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Old 09-24-2015, 02:15 PM   #1

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NQ Trading Around Yesterday's High/low ONLY

Some quick stats for the NQ. More work to be done.

Sample size in days=186
01/05/2015 to 09/22/2015

% / #
How often does the market break higher than yesterday's high? 55.38 / 103
How often does the market close higher than yesterday's high? 30.11 / 56
How often does the market break lower than yesterday's low? 47.31 / 88
How often does the market close lower than yesterday's low? 23.12 / 43
How often does the market stay within yesterday's high or low? 9.68 / 18
How often does the market break both yesterday's high or low? 12.37 / 23
How often does the market break either yesterday's high or low? 90.32 / 168

Average range across all days was 65 points. Didn't set a number as to what qualifies a break (yet) so based on excel a break would be 1tick, but 90% of the time the PDH or L was touched. Yesterday's high or low was never matched the following day with it being the current day's highest high or lowest low. Closing higher or lower was general not after a break, however I will be calculating that as I move forward. I did track the extents of the breaks and some other things but still working. Of course there is more work to be done regarding context and all that jazz. Will continue updating.
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Old 09-24-2015, 11:09 PM   #2

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Re: NQ Trading Around Yesterday's High/low ONLY

53.36% of the time after a break higher than yesterday's high we close above yesterday's high and on breaks lower we close lower than yesterday's low 48.86% of the time. Forgot to add those above. Haven't found anything interesting regarding extents of the breaks and whether it leads more to a continuation vs reversal, at least just by the numbers. I'm sure other context will provide clues as well as how far price has already traveled in the day maybe in relation to the 10ADR or maybe in relation to that average range # of 65. More than likely there's another swing point/level that's more important above/below yesterday's range. We'll see as I dig deeper.
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