Emini S&P Day Close to Range Distribution
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.
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.