Trading the CPI Chop: New Nasdaq Strategy Research + Stock Index Rollover Alert

CPI produced another session where a major economic release failed to generate a sustained directional move. Instead, Nasdaq futures moved back and forth inside a compressed range — exactly the type of environment we continue to research from a systematic trading perspective.

Rollover Alert

Stock Index Futures: Roll to December 2026 for Monday's Trade

The September 2026 stock index futures contracts are approaching expiration. The customary CME equity-index roll date is Monday, September 14, 2026, with the September contracts expiring on Friday, September 18, 2026.

Traders using the quarterly stock index contracts should prepare to transition charts, workspaces, automated strategies and order-entry systems from the September contract to the December contract.

Market	September	December
E-mini S&P 500	ESU26	ESZ26
E-mini Nasdaq-100	NQU26	NQZ26
E-mini Dow	YMU26	YMZ26
E-mini Russell 2000	RTYU26	RTYZ26

Important: Confirm that your platform, data feed and brokerage are using the correct contract before enabling automated trading. Volume can migrate between contracts around rollover, so verify the active contract for your specific setup.

CPI Arrived. The Big Directional Move Didn't.

Friday was the final trading day of a holiday-shortened week, and traders came into the session with another major catalyst: CPI.

Economic releases like CPI often create expectations for a large directional move. But an important part of systematic trading is recognizing that a major news event does not guarantee a persistent trend.

Sometimes the result is exactly the opposite:

an initial reaction,
a reversal,
another reversal,
and ultimately a compressed trading range.

That was the type of price action we saw Friday in Nasdaq futures.

Chop Two News: Trading the Back-and-Forth Market

Chop Two News is one of the strategies currently included in the Capstone Trading Systems 18 System Portfolio.

Rather than requiring a sustained trend, the strategy is designed to participate in some of the back-and-forth behavior that can develop around news-driven and compressed trading sessions.

During Friday's session, the strategy moved between long and short positions as Nasdaq futures oscillated within the range.

This is an important distinction between a portfolio of strategies and relying on a single market hypothesis. Some systems are designed for trends. Others are designed for reversals, breakouts, volatility expansion, overnight movement or choppy intraday conditions.

A New, More Selective Version

We are also researching a second variation of Chop Two News.

The updated version incorporates a new market-internal trend filter using TRINND. The objective is to make the strategy more selective rather than simply increasing the number of trades.

In our current testing, the updated version takes approximately half as many trades as the existing Chop Two News strategy while maintaining an upward three-year performance trend in the research shown in the video.

This is the type of portfolio research we continually perform:

Can we reduce unnecessary trades?
Can market internals provide additional confirmation?
Can we maintain the underlying edge while becoming more selective?
Does an updated variation improve the portfolio as a whole?

If the research continues to support the updated variation, we expect to update the 18 System Portfolio with the newer version.

XMA Reversal Update

We also reviewed the recent performance of XMA Reversal, another Nasdaq trading strategy we've been discussing this week.

XMA Reversal did not trade Thursday or Friday. That is intentional — the strategy is not designed to generate a position every day.

On Wednesday, it generated several long signals and finished the session approximately $1,000 higher based on the performance reviewed in the video.

Going back to February, the strategy performance report shown in the video indicates:

Net Profit: approximately $155,490

Total Trades: 352

Average Trade Profit: approximately $441

Long-Side Profit: approximately $84,000

Short-Side Profit: approximately $70,000

One of the interesting characteristics of XMA Reversal has been its ability to participate in both long and short opportunities during the geopolitical and volatility-driven market environment of the past several months.

The Current Challenge: Compressed Price Action

One of the dominant characteristics of the recent Nasdaq environment has been price compression.

Markets can absorb economic data, interest-rate changes, geopolitical headlines and other catalysts without immediately producing the directional move traders expect.

For systematic traders, the question is not simply:

"Which direction should the market move?"

A more useful question is:

"What type of price behavior is actually occurring, and do we have a strategy designed for it?"

That is one of the reasons we continue developing multiple independent approaches rather than attempting to force one strategy to work in every market regime.

XMA Reversal

Learn more about the XMA Reversal Nasdaq trading strategy, including strategy information, performance research and platform availability.

View XMA Reversal

Interested in the 18 System Portfolio?

Chop Two News is part of the Capstone Trading Systems 18 System Portfolio. Subscribers will receive access to portfolio strategy updates as new research is incorporated.

Contact Capstone Trading Systems

Capstone Trading Systems
Algorithmic Trading Strategies • Portfolio Research • Market Updates
capstonetradingsystems.com

Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.