A Daily Breakdown represents an explicit technical event where an asset breaches the prior session's low and fails to recover before settlement. To qualify as a daily breakdown, a trading session must satisfy two mandatory conditions measured against the previous day's low:
Settlement confirmation: today's closing price finished below that same prior-day low level.
Both conditions are measured against one number, the previous day's low. If a session breaks it intraday but closes back above it, only one condition holds and the day is discarded.
If a session misses either condition, it is discarded by the analytical engine.
Why settlement confirmation matters
The second condition, requiring the close to remain below the prior low, is what gives this metric its analytical weight. Many trading sessions experience intraday dips below the prior day's low, find aggressive buyers, and rally back to close above that key level.
Both days traded below the prior low. Only the one that closed there is a confirmed daily breakdown; the other recovered into the close and is a failed breakdown, excluded from the dataset.
Sessions that dip intraday but recover by the closing bell are classified as unconfirmed intraday probes or failed breakdowns, and are completely excluded from the dataset.
Calculating breakdown magnitude
The depth of a breakdown is measured from the intraday low relative to the prior day's low, expressed as a percentage:
Because today's low fell 1.41% below the prior low and today's close ($390.98) remained below $396.32, the session registers as a valid daily breakdown.
Frequency & occurrence rate
Requiring settlement confirmation makes a daily breakdown a far more selective event than simple intraday volatility:
Roughly 23% of trading sessions (a little under 1 in 4) for an asset like MSFT qualify as true daily breakdowns.
An almost equal number of sessions dip below the prior low intraday but recover before the bell, all of which are filtered out.
A minor breakdown closing 0.3% below yesterday's low and a severe breakdown closing 5.0% below yesterday's low both qualify as daily breakdowns, but they represent entirely different structural market events. The breakdown engine uses magnitude matching to isolate historical precedents of comparable size.
Ranking breakdowns by asset-specific severity
To ensure accurate historical comparisons, the system ranks every daily breakdown an asset has generated across its history by its magnitude percentage:
Today's 1.41% break lands just past MSFT's 1.30% median, at the 55th percentile of its own breakdowns. The matched set is the breakdowns closest in depth to it, 71 in all, and the forward numbers are built from those.
Asset-specific distribution: every historical breakdown for that ticker is sorted from smallest to largest magnitude.
Percentile placement: today's breakdown is mapped to its exact percentile within that ticker's historical distribution.
Matched-set isolation: the engine isolates the historical instances that cluster tightly around today's specific percentile rank.
Magnitude profile comparison
Practical example, Microsoft: a 1.41% breakdown depth.
Metric
Historical value
Contextual interpretation
Median MSFT breakdown
1.30%
Baseline severity for a typical daily breakdown in MSFT.
Today's breakdown
1.41%
Sits at the 55th percentile, slightly larger than average, yielding 71 matching historical days.
Why tickers are ranked on their own history
A 1.41% breakdown depth represents a routine event for a large-cap stock like Microsoft (MSFT), but would represent a major structural crash for an ultra-low-volatility asset, or a tiny, meaningless dip for a high-beta growth equity.
Core Backtesting Rule
Evaluated against its own history, every asset defines its own baseline for what constitutes a shallow, typical, or deep breakdown. This keeps backtested matches clean and asset-calibrated.
Depth dictates forward behavior
Shallow breakdowns (~10th to 30th percentile): minor breaches of prior lows that frequently result in immediate mean-reversion, with quick buyers stepping in.
Deep breakdowns (~70th to 90th percentile): severe selling pressure that often triggers systematic stops, liquidation, or persistent follow-through selling.
Isolating historical matches by magnitude ensures the forward projections reflect the exact severity of today's price move.
Chapter 3
Price Projections
The engine projects across three fixed horizons: the next trading day, one week (5 trading days) and one month (21 trading days). Every card shows the exact future date it refers to, so there is no ambiguity about which session is being measured.
Three measures on each card
Green / red odds: the split between matched days that closed higher and those that closed lower over that horizon.
Avg green return: the average gain of only the matched days that closed higher.
Avg red return: the average loss of only the matched days that closed lower.
MSFT's read after a 1.41% breakdown:
Horizon
Target date
Odds
Avg green
Avg red
Next day
23 July 2026
63% / 37%
+0.97%
−1.34%
One week
29 July 2026
56% / 44%
+2.90%
−2.74%
One month
21 August 2026
61% / 39%
+5.32%
−4.57%
Measured on MSFT, 22 July 2026, from 71 matched days.
Always read the averages next to the odds
The two average rows are one-sided: avg green averages only the up outcomes, avg red only the down outcomes. Never read them by themselves.
The month row leans green on both counts: 61% of those months closed higher, and the average gain (+5.32%) was larger than the average loss (−4.57%). When the odds and the averages point the same way the read is clean; it is the rows where they disagree that need the closer look.
Chapter 4
The Three Charts
One Chart View toggle, three ways of looking at the same sample of matched days: the Price Cone, the Bar Graph and the Chart Log.
1. Price Cone
The default. It projects forward 45 sessions from today's price, drawing the percentile bands of what the matched days actually did, converted into prices.
Median line (50th percentile): the central outcome of the sample, not a target.
Cone width (10th to 90th): how much the matched days disagreed. A narrow cone means consistent outcomes; a wide one means high variance.
2. Bar Graph
This asks a different question: how often did price travel a set distance, and how quickly? You choose the move size, and the chart answers in both directions at once. Green bars above the line show the share of matched days that rose that far within a given number of days; red bars below show the share that fell that far.
By Touch vs By Close
Setting
What counts
Use it for
By Touch
Any intraday high or low that reached the level, even if price came back before the close
Path risk: stop-loss triggers or intraday margin
By Close
Only a daily close beyond the level
Settlement risk: holding-period targets or trend sustainability
Touch numbers are always equal to or higher than close numbers. A wide gap between the two flags heavy intraday movement that did not hold into the close.
3. Chart Log and the event register
The Chart Log shows the full price chart with every matched day marked, so you can see the wider context each time the same setup appeared. Below it, the event register lists every matched day with its date, both lows, how far below the level it broke, and its forward return.
Any column sorts, which makes it easy to find the largest gains and worst drawdowns in the sample. Those extremes often matter more than the average when you are sizing a position.
The front page runs the same analysis across every ticker at once, so you can see which names broke down today without opening them one at a time.
Breakdown column
Second from the left. The header shows today's date against the previous session. Each cell carries the magnitude of the break together with today's low and the prior low, so the size of the move and the two prices that produced it sit in one place.
Price Projections
The same nine price projections from Chapter 3 appear here: avg green, avg red, and the odds, shown for next day, next week, and next month.
Each figure is calculated from that ticker's own matched days. The numbers are therefore not comparable side to side in the way they look. Two rows both showing 61% are each describing their own stock.
Every column sorts. Clicking the odds at any horizon is the quickest way to see which of today's breakdowns have leaned green historically and which have not.