Cross Chance Calculations

SPY
% range -60% -40% -20% 0% 20% 40% 60% 80% 100% 120% 140% 160%
Chances 5% 7% 11% 16% 22% 31% 43% 67% 95% 70% 44% 30%
Prices 111.41 111.60 111.80 112.00 112.20 112.40 112.59 112.79 112.99 113.19 113.39 113.58

Top line is the % of prior 2 day’s range – in this case the range was from 112.00 to 112.99 (the 0% and 100%) (today – 2009-12-29). Each column represents the chance the price will be crossed. For example, the 100% of range figure – price of 112.99 – has 95% chance it will be crossed (a price above and below during the next two days). Based on today’s pre-open price of 113.04 ( vs actual open of 113.01), then the prices for the next two days should fall between 112.79 and 113.19 (where the chances row have values > 50%).   A little better than 70% of the time the price points that have > 50% chance will be hit. If I used the actual open for today, the range values >100% would have been slightly lower, and the ones less than 100% would have been slightly higher (+/- 3%).

The odds are calculated by looking at the previous 1000 days and finding similar open vs range occurrences and seeing which price points they hit. For example, for today, the calculation was (113.04 – 112) / (112.99 – 112) { [ today’s open – previous two day’s range low] / [ range high – range low ] } = 1.02. I looked at all the previous occurrences where the calculation was between .92 and 1.12 (1.02 +/- 0.1). Based on those occurrences, the chances were calculated.

For pivot and close values (in the IWM daily table), I use similar logic and look to see, given the opening price, how often the pivot (or R1/S1/ previous close) is crossed, regardless of where the pivot is within the day’s range.  This causes some inconsistencies where the likelihood of crossing the pivot is different from what the range table might predict, but usually they are fairly close (pivot chance % versus range table chance %).

For today – the actual SPY range was 112.59 – 113.03.  Two of the three prices where the chances were greater than 50% were crossed.  We shall see if the price crosses 113.19  tomorrow.

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2 Responses to “Cross Chance Calculations”

  1. sk Says:

    is there a factor to multiply by that will give one the equivalent ES-Mini S&P prices?

    • framingtheday Says:

      I expect the factor that Dr Brett tweets every morning should work. eg 7:30 AM CT – $SPY targets: Pivot=112.68; R1=113.15; R2=113.31; R3=113.47; S1=112.20; S2=112.04; S3=111.88. Trading nr S1; ESf=9.965 $$

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