Previous Day High and Low Trading Strategy: What the Data Actually Shows

How often does price break previous day high? If you’ve searched for this, you’ve probably found Reddit threads full of opinions, forum debates, and guides that talk theory without showing a single number. We decided to fix that.

We analyzed 1,691 trading days of NQ futures (E-mini Nasdaq 100) data — every Regular Trading Hours session from January 2015 to December 2025 — and measured exactly how often price breaks the previous day’s high, the previous day’s low, both, or neither. Then we broke it down by day of week, gap direction, overnight activity, and more.

Here’s what the data actually shows.

What Is PDH/PDL and Why Does It Matter?

PDH (Previous Day High) and PDL (Previous Day Low) refer to the high and low of the previous Regular Trading Hours session. These levels represent where yesterday’s price action was definitively rejected in each direction — the ceiling and the floor of the prior day’s range. Any PDH PDL trading strategy starts with understanding how often these levels actually break — and under what conditions.

Traders watch these levels because when today’s price breaks above PDH or below PDL, it represents expansion beyond the prior range. The question is: how often does that actually happen, and what affects the probability? That’s what this analysis answers.

Why RTH session matters. Most PDH/PDL analysis you’ll find online uses 24-hour daily bars. That mixes overnight futures activity with the regular session, creating misleading levels. Our analysis uses strict RTH data (9:30 AM – 4:00 PM ET), which represents the session where the majority of volume and institutional participation occurs. This gives cleaner, more meaningful levels.

How it differs from Opening Range Breakout. While the opening range breakout approach focuses on the first 5–30 minutes of today’s session, the PDH/PDL framework uses the entire previous session’s range. This gives wider reference levels with different probability and extension characteristics — which we quantify below.

How We Measured It

Here’s exactly what we’re measuring and how.

What Counts as a Breakout

A previous day high breakout occurs when today’s RTH price trades above yesterday’s RTH high at any point during the session (after the 9:30 opening bar). A previous day low breakout occurs when today’s RTH price trades below yesterday’s RTH low. We exclude the opening bar to filter out gap opens that would artificially inflate breakout counts.

We only include days where the RTH open is inside the previous day’s range. If the market gaps entirely above yesterday’s high, the “breakout” already happened on the open — that’s not an intraday breakout. By filtering to opens within the prior range, we’re measuring genuine intraday expansion probability.

The Conditions We Track

Our analysis tracks six factors that affect breakout probability:

Day of week. Monday through Friday — markets behave differently due to institutional flows, economic releases, and options expiration cycles.

Open vs. previous midpoint. Does today’s RTH open above or below the midpoint of yesterday’s range?

Gap direction. Is today’s open higher or lower than yesterday’s close?

Overnight session activity. Did the overnight (Globex) session already touch or break the previous day’s high or low before RTH opens?

Open vs. previous POC. Where does today open relative to yesterday’s Point of Control — the price level with the most volume, derived from the daily TPO (Time Price Opportunity) profile?

Open vs. previous Value Area. Is today’s open above, inside, or below yesterday’s Value Area — the range where 70% of yesterday’s volume traded?

Dataset

Instrument	NQ (E-mini Nasdaq 100 futures)
Period	January 5, 2015 – December 30, 2025
Qualifying days	1,691
Session	RTH only (9:30 AM – 4:00 PM ET)
Filter	Only days where RTH open is inside previous day’s range

Previous Day High Low Breakout Probability: The Data

This is the core of this article — the numbers that nobody else publishes.

Overall Breakout Statistics

From 1,691 qualifying NQ futures trading days:

Outcome	Count	Percentage
Any breakout (high, low, or both)	1,366	80.8%
Only high broken	657	38.9%
Only low broken	558	33.0%
Both levels broken	151	8.9%
Neither level broken (inside day)	325	19.2%

The key number: on 80.8% of days, price breaks at least one of the previous day’s levels. That’s the baseline success rate for PDH/PDL breakouts — and it goes higher when you filter by specific conditions. The previous day’s range contains the entire session only about 19% of the time. Four out of five days, at least one level gives way.

The high is broken slightly more often than the low (47.8% of all days vs 41.9%). This reflects the long-term bullish bias of equity index futures across this 11-year sample.

Which Level Breaks First — High or Low?

Among the 1,366 days that had at least one breakout:

First Level Broken	Count	% of Breakout Days	% of All Days
High first	746	54.6%	44.1%
Low first	620	45.4%	36.7%

The 54.6/45.4 split toward high-first is consistent with an upward-trending market over this period — not dramatic, but persistent across 11 years of data.

Breakout Probability by Day of Week

Not all days are created equal:

Day	Sample Size	Any Breakout	High First	Low First
Monday	326	75.8%	60.3%	39.7%
Tuesday	340	80.6%	53.6%	46.4%
Wednesday	366	85.5%	54.0%	46.0%
Thursday	331	81.0%	53.7%	46.3%
Friday	328	80.5%	51.9%	48.1%

Wednesday has the highest breakout rate at 85.5% — nearly 5 percentage points above the 80.8% baseline. Inside days are least common mid-week.

Monday has the lowest at 75.8%, about 5 points below baseline. After a weekend the market often consolidates as participants reassess positioning. Monday also shows the strongest high-first lean (60.3%) — when Monday breakouts do occur, they skew upside.

Friday is the most balanced directionally — a near 52/48 split between high-first and low-first, consistent with position-squaring ahead of the weekend.

Impact of Gap Direction

Does it matter whether the market opens higher or lower than yesterday’s close?

Gap Direction	Sample Size	Any Breakout	High First	Low First
Gap Up	887	78.9%	66.3%	33.7%
Gap Down	780	82.8%	41.6%	58.4%

Two findings. First, gap down days produce slightly more breakouts overall (82.8% vs 78.9%). Second, gap direction correlates strongly with which level breaks first. On gap up days, the high breaks first 66% of the time. On gap down days, the low breaks first 58% of the time. The market tends to continue in the direction of the gap.

Open Position Relative to Previous Midpoint

Where the market opens within yesterday’s range:

Open Position	Sample Size	Any Breakout	High First	Low First
Above midpoint	955	80.3%	79.3%	20.7%
Below midpoint	732	81.4%	23.0%	77.0%

The overall breakout rates are nearly identical (~80–81%), but the directional skew is massive. When the market opens above the previous midpoint, the high breaks first 79% of the time. Below midpoint — the low breaks first 77% of the time. The midpoint acts as a dividing line: whichever side the market opens on, that’s the side it’s more likely to break toward.

Open Relative to Previous Value Area

The Value Area adds another dimension:

Open Position	Sample Size	Any Breakout	High First	Low First
Above Value Area	453	83.2%	84.4%	15.6%
Inside Value Area	886	77.1%	55.1%	44.9%
Below Value Area	352	86.9%	17.0%	83.0%

Opening outside the Value Area increases breakout probability and creates extreme directional skew. Above the VA: 83.2% breakout rate, 84.4% high-first. Below the VA: 86.9% breakout rate, 83.0% low-first.

Opening inside the VA produces the lowest breakout rate (77.1%) with the most balanced direction — this is when the market is most likely to stay range-bound.

Overnight Session Impact

What happens when the overnight session already touches one of yesterday’s levels before RTH opens?

Overnight Activity	Sample Size	Any Breakout	vs. Baseline
No levels touched	734	71.0%	−9.8 pts
Hit previous high	505	88.7%	+7.9 pts
Hit previous low	404	86.6%	+5.9 pts
Both levels hit	48	97.9%	+17.1 pts

This is the single most impactful factor in the dataset. When the overnight session touches neither level, the breakout rate drops to 71%. When it has already tested a level, RTH is far more likely to follow through — 88.7% when the overnight hit the high, 86.6% for the low.

When overnight hits both levels (rare — only 48 cases), a breakout during RTH is almost guaranteed at 97.9%.

Overnight tests don’t exhaust breakouts — they tend to confirm them. If the overnight session pushed toward a level, the RTH session typically follows through.

How Far Does Price Extend After a Breakout?

Knowing that a breakout occurs is one thing — knowing how far price typically travels beyond the level is another. We measure extension as a percentage of the previous day’s range.

Extension After High Breaks First (746 days)

Time After Breakout	25th Pctl	Median	75th Pctl	90th Pctl
5 minutes	3.4%	6.8%	12.7%	20.1%
15 minutes	5.1%	9.8%	18.9%	33.0%
30 minutes	6.6%	13.0%	25.3%	42.2%
1 hour	8.7%	16.9%	32.1%	52.5%
End of day	15.4%	31.1%	60.8%	93.9%

Extension After Low Breaks First (620 days)

Time After Breakout	25th Pctl	Median	75th Pctl	90th Pctl
5 minutes	5.0%	10.4%	18.6%	28.6%
15 minutes	7.8%	15.7%	27.1%	42.7%
30 minutes	10.1%	20.1%	35.3%	58.3%
1 hour	12.9%	24.1%	46.5%	76.6%
End of day	20.1%	39.8%	80.8%	134.2%

Low breakouts extend further than high breakouts across every time window. The median end-of-day extension is 39.8% of the previous range for low breakouts vs 31.1% for high breakouts. At the 90th percentile, low breakouts extend 134% of the previous range — more than yesterday’s entire range replayed to the downside. This asymmetry reflects a well-known property of equity markets: downside moves tend to be faster and more volatile than upside moves.

In concrete terms. If yesterday’s NQ range was 200 points and the high just broke, the median extension by end of day is about 62 points beyond the level (31.1% × 200). For a low breakout, the median is about 80 points (39.8% × 200). The 90th percentile high extension: ~188 points. Low extension: ~268 points.

High-Probability Multi-Condition Setups

Combining conditions reveals setups that significantly beat the baseline 80.8% breakout rate. Our analysis engine tests thousands of factor combinations and surfaces those with the highest breakout probability and sufficient sample size.

Best 2-Condition Setups

Gap Down + Overnight Hit Low → 94.7% breakout rate When the market gaps down AND the overnight session already touched the previous day’s low, 94.7% of the time a breakout occurs during RTH — 14 percentage points above baseline, across 189 occurrences. 88.8% of these are low-first.

Overnight Hit High + Open Above Value Area → 93.2% Overnight tests the previous high, today opens above yesterday’s Value Area. 93.2% breakout rate, 85.8% high-first. Sample: 250 days.

Gap Up + Overnight Hit High → 91.5% Gap up plus overnight high test. 91.5% breakout rate, 87.3% high-first. Sample: 258 days.

Best 3-Condition Setups

Below Midpoint + Gap Down + Overnight Hit Low → 94.6% Adding “open below midpoint” to the gap down + overnight hit low combination: 94.6% breakout rate, 89.1% low-first. Sample: 185 days.

Above Midpoint + Overnight Hit High + Above Value Area → 93.2% The upside equivalent: 93.2% breakout rate, 85.8% high-first. Sample: 250 days.

The Pattern

Every top-performing setup includes overnight confirmation — the overnight session having already tested the level in the direction of the eventual breakout. Combine that with gap direction and opening position, and breakout probability reaches 93–95% with strong directional skew.

When Breakouts Are Least Likely

On 19.2% of days — roughly one in five — price stays contained within the previous day’s range. These inside days cluster around specific conditions:

The overnight session hasn’t touched either level — 29.0% inside day rate vs 19.2% baseline. This is the single biggest predictor of range containment.

It’s a Monday — 24.2% inside day rate, consistent with post-weekend consolidation.

The open is inside the Value Area — 22.9% inside day rate, reflecting balanced conditions.

When multiple of these align, the probability of the market staying inside the previous range increases substantially.

Explore This Data Yourself

All the statistics in this article come from our Previous RTH Range Breakouts analysis tool. It runs these calculations for NQ, ES, YM, and other futures instruments with filters for every factor discussed above — day of week, gap direction, overnight activity, Value Area position, and more.

You can filter by custom date ranges, combine conditions, and explore how probabilities shift for specific contexts. Think of it as a PDH/PDL scanner that shows you the historical odds before the session opens.

Methodology

Parameter	Value
Instrument	NQ (E-mini Nasdaq 100 futures)
Data period	Jan 5, 2015 – Dec 30, 2025 (1,691 qualifying days)
Session	RTH 9:30 AM – 4:00 PM Eastern Time
Overnight session	6:00 PM – 9:30 AM ET
Breakout definition	Any RTH bar (excl. opening bar) trading above prev RTH high or below prev RTH low
Filter	Only days where RTH open is inside previous day’s RTH range
Gap classification	Gap up/down = open ± more than one tick (0.25 pts) from prev close
Gap size thresholds	Tiny: <0.09%, Small: 0.09–0.21%, Medium: 0.21–0.45%, Large: >0.45%
Extension	Max favorable excursion at 5min, 15min, 30min, 1hr, EOD after breakout bar (% of prev range)
Min sample sizes	2-condition: ≥101 days, 3-condition: ≥67, 4-condition: ≥50
TPO data	POC and Value Area from daily TPO profiles