Research
Testing common trading claims with data · 11 posts
Two Bull Hours at the Open: The Day Closes Up 84.5% of the Time, but Buying Then Pays Off Only 56%
When the first two 60-minute ES RTH bars both close up, the day closes up 84.5% of the time. But if you buy at the close of the second bar, you're still ahead at the close only 56.3% of the time. The more useful number: by then, the low of the day is already in 77.5% of the time.
84.5%day closes up after two bull 60-minute barsDay-of-Week Effect: Mondays Have the Smallest Range, Thursdays the Largest, and Fridays Close Up Most Often
Using 3,924 ES trading days from 2010 to 2026, I compared the up-day share, the daily change and the intraday range by weekday. Direction barely differs; only Friday's 58.1% RTH up-day share stands out, and it holds in both halves of the data. The range differences are more stable: Monday's median of 0.83% is the smallest and Thursday's 0.96% the largest.
58.1%Fridays closing up in RTHGap Fill: Last Week's Close Gets Touched Again 79.2% of the Time
Using cleaned ES data from 2010 to 2026: when there's a gap between this week's open and last week's close, 79.2% of weeks trade back to last week's close that same week, more than half on the first day, and smaller gaps fill more often. Daily version: yesterday's close gets touched again today 61.6% of the time.
79.2%weekly gaps filled the same weekThe 20 EMA: Only One Day in 16 Years Never Touched It
On the 5-minute ES RTH chart, only one of 3,857 trading days, 2024-01-08, never touched the 20 EMA, the same day Al Brooks pointed out in his live room. But only 17% of days touch it on the first bar, 40% still haven't touched it by 10:30, and a streak away from the EMA usually lasts just 3 bars.
99.97%RTH days that touch the 20 EMAWhat Happens After a Few Up Days in a Row? On the ES Daily Chart, It's Basically a Coin Flip
Using ES data from 2010 to 2026, I measured the odds the next bar closes up after N bull (bear) bars in a row. After up streaks, the next day closes up about as often as usual (54.6% vs 55.0%). After down streaks it bounces slightly more often (57.4%), but the gap is small and 16 years of data aren't enough to say it's real.
57.4%up the day after 2+ down daysOpening on the High or Low: Price Comes Back to the Open 76% of the Time
The first 5-minute ES RTH bar opens on its high or low (no tail on the opening side) on only 3.6% of days. On those days, 76.2% trade back to the open the same day, half of them before 10:00. The whole daily bar opened on its high or low on only 35 days in 16 years.
76.2%back to the open that day (5-minute first bar)How Many of Yesterday's Ranges Does Today Travel? A Full 1× Only 22.8% of the Time, Half a Range 48.4%
Using yesterday's RTH range as a ruler, measured up from yesterday's high and down from yesterday's low: ES travels at least 1× on one side only 22.8% of the time, and 0.5× 48.4% of the time. The farther out you go, the more the downside wins; on days that open below yesterday's low, 48.9% travel a full 1× down.
22.8%travel at least 1× yesterday's range on one sideBreaking the Prior Day's High or Low: 89.6% of Days Break at Least One Side
A backtest on 3,816 clean ES trading days from 2010 to 2026: does today's RTH break yesterday's RTH high or low? 89.6% of days break at least one side, almost exactly Al Brooks' "90% rule".
89.6%break at least one side of the prior day