Breaking Yesterday's Range: How the Session Closes Across 30 Futures and 112,250 Breaks

The level everyone draws, counted across thirty contracts

Yesterday's high and low are probably the two most-drawn levels in the world. Almost nobody publishes them with the figure that would make them checkable: when price takes one out, how does the session end?

Here is that count across the thirty futures contracts we have measured, from seven families: five index futures, five metals, two energies, three grains, eight currencies, five rates contracts and two cryptocurrencies. 112,250 breaks.

The result for the set: when the session takes out yesterday's high, it closes green 69.8% of the time. When it loses the low, it closes red 70.8%.

Seven out of ten, in both directions and across thirty different markets. It is by a distance the highest and steadiest number we have published, and it is worth saying up front exactly what it means and what it does not, because it is easy to read it as something it is not.

What this number measures, and why it is not a signal

A break means that at some point in the session price took out the prior day's high, or lost its low. It does not matter when inside the day, nor by how much: one tick counts the same as 2%.

The percentage is the colour of the close, that is, the close against that same day's open. It does not measure whether the close ended beyond the broken level, which is a different and much harder question.

Here is the nuance that changes everything: breaking yesterday's high and closing green are not independent events. A session that rises from the open is both more likely to take out the previous high and more likely to close green. The 69.8% describes a relationship that is largely mechanical, not a prediction.

Put differently: this table does not say "if it breaks the high, buy". It says sessions that break the high are mostly bullish sessions, which is close to a tautology. Its value is in how constant the number is across markets, and in the one place where it breaks down.

A day that breaks both sides counts in both columns, so they do not add up to 100.

Seven families inside three and a half points

Metals 71.6% on the upside and 72.5% on the downside; index futures 70.2 and 68.8; currencies 70.0 and 70.9; rates 68.9 and 70.4; grains 68.4 and 71.3; energy 68.1 and 70.5; crypto 66.9 and 72.5.

Three and a half points separate the highest family from the lowest in the high-break column, and under four in the low-break one. With samples running from 3,419 breaks in crypto to 32,445 in currencies.

That uniformity is the finding, not the 70%. A number that repeats identically in palladium, in wheat and in the two-year note does not describe how a market behaves: it describes how the measurement is built.

And there is a small but consistent asymmetry: in 19 of the 30 contracts, breaking the low and closing red happens more often than breaking the high and closing green. One point of difference across the set.

The contract that stands out, and what it teaches

Three-month SOFR posts 53.9% in the high-break column and 69.7% in the low one. Fifteen and a half points of asymmetry, when no other contract exceeds seven.

It is the only value in the whole table anywhere near 50%, and it is exactly where it should appear if the rest of the study says what we think it says. SOFR is a short-term rates contract that moves in tiny steps: its sessions routinely exceed yesterday's high by a tick and end flat or red, because the daily range is minute next to the noise.

Behind it come bitcoin, at 66.1% against 72.8%, and wheat, at 67.9% against 74.3%. All three with the same shape: the downside more reliable than the upside.

At the other end sits palladium, 74.3% and 74.8%, the highest contract in the table on both columns and also one of the least liquid.

What this study does not say

It does not say the break is tradable. The colour of the close is known at the close; between the break and that hour there is a whole session of travel this measurement cannot see.

It does not say how much. A session that closes a tick above its open counts the same as one that closes 3% up, and the difference between those two is the entire trade.

It does not measure whether the close ended beyond the broken level, which is the question that actually matters to anyone trading breakouts. That measurement exists for the Initial Balance and gives much lower numbers, between 47% and 57%.

And it does not separate breaks by size or by time of day. A break in the first five minutes and one at 15:55 count the same.

So what is it good for

As a benchmark against which to judge any claim about previous-range breaks. If someone shows a system with a 70% hit rate defined this way, they have found nothing: that is the background number across thirty markets.

Also for knowing where the effect is not. If the number were real market behaviour, the families would separate. They do not.

And as a contrast with the demanding version. Ask instead whether the session closed beyond the broken level, rather than merely green, and the percentages fall from 70% to the 50s. The gap between those two questions is the gap between a statistic that sounds good and one you can use.

Frequently asked questions

If price breaks yesterday's high, does the session close green?

69.8% of the time across the 30 contracts measured, over 112,250 breaks. But breaking the high and closing green are not independent: a bullish session tends to do both, so the number largely describes a mechanical relationship rather than a prediction.

Does it work better on the upside or the downside?

The downside, slightly and consistently: 70.8% against 69.8% for the set, and the downside is the more reliable one in 19 of the 30 contracts. The large asymmetries are SOFR (53.9 against 69.7), bitcoin (66.1 against 72.8) and wheat (67.9 against 74.3).

Are there markets where this does not hold?

One: three-month SOFR, at 53.9% on the high break. It is a short-term rates contract with a minute daily range, where taking out yesterday's high by a tick says nothing about how the session ends. The other twenty-nine fit between 66.1% and 74.3%.

Can I trade this 70%?

Not as it stands. The colour of the close is known at the close, the table does not measure how far price travelled, and a one-tick break counts the same as a 2% one. It is a background benchmark, not an entry rule.

Why do the two columns not add up to 100?

Because they are two independent measurements over different populations: the days that broke the high and the days that broke the low. A day that breaks both appears in each.

These numbers, instrument by instrument

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• nq
• rty
• ym
• nkd
• cl
• gc
• 6e