DISCLAIMER

Market Analysis Tool

Use this tool to analyze today's market conditions and get historical probabilities based on similar conditions.

General Observations

  • "Normal" range is based on being > 15th percentile (P15) but< 85th percentile (P85)
  • Below points are for the ES unless another instrument mentioned, haven't verified same is true for all instruments yet
  1. Odds of reaching extension levels after breakout do not depend as much on the raw range of the IB, rather where that range falls relative to the "normal" ranges.
    • For example, in ES, an IB range of 50 is >P85 for the 3 year statistics, but currently within the 20d and 60d normal range. If IB were to have that range today, odds of a 50% Extension if we break the IBH are as follows:
      • 27% based on being >P85 of 3yr
      • 30% based on being inside Normal of 60d
      • 31% based on being inside Normal of 20d
    • Filtering out the extreme days (>p95,
  2. Overall trend is that smaller than normal IB range, has higher odds of reaching each extension level. In same regard, larger than normal IB ranges have lower odds of reaching extension levels.
    1. This thought confirms that even on outsized or undersized day, the action is still predictable and not crazy (abnormal ranges for the period don't have abnormal extensions)
  3. The IB range size to RTH range size is surprisingly mathematical. RTH is about double IB Range. This holds true across the 20d, 60d, and 3yr statistics (3yr shown below)
    1. P15
      1. IB = 15.25
      2. RTH = 30.00
    2. Median
      1. IB = 25.25
      2. RTH = 49.25
    3. P85
      1. IB = 44.00
      2. RTH = 84.75
  4. Across all metrics(20,60,3yr), both IB's (IBH AND IBL) have increasing chance of getting broken the smaller the IB range is based on 'normal'
    1. If less than the 3yr P15 (15.25), there is near 50% chance of both IB's getting broken.
    2. If inside 3yr 'normal', (15.25 - 44), 27% of breaking both IBH and IBL. %15 for > P85
    3. If less than the 3yr P15 (15.25), there is a 37% chance of reaching the IBH100% extension and 29% of IBL100%
    4. These all make sense, the smaller the IB range relative to recent size, market is uncertain, balance is likely. Well, the IBH extensions are also more likely to be broken the smaller the IB, so perhaps 'whipsaw likely' I guess might be more accurate to say than balance, but caution to look out for both, perhaps both.

About Market Statistics

These reports provide detailed market statistics for various financial instruments including:

  • Initial Balance (IB) Range Analysis
  • Regular Trading Hours (RTH) Range Analysis
  • Multiple timeframe analysis (20-day, 60-day, 3-year)
  • Statistical distribution visualizations

Data Methodology

All statistics are calculated from a database of filtered data in the form of 1-minute OHLC bars.

  • The application automatically removes all data from market holidays, including the respective overnight sessions.
  • Every Regular Trading Hours (RTH) session is verified to contain the expected 390 bars (6.5 trading hours).
  • Suspect RTH days and their respective overnight sessions are filtered out:
    • Sessions with ≥5% missing RTH bars are automatically rejected.
    • Sessions with <5% but >0% missing bars undergo individual quality review.
    • This quality review process typically flags only one or two sessions over a 5-year period.
    • Sessions with just one or two missing bars in the middle of the range that would not impact statistical calculations are accepted.

Futures and Stock Exchange Chart

Terminology


Goals & Features

Project goal is to add context through historical analysis of key futures markets.


Current Features


Planned Features