expects the market to dip and resume. If it takes him out, he can reload when price is back inside the area. He is out below that low because the continuation he was positioned for failed.
Large prints are the third layer, and he wants them read as market-by-order data when the platform allows it. A cluster of a few hundred orders might be one participant or many, and those are different facts. In a long, if buyers are aggressive at a level and price cannot advance, he would rather trail under the last aggression than wait. If that print fails, he expects the reversal. On the other side, buyers pushing the auction with about 300 contracts are a confirmation he uses to trail, and he covers below the level because he expects that player to reload there. One hundred and eleven contracts absorbed at the top is the kind of number he will show, and he is blunt about what it is. Order flow is a data set. It has to be validated against a bias and an idea. Buying the feed does not make someone profitable any more than buying a data set makes someone an analyst. A print around 167 contracts, followed by buyers pushing the other side, is a pattern he associates with a bottom, because the confirmation is on the opposite side of the absorption.
The profile is the piece he calls objective in a way price action is not. Measure from the bottom swing to the top swing and take the price off. Balance is what he calls the land of nowhere. Below it is the discount, and his analogy is the Apple Store: the marked price of the phone, and anything under it is cheaper than the auction agreed. He wants that zone marked. Inside it, in the example, buyer aggression is large, a lot of selling is absorbed, and value-area low is there. Put the price back on and, if the test is done properly, price fills the level. Those are executed orders. Anyone can see them. The buy aggression that traded from that zone mattered more than the activity in the other area. Confirmation, for him, should be used to buy from levels the order flow already cares about. It is a refinement of an entry, not a replacement for one.
One-to-one with the drift, not one-to-five against it
He describes the hold as scalp to intraday. Short-term positions are how he takes the intraday drift. Aggressive scalping is a different job. It is not an attempt to sit in the main drift. The tool he calls the order track answers, candle by candle, who is dominating and where the value area is migrating. A candle can show heavy sell delta and a balanced profile. The next can show a lot of sell aggression, a close that does not pay those sellers, and a value area that is still lower. The switch is the close of the value area. A downward drift has value shifting lower. When that value starts switching higher, and the candle that was seller-dominated gives way to buyers, that is where he loads a one-to-one.
The reason he prefers several one-to-ones to a single one-to-five is the regime. If the day's direction is understood, every movement in that direction can be scalped. Three or four one-to-one positions can pay inside a market that is also consolidating. A one-to-five can park the trader in one position for a long time and then do nothing. When value is migrating higher and the candle is still green, he expects the value area to protect and to reload higher. The position goes at the value area, covered below, for another one-to-one. He is honest that the next one-to-one can run against him and stop out before the idea is wrong in any larger sense. Compression can still reach a target.
The sell is the same machine in the other direction. Value switching lower, sellers dominating, stop above the value area he is protecting, one-to-one, and if the market continues lower he takes the target and waits for a realignment. A sell candle that closes back inside is not yet the next short. A break below is. If the market refuses and flips from the value area up to the value-area high, the long is there, stop under the value-area low, another one-to-one. A green candle while value is trying to switch lower is a skip. Red, and then the switch lower, is the position. Inside the candle he will still read it. If the point of control has stepped down from the previous candle, value is migrating lower. If the next candle tries to break that level with a lot of buying and zero result, passive orders are still there while the candle develops. Absorption of that kind can justify pressing a one-to-two. The objective of the model is not the large payoff. It is a consistent equity curve, and only then, maybe, risking the gain already made on a larger position.
The win rate is not a single number. On a drift he can print three or four targets in a row, leave one unfilled, flip long because value switched, take that, stop, and then print more targets on the way down. The drift is positive and it is not evenly distributed. He calls the win rate of the model really high, and he will not automate it. An automated version leaves the risk where the entry candle put it. He sees a large buyer absorption and trails the stop to zero. That refinement is the discretion. When a drift is sustained the way the closing range was, he builds. A flip higher lets him sit at the absorption, or just beyond it, with the stop below. Once the market confirms, the first position goes breakeven because he can cover under that aggression, and he loads another on the extreme delta. On a real drift day that can be three or four rolling positions off the initial risk of one. The reward is not linear. It is stacked. There are also negative days. In extreme chop the win rate falls to around 40 to 50 percent, which at one-to-one, plus commission, is break-even. He does not call it a holy grail.
What he added, what he will not claim, and what he trails
The earlier version of this work used only aggression and big trades. Value area is the addition of the last six months, and he thinks it is the part that tells him how sustained the drift is. A big order can be scattered through several candles, so the next candle retraces and a trader who chased the print is flat. Value area is what keeps him in the drift for as long as the drift lasts. He only trades trend-following models at the moment. When the regime is wrong and the market is not moving, he gives gain back. That is the game, not a mistake to be punished. Asked what matters most, he says value area together with delta, and the last tweak is the Nasdaq effort area itself. Value migrating higher, and the area saying the pressure is still on the upside, is every input he wants pointing the same way.
Consolidation is the weakness he accepts for every trend-following system, this one included. In a consolidation week the goal is to protect capital, not to blame himself. His analogy is a tourism business in the UAE that wants the season and has to live with a hot summer and two thin months. Commission is the same kind of known cost. An edge has to clear it, and the impact is larger on short-term trades. He does not want the model used with the brain off. The attitude he asks for is distrust: simulation, research, and execution only after the trader is convinced there is an edge. He is spending on further research, including option-flow pressure and hedging activity, and he thinks the model can be improved. He will not put a date on it.
Validation, for this one, was at least three years of data, then three months out of sample, watching, because the trade count is high. Three months might collect about 300 trades. He did not publish it as a standalone strategy. It is a proprietary study and a set of indicators, meant to sit next to a model the trader already has. The error he is guarding against is making the indicator the authority and stopping the work of deciding the direction. Someone who understood the whole video and still struggled is, in his view, meeting the ordinary fact that any model, over a short window, can be up or down. The edge is the long sample. He disagrees with relying on one model. He runs a longer-term mean-reverting trend approach beside this one. Some days this model is dead and the longer one works. Some days both are dead and a crypto model works. Across a lot of testing he has not found a single model that is profitable in every environment. On a prop account that matters more, because going underwater can burn the account. Either diversify, or have a rule that keeps you out when you can say this one is not working. The filter in front of him does some of that. Stretches of the chart have no signal because the conditions are absent. It cannot delete every consolidation. If it could, he says, it would not be a system. It would be a printer, and he would be a billionaire.
He also keeps both the early entry and the later one, on purpose. One daily shot is the area where he is confident enough to take the position and, if it breaks, he is done. The momentum version is allowed to say that a break of the area, with the area still printing, means he can be in and he can go further with that pressure. A positive payoff and a win rate that holds are enough reason not to skip it. The failure mode is pretending to hold a drift from the top with a target that assumes the move is cheap. The asset is overpriced, it retraces, the trader closes in fear, and the rest of the errors follow.
Partials are the piece he and the host both killed. For this model the trail is two Nasdaq-effort boxes, not a scale-out. He is in at the first green box. The second box prints and the stop goes to breakeven. Another box, and the stop steps under the second. Each new box walks the stop. Eventually he is taken out. He tested partials. On Nasdaq they remove him from an asset that can trend all day. A partial can flat him, and then 200 points of rally are gone, and the days with that rally are what pay for the days he is wrong. On currencies he does take partials, because that market mean-reverts more. Nasdaq, in his description, has an upward directional skew. The host reports the same result from the systematic side: partials cut the gains by more than they cut the risk. Fabio's manual version of that sentence is that a loser is a full stop anyway, and a partial on a winner eats the gain. Risk got a little smaller. Gains got a lot smaller.