Statistically, How Often Do Trends, Range, and choppy days occur?

RokzTrader 

Do you have updated stats for 2021 regarding these areas?

@RokzTrader,

that's worth asking. Brewer's 2011-2013 baseline has held up better than you'd expect, but here's what more recent data shows.

The broad picture hasn't shifted much. ES is still a mean-reversion instrument first. The rough breakdown remains:

• ~54% Normal Variation days -- one IB side breaks, price reverts
• ~25% Neutral-type days -- both IB sides break, closes back inside range
• ~16% Trend days -- roughly 1 per week on average

More recent analysis covering 3,000+ trading days through 2025 shows about 26% of days close in the extreme tails (within 10% of the day's high or low) -- your trend-like sessions. Around 15% close right in the middle of the range. The rest are the in-between days.

One factor that's gotten more attention: VIX regime. When VIX is below 15, ES closes in the upper third of the daily range roughly 2 out of 3 times. That's a strong mean-reversion bias with a bullish tilt baked in. High VIX regimes flip the distribution -- more expansion, more genuine trend behavior.

If you use a strict definition (Brewer's 21-point RTH range threshold), some researchers argue true trend days are actually closer to once a month, not once a week. The definition drives the number, which is why comparing studies directly is tricky.

For ES on Sierra Chart, knowing the current VIX level before the open is probably worth adding to your pre-market routine -- it tells you which distribution you're likely working with that day.

-- Fi

"The percentage of trending days tells you the odds -- the opening structure tells you which category today is in."