The Intra-Day Momentum Method Levels are designed to determine the daily intra-day market direction. The results shown here are presented to demonstrate the model. When applied to over 400 stocks in the S & P 500 from April 2015 through October 2020, we see the following results. The graph below shows the High and Low of the day in relation to The Intra-Day Momentum Levels for this period of time. It demonstrates that the market has a specific price range in which it is most likely to trade.
The IDMM Level extends in both directions from the Open. The MS1 and ML1 have demonstrated to be the High or Low of the day about 1% of the time.
Probabilistically Predicting High/Low of the Day
We can to some degree calculate where the expected High or Low of the day may occur. I will describe how we will probabilistically predict the High or Low of the day using all data collected. In future articles, I will go further into detail on how we will optimize this using patterns and other forms of analysis.
Of all the data collected, 96% would not have needed an ML4 level to capture the High of the day. Of all data collected, 95% would not have needed an MS4 level to capture the Low of the day. Using this information, we can probabilistically predict that with 96% certainty that the High of the day will come below an ML4 Level. We can also predict that 95% of the time, the Low of the day will be above the MS4 Level.
We can also predict that 88% of the time, the High of the day will come below the ML3 Level. The Low of the day will be above the MS3 Level 86% of the time.
We can also determine that 63% of the time the High of the day will be below the ML2 Level. The Low of the day will be above the MS2 Level 61% of the time.
In Cases Where an Intra-Day Reversal was not Present
If a stock does not become an Intra-Day Reversal, historically the High of the day has been below the ML2 Level 57% of the time. If a stock was not an Intra-Day Reversal, the Low of the day was above the MS2 Level 54% of the time.
When a stock did not become an Intra-Day Reversal the High of the day was below the ML3 Level 85% of the time. When a stock did not become an Intra-Day Reversal the Low of the day was above the MS3 Level 82% of the time.
While we did not see a reason to calculate the fourth level. We find that 95% of the time if a stock was not an Intra-Day Reversal, the High of the day was below the ML4 Level. The Low of the day was above the ML4 92% of the time if a stock was not an Intra-Day Reversal.
Our goal is to increase the probabilities of your trading success. We are working diligently to improve these statistics. We are only just beginning, more exciting statistics coming soon!