I want to discuss some properties of daily data on the sp future. I use the prompt contract. data source is bloomberg. To explain the following: avg daily gain is the return of the day, calculated as ln(Cto/Oto). To those who do not use log returns: within these small numbers it does not make any significant difference whether one uses percentage or log. I gonna put in some conditions to see if the properties remain constant. Environment 1 uses the previous days range to see if this has an impact on todays gain. Environment 2 calculates yesterday's range as a percentage of the previous 5 day's range and calculates today's average gain. Environment 3 is the same as 2 plus yesterday must be an inside bar in reference to the day before.