How often does price revisit a Dark Level?

The question

This study measures how often, and how soon, price returns to a Dark Level after moving away from it. It measures the same thing for ordinary price zones chosen without regard to Dark volume, so the two can be compared.

Why it matters to you

Revisits appear on BigTape charts. Prices wander, so a return to a nearby zone is common for any zone. Without a comparison, a Revisit can look more meaningful than it is. This study puts Revisits next to that comparison, so you can see how ordinary or unusual they are.

The study stops at the Revisit. It records nothing about what price did afterward.

Definitions

Dark Level.

A price band where Dark dollar volume built up since 2016, computed only from trades before the start date. Ranks are all-time for this ticker, since 2016, as known on the start date. Band width follows the method version in use.

Ranked levels.

The ticker's Dark Levels ranked #1 to #20 on the start date, by all-time rank (Dark dollars since 2016). Level Breaks are timed on these same levels.

Start date.

The last regular session of each calendar month.

Away.

Price counts as away from a band once a full regular session passes with no trade inside it.

Revisit.

The first regular-session trade inside the band after price has been away.

Comparison zone.

A band of the same width, at the same distance from the start-date close and in the same direction, placed without regard to Dark volume and not overlapping any Dark Level.

Population, window and eligibility

Population.

Covered U.S.-listed stocks and ETFs with at least one year of history at the start date.

Sample.

On each start date, each eligible ticker's Dark Levels ranked #1 to #20 that lie outside that day's price range, each paired with one comparison zone.

Window.

Start dates from the first month-end with at least one year of history behind it to the last month-end at least 60 sessions before the study runs.

Eligibility.

Levels are built under the method version in use, from corrected data. Ticker-sessions with incomplete data are left out, and the report counts them.

What we will measure and how we will report it

• The share of Dark Levels with a Revisit within 5, 20 and 60 sessions of the start date, and the same shares for comparison zones.
• The median number of sessions to the first Revisit, for both.
• Splits by distance from price on the start date, by stocks versus ETFs, and by level rank, with levels ranked #1 to #10 and the all-time top 100 as checks.

Results will appear side by side for Dark Levels and comparison zones. Every figure will show its counts and a 95% interval, and the report will name the method version used and the date the study ran.

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