The first observation in the chart above, which compares this contract's 10 Day ATR with the Daily True Range, is that the market has calmed down considerably from the March Madness period. The 10 Day ATR has now settled in the 18 point area.
If the Daily True Range during this time period was higher than the previous day, 16 out of 26 times or 62% of the time, the following day's True Range was lower by an average of -12.25 points, ranging from -22 to -1.25 points. 38% of the time the Daily True Range was higher by an average of +6.25 points, ranging from +20.5 to +0.25 points.
If the Daily True Range was higher two days in a row, the following day's range was lower 71% of the time (5 out of 7 times) by an average of -14 points, ranging from -18.5 to -5.5 points. 29% of the time (2 out of 7 times) the following day's range was higher by an average of +3.75 points, ranging from +6 to +1.5 points.
If the Daily True Range was higher three days in a row, the following day's range was lower 100% of the time (2 occurrences) by an average of -8.75 points (-6 and -11.5 points).
If the Daily True Range was lower than the previous day, 73% of the time (16 of 22 times) the following day's range was higher by an average of +10.5 points, ranging from +33 to +0.5 points. 27% of the time, the following day's range was lower by an average of -8 points, ranging from -13.25 to -2.75 points.
If the Daily True Range was lower two days in a row, 67% of the time (4 of 6 times) the following day's range was higher by an average of +6 points, ranging from +13.5 to +1. 33% of the time the following day's range was lower by an average of -9.75 points (-6.5, -13.25).
The Daily True Range being lower three days in a row occurred twice with the odds either way being 50/50.
Once the Daily True Range was lower four days in a row with the following day's range being 1 point larger than the previous day. Both the three and four consecutive days with lower ranges occurred in mid-March.
Charles
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