Intra day movements from open greater or less than 30% of 10 median daily range

Over the past couple of weeks, IWM generally has opened toward the low of the day and risen.  At first I was curious if this gave any predictions of the direction of the stock price over next few days, but was not able to see anything that I felt was statistically meaningful.

I then looked at the following – compute the median range over the prior 10 days and compare today’s open to low as a percentage of the median range. Count how many times over the past 10 days the range was less than 30% of the total range.  Comparing yesterday’s count to today’s count, does it give any indication of the likelihood of a larger or smaller movement.  Similarly for the open to high.  Overall, about 65% of the days the low of the day is greater than 30% of the daily range, and  60% of the days the high is greater than 30% of the daily range.  When you compare it to the prior days count you get the following:

down movement

prior day count next day count count of days open to low was less than < 0.3 of median range # > 0.3 ratio > .3 / total
2 2 3 3 0.50
3 3 4 13 0.76
4 4 32 49 0.60
5 5 75 146 0.66
6 6 101 227 0.69
7 7 127 199 0.61
8 8 74 191 0.72
9 9 57 84 0.60
10 10 11 20 0.65
2 3 2 4 0.67
3 4 11 26 0.70
4 5 35 42 0.55
5 6 39 88 0.69
6 7 56 112 0.67
7 8 31 88 0.74
8 9 26 52 0.67
9 10 7 11 0.61
3 2 1 6 0.86
4 3 10 28 0.74
5 4 32 46 0.59
6 5 43 85 0.66
7 6 66 102 0.61
8 7 54 65 0.55
9 8 34 44 0.56
10 9 4 14 0.78

For up movements:

prior day next day count of days open to high was less than < 0.3 of median range
2 2 2 3 0.60
3 3 15 13 0.46
4 4 43 49 0.53
5 5 95 146 0.61
6 6 174 227 0.57
7 7 127 199 0.61
8 8 72 191 0.73
9 9 22 84 0.79
10 10 6 20 0.77
2 3 1 4 0.80
3 4 14 26 0.65
4 5 32 42 0.57
5 6 73 88 0.55
6 7 62 112 0.64
7 8 53 88 0.62
8 9 17 52 0.75
9 10 0 11 1.00
3 2 1 6 0.86
4 3 10 28 0.74
5 4 33 46 0.58
6 5 59 85 0.59
7 6 65 102 0.61
8 7 48 65 0.58
9 8 13 44 0.77
10 9 2 14 0.88

Today, the down count went from 3 to 2, so it is fairly likely that the low will be more than 30% of the median range (which is currently about 1% of the price), so I would expect the low of the day(February 18, 2011) to be at least .27 lower than the open. The number of occurrences is very low, so that would lower the confidence of the prediction. Options expiration often has its own characteristics, so those may override these findings. Friday’s generally have a slightly higher (67% of the time vs 65%) chance of a move down greater than 30% of the median range.  The yesterday / today’s high counts were both 8, which would indicate a fairly good chance of exceeding 30% on the upside also.

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