Some Statistics for ES (new studies)

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ZT   from Investor/RT web site [hope you find these information helpful]

1. How frequently does price break above the IB* high, below the IB* low, to both side, or stay inside the IB* for the duration of the session?
     IB* High Breakout Only = 36.6%, (36.6% of time out of 1,000 days ending 11/23/10, price will breakout of IB high and will not come back to test the low of IB)
     IB* Low Breakout Only = 29.7%, (29.7% of time out of 1,000 days ending 11/23/10, price will breakout of IB low and will not come back to test the high of IB)
     Breakout to Both Sides = 31.6%, (31.6% of time out of 1,000 days ending 11/23/10, price will breakout of both side of IB high and low of IB)
     No Breakout = 2.1% (2.1% of time out of 1,000 days ending 11/23/10, price will be trading inside of IB high and the low of IB)
     (used 1,000 days of data, ending 11/23/10)
    * IB - Initial balance: The price range resulting from market activity (generally) during the first hour. (a Market Profile term)

2. How frequently does the high of the day or low of the day occur within each 30 minute bar/bracket?  within each 5 minute bar?
    - Results are based on 1,000 days of data ending 11/23/10, and only considering the day session HOD and LOD and day session bars on ES.
    - HOD occurs in first 30 minutes of session 24.6% of the time.  LOD 27% of the time.
    - During the 2.5 hour mid-day period beginning 11:30pm ET, the HOD and LOD is rarely created (around 3% of the time for each 30-min period).
    - HOD occurs in the first 5 minutes of the session 11.8% of the time.  LOD 11.6% of the time.
    - The likelihood of a HOD or LOD being created in first 5 mins of session is about the same as that of a 120-min period during middle of session.  It might be interesting moving forward to make the same comparison w/ range and volume.

3, What is the average range and volume of the initial balance, the overnight period, the day session, the 24hr session?  How often does price open above/below previous day session range?  What is the relationship of overnight direction to day session direction and visa versa?
    - These statistics are based on 1,000 day period of ES data ending 11/29/2010
    - Avg Range: Day Session =20.25, 24hr Session=24.25, Overnight=13.75, IB=10.00
    - Avg Volume: Day Session =1.74m, 24hr Session=1.97m, Overnight=236k, IB=404k
    - Median Range: Day Session =16.75, 24hr Session=20.25, Overnight=11.25, IB=8.75  
    - Median Volume: Day Session =1.68m, 24hr Session=1.92m, Overnight=217k, IB=397k
    - Price Open Above Prev Day Sess Range: 247/1340=18.4% of time
    - Price Open Below Prev Day Sess Range: 197/1340=14.7% of time
    - Up/Down Relationship: Over a 1000 day period, the day session direction agreed with overnight session direction 29 more times than it disagreed.  The relationship of day session direction to the following overnight session direction was insignificant (3 more times it disagreed over 1000 days).

[hope you find these information helpful]