Emini S&P Day Close to Range Distribution

By Lawrence

To answer a question from our member, here is the distribution plot of Emini S&P close of the day relative to the range of the day.

image

By representing the price as a percentage of the RTH range, centered at the midpoint, we get a distribution graph range from -50 (low of the day) to +50 (high of the day).

As you can see from the screenshot, a total of 5300+ days are included in this study. Per each 1 percent slot, if the data is uniformly distributed, we would expect that there are about 53 to 54 hits.

The reality, however, is not quite like that. There is a heavy bias for a trading day to close at the highest 15% zone of a trading day (the right side bars on the chart). There is also a slight bias where a trading day would close at the lowest 10% zone of a trading day.

Outside of that 2 extremes, closing prices land quite evenly in the rest of the range within a trading day.

Comments
  • smilingsynic April 7, 2011 at 9:31 pm

    Thanks for the answer.

    For some reason I am not able to get on the site when I am at the office, and I was there all day.

  • ammo July 31, 2011 at 2:40 pm

    LC,i dont have any stats but from observing,on non trend days the es returns to the poc on a 30 minute 1 day market profile chart in the last 30 minutes of trading 2 45 -3 15,, better than 50 % of the time

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