Using the Yahoo! historical database of SPY, I tried to categorize the likelihood of achieving various price points based on the prior day’s range. On any given day, what are the chances that of a higher high or lower low? What about crossing the prior day’s high or low? Pivot (high + low + close ) / 3? Using the prior day’s range, what are the chances it will cross a point that is 33% of the range below the prior days low, cross the prior day’s low, cross 33% above the prior day’s high, 66% of the range above the low, the prior day’s high, 33% of the range above the prior day’s high?

Also, what is the chance the next day will have a higher high or a lower low, or both, or neither?

Looking back over the past 1000 days, here are is what I found:

price point |
percent achieving |

cross -33% |
30.00% |

cross low |
45.20% |

cross 33% |
56.50% |

cross mid |
56.70% |

cross 66% |
58.70% |

cross high |
48.20% |

cross 133 |
27.00% |

cross pivot |
63.80% |

higher high |
51.50% |

lower low |
47.60% |

either |
89.00% |

both (outside day) |
10.10% |

At this point this is more food for the thought, but at least it gives some idea of what the next day will look like – there is about 10% chance (1 day in 2 weeks) that both the prior day’s high and prior day’s low will be exceeded, and similarly 10% chance that the neither will be exceeded. Of any particular price point, it is most likely the pivot point will be hit (a bit better than 60% of the time). You have a little less than 50% chance that either the low or the high will be crossed – but 90% chance that at least one of them will be crossed. Comparing the higher high with the cross of the high implies that about 4% of the time there will be a gap higher (about once month). On the other hand the likelihood of a gap lower is less likely ( lower low 47% vs 45% cross low, about 2% of the time).

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