Price pattern studies
by Toby Crabel
Do prices tend to move consistently in one direction from open to close, given the previous day's price
pattern, and do these patterns of intraday bias lend themselves to profitable trading systems?
To answer these questions, I have tested all possible two-, three-, four- and five-day open-to-close
patterns for the T-bond futures market from 1978 to 1987. My intention is to provide objective statistical
data that can be used as a reference in trading.
The price patterns in Figure 1 are referred to as
"systems" because the custom software I used is
system-oriented. The "+" sign in the "Pattern" column indicates an up close relative to the previous day's
close; the "-" sign represents a down close. The exception is the last "+" or "-" sign in the sequence which
represents the opening of that day and the point of entry for the trade.