Accuracy of the pivot cross chances

Part of the daily posting of cross chances are the chances that the stock price (IWM, SPY) will cross Pivot, or S1/R1/S2/R2.  These chances are calculated based on the opening price and their relation to those values.  I assign a value (1,2,3…) to the opening price depending if it is below S2, between S2 and S1, between S1 and pivot, between pivot and R1 or between R1 and R2.  Because the opening price is so often between S1 and R1, I divide that range in to eights.  The next step is to see how often in the past 1000 trading days, based on the assigned value, it crosses S2, S1, pivot, R1, R2.  This results in the chance percentages that are displayed daily.  How useful are these percentages?   The following table shows they are fairly accurate in predicting the likelihood of crossing a value:

percentage range S2 S1 Pivot R1 R2
85% 100% 89% 91% 81%
70% 85% 68% 76% 73% 87%
60% 70% 66% 71% 62%
50% 60% 53% 55% 44%

Meaning, if the percentage displayed in the daily cross chances for S1 was in the range 85-100%, then 89% of the time it crossed it.  For example,  on May 5, 2010 the cross chances for IWM for S1 (70.26) was 89%, and in fact was crossed during the day.  The pivot had a chance of 62%, and it did not cross, but S2 with a chance of 39%  was crossed.   What I like about the results above is that generally as the prediction percentages get lower (85 -> 70 -> 60 -> 50), the actual percent of crosses also get lower (e.g. the pivot actual percentages 91->73>66->55), although R1 doesn’t quite fit the pattern as well as the other positions.  The blank cells in the table indicates there were less than 40 occurrences of the combination, and I didn’t feel those would be statistically valid.


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