SPY Weekly cross of prior week high / low based on week close position in range

This is a study of the chances of crossing  the prior week‘s high or low based on the position of the close.  The high for the week has to be higher than the previous week’s high(low) and the low for the week must be lower than the high (low) for a high (low) cross – so gaps are excluded. For example, 2 weeks ago, the closing price was 109.57, and the range for the week was from a low of 108.29 to a high of 111.74. The closing position was (109.57-108.29)/(111.74-108.29)= .37, so there was about 57% of crossing the low and the high (based on 2009 year to date data, which in this case includes the point in question).  Or 57% / 44% using all the years data.  In this case, both the high and low were exceeded.

1995 should have been an amazing year for the bulls – 81% of the time the previous week’s high was crossed.  The other extreme was 2002 which was generally had more low crosses than high crosses on a weekly basis.

For next week 2009-12-07, the close position in range of the prior week is 68% =(111.01-108.12)/(112.38-108.12), so around 69% chance of a higher high and 38% chance of lower low (both 2009 year to date and overall are similar).  This does not indicate if the weekly close will be higher or low.  Time will tell.

cross low based on position prior week close in range cross prior week high
overall <=.25 >.25 <=.50 >.50 <=.75 > .75 overall <=.25 >.25 <=.50 >.50 <=.75 > .75
2009 42% 73% 57% 38% 18% 65% 36% 57% 69% 82%
2008 54% 63% 83% 45% 23% 38% 19% 17% 64% 62%
2007 43% 92% 55% 50% 12% 58% 23% 55% 50% 80%
2006 38% 75% 44% 30% 22% 58% 13% 63% 50% 78%
2005 46% 100% 59% 33% 12% 67% 10% 65% 100% 88%
2004 46% 79% 73% 31% 13% 60% 21% 45% 67% 100%
2003 42% 100% 55% 36% 11% 67% 22% 64% 64% 100%
2002 65% 94% 80% 67% 20% 40% 25% 20% 50% 73%
2001 43% 69% 45% 41% 17% 49% 15% 36% 65% 75%
2000 54% 87% 75% 58% 12% 48% 7% 63% 50% 76%
1999 37% 75% 44% 20% 19% 60% 33% 33% 70% 81%
1998 35% 88% 45% 33% 13% 63% 38% 27% 67% 88%
1997 38% 86% 50% 23% 6% 58% 29% 25% 69% 88%
1996 43% 75% 70% 47% 15% 60% 13% 40% 73% 84%
1995 21% 20% 17% 32% 14% 81% 60% 67% 84% 86%
1994 44% 71% 62% 36% 7% 48% 7% 46% 64% 85%
overall 43% 80% 57% 38% 14% 57% 21% 44% 68% 83%
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