Emini SP500 Statistics

• 85% of 1st 30 min range is between 3 and 7 points, most common is 5 (25%)
• if 1st 30mins are positive (89% of cl - op <= 5pts up)
• 50% of the time continuation of >=6 points to HOD (8 pts and 4 pts most common, each 11%) from the 30m close to max (0-3pts @31%, 4 -7 pts @33%)
• 50% of the pullbacks are >=5 pts (-2 pts (13%), -3pts, -5pts most common) from the 30m close to LOD 
• 82% pullbacks are <= 10 pts (35% are 0 - 2pts)
• if 1st 30min are negative( 85% of the time op - cl <= 5pts down)
• 48% of the time you get more than 6 points down to LOD (0 to -3 @28%, -4 to -7 @30%, -8 to -14, 30%)
• 54% the pullbacks extend < +5 pts, 0 - 3 @35% , 4 - 6 @31% (+1, +4,+6 most common @11%)  to HOD
• 1st 15m Close outside PHOD or PLOD (34%)
• 1st close above PHOD (21%)
• 40% lead to at least MM (8.5pt median move [2 - 20.5])
• 1st close below PLOD (13%)
• 52% lead to at least MM lower(9.5pt median move [.75 - 32])
• 1st 30m Close outside PHOD or PLOD (34%)
• 1st close above PHOD (24%)
• 24% lead to at least MM (9pt median move [3.5 - 20])
• 1st close below PLOD (11%)
• 41% lead to at least MM lower(7.75pt median move [1.75 - 28.25])
• 1st 60m Close outside PHOD or PLOD (35%)
• 1st close above PHOD (24%)
• 21% lead to at least MM(2.5pt avg) (9.75pt median move [1.75 - 14.75])
• 1st close below PLOD (11%)
• 26% lead to at least MM(2.5pt) lower(10pt median move [2.75 - 28.25])
• PHOD or PLOD broken (90%), 9% chance PHOD and PLOD will both be broken
• if PHOD broken(61%), 38% chance 15m close will be tested, 42% open tested
• if PLOD broken(39%), 26% chance 15m close will be tested, 31% open tested
• Pclose will be tested after 15m close
• after PHOD broken (26%)
• after PLOD broken (18%)
• Gaps
• Pclose is tested, after Xpt gap
• 0pt gap 63% ,>= 1pt gap 57% , >= 2pt gap 49% , >= 4pt gap 40%, >= 6pt 30%, >= 8pt 15%
• Open outside PHOD, 
• 36% test Pclose
• >= 7.75 pts not tested
• if <= 7.75 pts 52% tested Pclose
• Most common gap 6.5 (13%) [2 - 8 pts  1std range]
• 61% Test PHOD
• 35% test on 1st 15m bar (78% test occur on 1st 15m if Op-PHOD < 3)
• 25% test after 1st 15m bar (2 - 8pts 63% test)
• 78% Op-PHOD <=5pts were tested, 2 - 5 pts 80%, 
• 10% Op - PHOD >= 8 pts were tested
• Open below PLOD, 
• 38% test Pclose
• >= 10 pts not tested
• < 10 pts, 63% tested
• Most common gap 6.5 and 16 [4 - 9 1std range]
• 82% PLOD Tested
• <= 5 pts 88% tested (66% tested otherwise)
• <- 3 pts 71% tested 1st 15m
• Gap
• 5pts Down and end lower 45% [-3 to 15 range, most common +8 higher than open]
• 5pts Up and end up higher 62% [-3 to 12 range, +3 most common]
• Al Brooks
• 2HM take it on limit order if between 18 and 28 bars from last EMA touch (60% win, .28pt/trade, 125 trades)
• 2pt proft / 2 pt stop
• After 2HM test 4bars+ only slightly positive expectation(.18pt)
• EMA Test (of EMA on current bar)
• If more than 5 gap bars from last test
• place trade in opposite direction of test bar (ie: go long if EMA broken from below) at the low of the bar, looking for a test of the high of the bar.  (65% win, .61 pt/trade, 174 trades)
• Cancel trade if not filled on the next bar
• If more than 20 gap bars, and then EMATest break, w/ 2+ gap bars on other side, go in direction of 20 gap bars (65% win, .6pt /trade, 57 trades).  Especially if bars have small tails through the day.
• High2/Low2 appear to have no edge
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