Some quick stats for the NQ. More work to be done.

Sample size in days=186
01/05/2015 to 09/22/2015

% / #
How often does the market break higher than yesterday's high? 55.38 / 103
How often does the market close higher than yesterday's high? 30.11 / 56
How often does the market break lower than yesterday's low? 47.31 / 88
How often does the market close lower than yesterday's low? 23.12 / 43
How often does the market stay within yesterday's high or low? 9.68 / 18
How often does the market break both yesterday's high or low? 12.37 / 23
How often does the market break either yesterday's high or low? 90.32 / 168

Average range across all days was 65 points. Didn't set a number as to what qualifies a break (yet) so based on excel a break would be 1tick, but 90% of the time the PDH or L was touched. Yesterday's high or low was never matched the following day with it being the current day's highest high or lowest low. Closing higher or lower was general not after a break, however I will be calculating that as I move forward. I did track the extents of the breaks and some other things but still working. Of course there is more work to be done regarding context and all that jazz. Will continue updating.

eminiman414 

Some quick stats for the NQ. More work to be done. Sample size in days=186 01/05/2015 to 09/22/2015 % / # How often does the market break higher than yesterday's high? 55.38 / 103 How often does the market close higher than yesterday's high? 30.11 / 56 How often does the market break lower than yesterday's low? 47.31 / 88 How often does the market close lower than yesterday's low? 23.12 / 43 How often does the market stay within yesterday's high or low? 9.68 / 18 How often does the market break both yesterday's high or low? 12.37 / 23 How often does the market break either yesterday's high or low? 90.32 / 168 Average range across all days was 65 points. Didn't set a number as to what qualifies a break (yet) so based on excel a break would be 1tick, but 90% of the time the PDH or L was touched. Yesterday's high or low was never matched the following day with it being the current day's highest high or lowest low. Closing higher or lower was general not after a break, however I will be calculating that as I move forward. I did track the extents of the breaks and some other things but still working. Of course there is more work to be done regarding context and all that jazz. Will continue updating.

I haven't found anything further that is statistically significant around these levels.

When the previous day closes in the top 25% of the daily bar's range what is the chance to see a break of the high the next day for various distance in points. Ex. 52% to see price breaks the high by 10 pts, 49% by 15 pts etc.

And vice versa for when the previous day closes in the bottom 25% of the daily bar's range. Make your script flexible so that you can test different values for "The 25% of the daily bar's range".