How it works: Evaluates entering an SPX position on any trading day of the year (Mon, Tue, Wed, Thu, or Fri) at that day's Open, and holding through to the Close N trading days forward (where N ∈ {1, 2, 3, 4, 5, 10, 15, 20, 30, 40} trading days / 0DTE to 8W DTE).
Calculates exact holding period returns, directional UP/DOWN breakdowns, and maximum intra-window extensions across all rolling windows. All 10 horizons are presented side-by-side below across 5 distinct movement dimensions.
🚀 Macro Horizon Growth: 5-Metric Expansion from 1D to 40D
Contrasting Median moves & 95th Percentile safety buffers across all holding durations
📊 1. Open-to-Close Absolute Movement Analysis (All Windows Combined)
Evaluates overall end-to-end price displacement magnitude |Exit Close − Entry Open| / Entry Open regardless of direction across all 7 horizons.
Table 1: Rolling Forward Horizons — Open-to-Close Absolute Moves (1D–40D Side-by-Side)
All Windows Combined (Volatility & Directional Breakdown)
Forward Horizon
Sample Windows
UP %
DOWN %
Min (Abs)
Q1 (25%)
Median (50%)
Q3 (75%)
P90 (90%)
P95 (95%)
P99 (99%)
Max Move
Mean ± Std Dev
Visual 1A: Open-to-Close Quantiles Spectrum (All Moves)
Q1, Median, Q3, 90%, 95% & 99% across 1D to 40D
Visual 1B: Open-to-Close Cumulative Probability (CDF)
Probability of staying within ±X% band
Visual 1C: Open-to-Close Movement by Entry Day of Week (Mon–Fri across 1D–40D)
Tests whether entering on specific weekdays offers lower volatility or directional edge
📈 2. Open-to-Close UP Periods ONLY (Positive Returns: Close ≥ Entry Open)
Isolates bullish winning windows (Exit Close − Entry Open) / Entry Open ≥ 0 to evaluate upside return velocity and positive drift across holding horizons.
Table 2: Rolling Forward Horizons — Open-to-Close UP Moves ONLY (1D–40D Side-by-Side)
Bullish Expansion with MFE (Max Favorable) & MAE (Max Adverse) Excursions
Horizon
UP Windows
UP Freq %
📊 Close Return (Open → Close %)
🚀 MFE (Max Upside %)
📉 MAE (Max Pullback %)
Q1
Median
Q3
P90
P95
Max
Q1
Median
Q3
P90
P95
Q1
Median
Q3
P90
P95
Visual 2A: UP Moves Quantiles Spectrum
Bullish gain quantiles (Q1, Median, Q3, 90%, 95%, 99%)
Visual 2B: UP Moves Empirical CDF Curves
Probability distribution of bullish gain magnitude
Visual 2C: UP Periods — MFE vs MAE Analysis
Max Favorable Excursion (Upside) vs Max Adverse Excursion (Pullback) • Median values across horizons
📉 3. Open-to-Close DOWN Periods ONLY (Negative Returns: Close < Entry Open)
Isolates bearish losing windows |Exit Close − Entry Open| / Entry Open where Close < Open to evaluate downside selloff velocity and drawdown risk.
Table 3: Rolling Forward Horizons — Open-to-Close DOWN Moves ONLY (1D–40D Side-by-Side)
Bearish Selloff with MFE (Max Downside) & MAE (Max Bounce) Excursions
Horizon
DOWN Windows
DOWN Freq %
📊 Close Return (Open → Close %)
📉 MFE (Max Downside %)
🚀 MAE (Max Bounce %)
Q1
Median
Q3
P90
P95
Max
Q1
Median
Q3
P90
P95
Q1
Median
Q3
P90
P95
Visual 3A: DOWN Moves Quantiles Spectrum
Bearish drop quantiles (Q1, Median, Q3, 90%, 95%, 99%)
Visual 3B: DOWN Moves Empirical CDF Curves
Probability distribution of bearish loss magnitude
Visual 3C: DOWN Periods — MFE vs MAE Analysis
Max Favorable Excursion (Downside) vs Max Adverse Excursion (Bounce) • Median values across horizons
Evaluates maximum intra-window upside excursion (Max High − Entry Open) / Entry Open reached at any moment during the holding period. Critical for Call credit spread strikes and short call risk containment.
Evaluates maximum intra-window downward adverse excursion |Min Low − Entry Open| / Entry Open reached at any moment during the holding period. Critical for Put credit spread strikes and short put risk containment.
Table 5: Rolling Forward Horizons — Open-to-Low Downward Extension (1D–40D Side-by-Side)
Downside Breach Risk & Put Strike Safety Distances