SPX Open-Band Path

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How this works · definitions

Open band cohort. Days whose 09:30 RTH open price, expressed as ATR offset from previous close, falls in [lower, upper) on the public Saty ATR ladder. Lower bound inclusive, upper bound exclusive.

First boundary touch. First 3-minute RTH bar (09:30 onward) whose range contains the band's upper rung price or lower rung price. The 09:30 open price itself does not count as a touch unless that bar's range actually crosses/contains the rung beyond the open.

Continuation. Touch is on the rung farther from previous close (away from PDC). Retracement. Touch is on the rung closer to PDC. For PDC-straddle bands (none on the public ladder by construction) the dashboard shows upper/lower rather than cont/retr.

Ambiguous same 3-min bar. The same 3-min bar's high reaches the upper rung AND its low reaches the lower rung. Direction can't be ordered; path terminates.

No first boundary touch. Neither rung was touched by the 15:57 bar's close. Path terminates.

Cumulative curves. At each 3-min bucket, numerator = days whose first-boundary outcome of that type has happened by then, denominator = the original cohort day count for the current step. Ambiguous and none stay visible as denominator leakage.

Path conditioning. Pick which event happened next; the cohort filters to days whose recorded path matches that prefix. Each day is counted exactly once at each step.

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