Wide / Narrow Ranging day analysis

Discussion in 'Technical Analysis' started by blueberrycake, Mar 26, 2003.

  1. I just ran some tests that show some really strange results.

    On the S&P futures, if today's close is below the 50 day MA. You are almost 50% more likely than usual to get a wide ranging day and 20% less likely to get a narrow ranging day. More or less the opposite when above the 50 day MA. A variety of different MA lengths will generally do just as well.

    The results are almost the exact opposite in gold. In T-Bonds and Crude Oil this phenomenon doesnt exist.

    I tested this over a span of 15 years, and the results are quite stable over the entire test period.

    Any ideas as to why this may be?

    PS I define a wide ranging day as a day with a range that's greater that 2/3 of the preceeding 60 days. A narrow ranging day is one where the range is less than 1/3 of the preceeding 60 days.

    -blueberrycake