The headline number
The prior-day high and low carry forward as reference levels because so much order flow clusters at yesterday's extremes, resting stops, breakout orders, and profit targets. We measured how often the regular session actually reaches back to them across NQ and ES from 2020 to mid-2026.
of 1,669 sessions · both: only 10.1%
of 1,667 sessions · both: only 10.6%
Nine days in ten revisit a prior-day extreme, so the PDH and PDL are near-certain magnets for price. What is rare is the full sweep of both, only about one day in ten trades all the way from one prior-day extreme to the other.
The full breakdown
Price reaches the prior-day high more often than the prior-day low on both instruments, a mild upward drift over the six-year window. The inside-day rate, staying within yesterday's range entirely, mirrors the both-sides rate.
| Outcome (RTH session) | NQ | ES |
|---|---|---|
| Hits either PDH or PDL | 89.5% | 90.8% |
| Hits the prior-day high (PDH) | 55.2% | 56.5% |
| Hits the prior-day low (PDL) | 44.3% | 44.9% |
| Hits both (full sweep) | 10.1% | 10.6% |
| Stays inside prior-day range | 10.5% | 9.2% |
The 10% both-sides rate is the number to internalize. Hitting one prior-day extreme is the norm and carries little information, it happens almost every day. Trading through both the PDH and the PDL in a single session is the rare, high-volatility event: a genuine expansion day. When you see the first extreme swept early, the odds still favor the range holding on the other side.
Intraday Key Levels
Plots the prior-day high, low, and close, plus session pivots and extremes, on one clean layer, so the PDH and PDL this study measures are marked before the open, not drawn by hand.
See the Intraday Key Levels indicator →What it means for your trading
- ·The PDH and PDL are magnets. ~90% of days reach one, so they are reliable targets and reaction levels, not long-shot lines.
- ·A full sweep is a ~10% event. Trading through both extremes signals an expansion day, size and expectations should shift when it happens.
- ·One extreme reached ≠ both. After the first prior-day level is tagged, the base rate still favors the opposite level holding.
- ·PDH edges PDL. Price reaches the high slightly more than the low (55% vs 44%), a mild reflection of the up-drift over the sample.
For how these levels combine with the first-hour range, see the Initial Balance break study, and the Initial Balance strategy for confluence with prior-day levels.
Methodology
- Instruments
- NQ (E-mini Nasdaq-100) and ES (E-mini S&P 500), from continuous MNQ/MES micro-contract prices, the identical price series.
- Sample
- NQ n = 1,669 · ES n = 1,667 RTH sessions
- Period
- 2 Jan 2020 – 30 Jun 2026 (~6.5 years)
- PDH / PDL
- The prior RTH session's high and low
- Hit definition
- RTH high at or above the PDH, or RTH low at or below the PDL, during 09:30–16:00 ET
- Data
- 1-minute bars, US/Eastern; Steady Turtle proprietary session database
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