More on intra day high vs low

I’m not going to show the detailed info, but I did a query of IWM one minute data that tried to determine if I have a new intraday high, what are the chances that there will be a lower low for the day, and what are the chances the high was the high of the day.  I’m just showing part of the day in the table below.

So, at 9:31, there were 124 new highs, and of those, 13 the low for the day was put in, and 11 the high of the day was put in.  An additional 1.6% rise can be expected (normally I like to use the median, but I am lazy today).

At 10:00 am, 63 new highs (probably due to release of economic news), of which 39 did not have a lower low (61%) for the rest of the day.  this number stays around 2/3 that don’t make lower lows between 10:00 and 10:30, and rises 3/4 between 10:30 and 11:00, and about 95% of the time there isn’t a lower low after 11 if a new high is reached.

Time likelihood that the higher high at any minute will be the high of the day is about 5% (meaning 19 times out of 20 there will be a higher higher later in the day), although closer to 3% during the middle of the day.  And as you might expect, as the day progresses, the average gain after making a high decreases from 1.6% early in the morning down to .4% late in the day.

stocktime new high no lower low no higher high avg additional gain
9:31 AM 124 13 11 0.016567
9:32 AM 95 14 7 0.014258
9:33 AM 80 16 4 0.015304
9:34 AM 63 18 2 0.019347
9:35 AM 80 28 2 0.016474
9:45 AM 71 31 4 0.014953
9:46 AM 43 20 2 0.016956
9:47 AM 38 19 1 0.016732
9:48 AM 31 16 0 0.015476
9:49 AM 23 11 0 0.015181
9:59 AM 19 12 1 0.011487
10:00 AM 63 39 5 0.012319
10:01 AM 39 23 0 0.014786
10:59 AM 9 8 1 0.011579
11:00 AM 10 8 1 0.009021
11:01 AM 13 10 2 0.011131
11:02 AM 12 11 0 0.0139
12:59 PM 5 5 0 0.0121
1:00 PM 5 5 1 0.010243
1:01 PM 6 6 0 0.006048
1:02 PM 9 9 0 0.006892
1:03 PM 5 5 1 0.010341
1:04 PM 6 6 1 0.00842
3:00 PM 16 16 1 0.006617
3:01 PM 12 12 2 0.004527
3:02 PM 15 15 2 0.006807
3:03 PM 6 6 1 0.006952
3:04 PM 8 8 1 0.005407
3:53 PM 12 12 3 0.005269
3:54 PM 13 13 3 0.003976
3:55 PM 15 15 2 0.003024
3:56 PM 21 21 2 0.002536
3:57 PM 22 22 9 0.001145
3:58 PM 24 24 24 0
3:59 PM 29 29 0 -0.00172
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