Historical Price Return Distribution Report

What is the Historical Price Return Distribution Page?

Evaluate the frequency of historical closing price changes to better understand potential future price movement.

Investors examine historical price movements to identify potential patterns (clustering of returns, extreme movements, percentages of positive or negative returns, etc.) for additional insight in making trading decisions. Options traders analyze these trends to aid in determining the most profitable and/or lower risk forward looking strike prices and times to expiration for puts, calls, spreads and straddles.

To use, select a stock symbol, time segment for time interval (number of rolling days, weeks, months), and number of years of historical data to include in calculations. Click "Get Results" to view charts and tables. Use "Quick Check" to determine number of price change occurrences above and below a specific percent change (i.e. 3.2%).

Distribution Parameters

Symbol

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Time Period Select the timeframe between return periods Rolling Days: The number of trailing rolling days that the returns are calculated. For example 1 day is daily, 2 days is rolling 2 days. Weekly: Calculates weekly returns by the last business day of the week to the next last business day of the week. For example, Friday to Friday or, if friday is a holiday, Thurday to the following Friday. Monthly: Calculates the returns on the first business day to the last business day of the month. Intervals: Takes the years selected and splits them up into intervals consisting of the # of days entered. So if you choose 1 year and 5 day intervals, it will break up the last year's worth of stock moves into 5-day segments (with no overlap) and calculate the average results. Intervals Around Catalysts: Similar to intervals, except the time periods are establish around a specific date, such as a market economic event, an earnings date, or a dividend date. You can select periods like 1 Day Before to 2 Days After, or 1 Day After to 5 Days After. Seasonality: finds the returns from the selected start day to the selected end day each year Short-Term Intraday: uses price changes that are either intraday (from some point in the day to the close of the day) or to the next day (from some point in the day to the close of the following business day). Uses 1-Minute VWAP values to determine price changes.

Period Days

Short-Term

Intraday Start Time

End Time

Max # Observations

Years of
Historical Prices Enter the number of years of historical prices to use in the distribution calculation. A minimum of one year must be entered.

Include Earnings Whether we include historical periods that have earnings dates in them. Include Earnings Periods will include all periods, earnings or not. Exclude Earnings Periods only selects those historical periods that don't have an earnings date in them. Only Earnings Periods only selects those historical periods that do have an earnings date in them.

Comparison
Symbol

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Note: Intervals Around Earnings has been merged into the more-flexible analysis type Intervals Around Catalysts

Quick Check

Enter Return Enter a percentage return to view results for the number of positive and negative historical occurrences that the stock moved more than percent entered.

Note: the stock prices and returns used in this analysis have been adjusted for splits and dividends.

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Historical Price Return Distribution Report

What is the Historical Price Return Distribution Page?