Thread by @scorpiomanojFRM

#Research
#Stat
#Banknifty From Mar 2010 to Jan 2019
A) Open to Close abs %.
No. of trading days 2160
No. of days open to close > 1% = 750 (35%)
No. of days open to close > 2% = 247 (11.5%)
No. of days open to close > 3% = 58 (2.7%)
No. of days open to close > 4% = 13 (0.60%)
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No. of days open to close > 5% = 4 (0.20%)
No. of days open to close > 6% = 2 (0.09%)
No. of days open to close > 7% = 0 (0%)
% is absolute of + / -, ie can be either up or down.
So essentially at the minimum one should ideally trade only 35% of the times intraday...

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B) CPR width Vs Trend
During 1% move, ie 750 times, 38% times (288 dys) CPR width was < 0.68 times 20 day average; Out of 288 dys, 89% (255 dys), PDR was < 2%.
During 2% move, ie 247 times, 37% times (92 dys) CPR width was < 0.68 times 20 day average.
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Out of 92 dys, 82% (75 dys), PDR was < 2%.
During 3% move, ie 58 times, 43% times (25 dys) CPR
width was < 0.68 times 20 day average. Out of 25 dys, 76% (19 dys), PDR was < 2%.
During 4% move, ie 13 times, 62% times (8 dys) CPR width was < 0.68 times 20 day average.
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Out of 8 dys 75% times(6 dys) PDR was < 2%.
During 5% move, ie 4 times, 50% times (2 dys) CPR width was < 0.68 times 20 day average. Out of 2 dys, 100% times (2 dys), PDR was < 2%.
During 6% move, ie 2 times, 50% times (1 dy) CPR
width was < 0.68 times 20 day average...

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Out of 1 day, 100% times (1 day), PDR was < 2%.
Takeaway - From 2010 to 2019 data, the best combination of CPR width and Previous day Range (PDH - PDL) for Bank Nifty for a possible trend in excess of 1% (Day Open to Day close) :
CPR width - 0.68 times 20 day avg.
PDR < 2%.