I've been doing some quick studies to help myself with determining some probable outcomes for the market day to day. This is the results I've come across when studying the ZB!
Overnight Data
ON High/Low traded during
RTH =
95%
ON High&Low traded during RTH =
24%
ON High/Low traded during IB =
66%
ON High&Low traded during IB =
3%
Opening Range
OR High/Low equals IB H/L =
78%
OR High&Low equals IB High&Low =
6%
OR High/Low equals RTH H/L =
51%
*all within 3 ticks excess of H/L*
Initial Balance
IB High/Low equals RTH High or Low =
79%
IB High&Low equals RTH High&Low =
6%
RTH Close INSIDE IB =
28%
RTH Close WITHIN IB +/- 100% =
43%
RTH Close OUTSIDE IB +/- 100% =
30%
RTH High/Low BEYOND IB +/- 50% =
82%
RTH High/Low BEYOND BOTH IB +/- 50% H/L =
12%
RTH High/Low BEYOND IB +/- 100% =
57%
RTH High/Low BEYOND BOTH IB +/- 100% H/L =
3%
RTH High/Low BEYOND IB150% =
33%
RTH High/Low BEYOND BOTH IB +/- 150% H/L =
1%
RTH High/Low BEYOND IB +/- 200% =
22%
RTH High/Low BEYOND BOTH IB +/- 200% H/L =
0%
Value Area (based on previous days')
RTH Open OUTSIDE VA + Close OUTSIDE VA =
82%
RTH Open INSIDE VA + Close INSIDE VA =
30%
RTH Close OUTSIDE VA =
78%
RTH Open ABOVE VA / Close ABOVE VA =
72%
RTH Open ABOVE VA / Close BELOW VA =
12%
RTH Open BELOW VA / Close BELOW VA =
66%
RTH Open BELOW VA / Close ABOVE VA =
20%
Some things I derive from this are:
1) Its very likely the ON H/L gets taken out during the day, and still a 66% chance that happens during the first hour with a smaller chance that both the ON H/L gets traded.
2) A likely chance that the OR is the H/L of the first hours trading.
3) Either the IB High or Low is likely to be the High or
Low of the day (RTH).
4) There is a 57% chance prices move beyond the IB +100% levels but only a 30% chance of prices closing there.
5) Prices overall are more likely to close outside the IB as well as the
Value Area.
