This study looks at an opening period, in this case 30 minutes (configurable using button at top of chart). If the close of the opening period is above the open (up for 1st 30 minutes) then we count how often it price breaks the high of the period during the remainder of the session and look at the time of day it broke that high. On the other side, we look at days that closed down during that opening 30 minute period and count how often price broke that low during the rest of day and record the time of day it broke that low. In the chart below we are looking at the ES day session (opening period 9:30am to 10:00am ET). Out of 1490 observed days (ending 4/6/17), 712 days (47.8%) opened up with the close of 1st 30 minutes above the open of day and 713 days (47.9%) opened down. A very even distribution of open direction leaving 65 days that opened even (close = open). Of the 712 days that opened up, 647 days price moved above that range during remainder of day (90.9%) and of the 713 days that opened down, 606 days price broke the low during remainder of day (85%). In the bottom pane, the green histogram represents the time (minutes into session) the high was broken on up days (open period was up) and the green histogram represents the time into session that the low was broken on down opening days. In the pane above that, the average times are computed. On the 647 up days that we broke the high, the average time into session that high was broken was 63.5 (33.5 minutes after the open 30 min period completed). Of the 606 days that opened down and broke the low, the average time of low break was 62.7 minutes into session (32.7 minutes after the open 30 minute completed). The chart definition is below. Use the bottom at top of chart to adjust 30 minute period to any number of minutes (60m, 15m, etc).
