IWM Higher High/Lower Low by day of week, trading day of month, past 3 days

I did a quick look at how often today’s high was higher than yesterday’s high by day of the week and trading day of the month.  I looked at IWM for the last 2500 days and 250 days to see if they were consistent.  As was expected, Monday’s recently have been stronger recently, although I was surprised to find that Wednesday’s likelihood of a new low as noticeably lower than the average.

day of week Monday Tuesday Wednesday Thursday Friday any day
high>yesterday-2500 days 51% 56% 56% 54% 50% 53%
high>yesterday -250 days 63% 53% 55% 52% 53% 55%
low<yesterday-2500 days 47% 48% 47% 50% 45% 47%
low<yesterday-250 days 35% 51% 33% 52% 43% 43%

Looking at trading day of the month for the first 11 days, it was surprising to me that the first trading day didn’t have more higher highs, and the 3rd, 7th and 8th days had more than than the average.  Is the 7th/8th being about 1 week after the 3rd any significance?

trading day of month 1 2 3 4 5 6 7 8 9 10 11
high>yesterday-2500 days 59% 55% 48% 48% 51% 48% 52% 50% 59% 51% 61%
high>yesterday -536 days 52% 56% 64% 52% 52% 54% 62% 73% 58% 46% 54%
low<yesterday-2500 days 46% 35% 49% 54% 50% 52% 51% 56% 45% 50% 40%
low<yesterday-536 days 44% 36% 32% 48% 40% 31% 38% 42% 38% 46% 46%

Looking at the data from the end of the month, the last day has seen a bit of a reversal on the lows, with recently data having significantly higher number of new lows, but the 10 year average has lower number of new lows.

trading days until end of month
high>yesterday-2500 days 55% 58% 60% 54% 51% 49% 53% 52% 54% 51% 57%
high>yesterday -536 days 40% 50% 46% 46% 58% 38% 65% 62% 54% 58% 50%
low<yesterday-2500 days 39% 40% 44% 47% 46% 45% 53% 53% 48% 50% 48%
low<yesterday-536 days 64% 50% 42% 65% 42% 54% 46% 50% 46% 38% 50%

Finally, taking a look over the past few days, 111 means a higher high (lower low) for the past 3 days, with percentage as the percentage that had a higher high on the fourth day.  That is if there was a string of 3 consecutive higher highs, then 56% of the time there will be another higher high.  If there was a string of 3 lower lows, 50% of the time there will be a lower low.   110 means higher high (lower low) for the past 2 days, but the day prior it was a lower high (higher low). So, generally speaking, if yesterday had a higher high (lower low) then today will more likely have a higher high (lower low).

higher high lower low
111 56% 50%
110 60% 52%
101 62% 50%
100 58% 55%
011 49% 40%
010 43% 41%
001 45% 44%
000 52% 47%
Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s


%d bloggers like this: