IWM cross statistics

Looking back over the past 1000 trading days, how often do the projections work?  The following table indicates how often a particular price point would have been hit.  The top rows of the table looks at those cases where the percentage value was over 50%.   The bottom of table looks if the percentage value was over 80% (which usually occurs with one or two price points per day).

2 day range position -0.6 -0.4 -0.2 0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 total
50% threshold
day 1 40% 53% 59% 64% 67% 64% 58% 69% 61% 51% 53% 42% 62%
day 2 43% 43% 40% 44% 43% 40% 40% 44% 42% 40% 37% 40% 41%
both days 56% 63% 71% 74% 77% 74% 70% 77% 73% 66% 63% 68% 73%
80% threshold
day 1 56% 76% 86% 89% 81% 80% 82% 81% 82% 65% 69% 67% 83%
day 2 47% 44% 39% 46% 46% 43% 44% 49% 46% 42% 47% 0% 45%
both days 78% 81% 89% 91% 89% 87% 86% 87% 87% 73% 78% 67% 89%

Not unexpectedly, the first day has a higher accuracy. The combined accuracy for 2 days adds 10% on the 50% threshold, and 5% on the 80% threshold. As you move away from the prior 2 day range (e.g. 1.6 or -.6), the accuracy falls. For what its worth, there were 7 times where the price 1.6 * the prior days range had a value of >.8, 67% of the time it hit the price the first day, but never on the second day.

Post Script – in the case of 50% threshold, the likelihood of hitting one of ‘missed’ crosses the next day is about 27% – one in four.  Not very good odds to hold a position.

chance of cross > 50% -0.6 -0.4 -0.2 0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6
missed day one, hit day two 23% 18% 29% 28% 28% 26% 26% 28% 29% 29% 22% 41%
hit day one, hit day two 60% 60% 50% 54% 49% 49% 50% 52% 50% 48% 53% 38%
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