{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,5]],"date-time":"2026-10-05T17:56:24Z","timestamp":1791222984916,"version":"4.1.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by-nc\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This paper asks whether the distance of price from a medium-horizon moving average, normalized by Average True Range (ATR), is more useful as a slow structural risk state than as a stand-alone directional trading signal. The slow state is defined as the prior trading day's close minus its 50-session simple moving average (SMA50), scaled by Wilder's 14-session ATR. This variable is combined with a fast intraday risk predictor based on recent realized volatility and evaluated primarily in E-mini S&amp;amp;P 500 (ES) and E-mini Nasdaq-100 (NQ) futures, with gold futures (GC) used as an additional mechanism check. The historical evidence is explicitly exploratory: the 2017-2019 and 2020-2023 periods were observed during iterative development and are not presented as independent confirmatory samples. Three results stand out. First, extreme ATR-normalized extension states are more consistently associated with larger future path ranges and higher realized volatility than with terminal directional displacement. Second, in ES, adding the lagged slow state to an already strong fast predictor improves LogLoss, the Brier score, and the area under the ROC curve (AUC); a minimal model consisting of fast state, slow state, and a single slow\u00d7fast interaction retains approximately 98% of the LogLoss improvement of a richer specification. Third, the interaction geometry replicates in NQ even though the slow main effect exhibits calibration drift. A causal Platt calibration re-estimated on the previous 60 trading sessions reduces LogLoss in both markets. The evidence supports a deliberately narrow interpretation: ATR-normalized price extension contains incremental information about the future state of risk, but does not by itself establish directional alpha or an economic edge. Later stages of the project froze a risk-management candidate for prospective evaluation; no post-freeze performance result is used in this article.<\/jats:p>","DOI":"10.2139\/ssrn.7558660","type":"posted-content","created":{"date-parts":[[2026,10,5]],"date-time":"2026-10-05T17:32:09Z","timestamp":1791221529000},"source":"Crossref","is-referenced-by-count":0,"title":["ATR as State, Not Signal.Multiscale Forecasting of Extreme Intraday Risk in Equity Index Futures."],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0008-7891-7261","authenticated-orcid":true,"given":"Jos\u00e9 Enrique","family":"Delgado","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,5]],"date-time":"2026-10-05T17:32:09Z","timestamp":1791221529000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7558660"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7558660","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}