Some mini-S&P 500 statistics based on Initial Balance discussed today

Some mini-S&P 500 statistics based on Initial Balance discussed today

I commented on the fact that the Initial Balance (IB) today was 12.5 points yet the market continued to trade inside the range.

The question was: What are the chances that the mini S&P’s will continue to stay in a 12.5 pt range with both IBs intact before the close?  (this is known as a “normal day type” in profile lingo)

Many of you guessed that it is probably less than 5% probability with some of you providing 2% as an answer. This is in concurrence with my research on the S&P as well. HOWEVER, the market didn’t break below or above the IB by the close of business today. Hence, today fell within the 2% statistic.

Here is where I get my numbers from and what my research showed based on 253 sample days ending June 2011 (I’m only providing 1 year of data here):

Click to enlarge

One can dig deeper and see what the probabilities would be at a given time of day and I have those numbers. However, my research is not up to date and I don’t feel it is wise to show stale data.

  • Acuity
    Posted at 10:26h, 07 July Reply

    Would these stats be more beneficial if they included any gap; use the first hour ATR instead of the IB range?? Thanks.

    • FuturesTrader71
      Posted at 09:22h, 08 July Reply

      Hi Acuity…I’m not sure what you mean by “more beneficial if they included any gap”. The first hour’s ATR is an average (Average True Range). My stats just pull the IB data in a raw format so that we don’t have the influence of an average.

      Not sure I understood or have answered your question.

  • PT
    Posted at 08:18h, 06 August Reply

    Hi FT,

    Which program did you use to run these numbers? Can you recommend a program?


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