"Before the many books and derivations of pit trader's numbers, there was George Cole in 1936. He was the first author to write about the formula so many day traders use now, most of whom have no idea where it originated. I haven't seen any contemporary authors credit Cole for it. Fair enough, the method works well, and the numbers are good reference points for structure in the market. It’s worth knowing where they sit each day in whatever you're trading."
Cole self-published Graphs and Their Application to Speculation (a sequel to his 1928
book Successful Speculation: A Business) the year before he died, and Donald Mack
reprinted it in 1998 in the Financial Times / Pitman Traders' Masterclass series.
Cole was not creating a simple day-trading cheat sheet. He wanted speculation to operate like a profession: charts as a visual map of mass psychology, a "law of occurrence or recurrence" in commodity prices, and human judgment required to pull the facts together. That is 1930s technical analysis in the Wyckoff family—slow, pictorial, and commodity-first. On subsequent literature, Crabel is blunt, and he names names:
"Almost all short-term traders have explored these numbers. Larry Williams called them his own. John Hill, Fisher, and Ochoa each added something to them. Carter and Person use them too. I saw traders on the floor in the '80s carrying their "Green Sheets" into the pit, and these numbers were the dominant feature on them. It’s safe to say most traders know about them and have built systems around them, so it pays to know where they sit if you want a read on the market’s mind throughout the day."
These details matter. By the 1980s, the formula was no longer just a book idea; it had become pit infrastructure.
This is what Crabel means by Cole numbers (15-minute E-mini NASDAQ-100 of January 29, 2024): "R4 to S4 including the pivot (p), are all Cole numbers. I-1 hi and I-1 lo are yesterday's high and low. The two-day high (2 day hi), the all-time high (ath), and swing low (1 day sw lo) are also an important part of market structure."
John Person's lineage credits Chase with the formula and Williams with its 1979 revival. The honest history involves two 1930s names, an unread reprint, a popularizer, and a floor practice that was already regarded as "secret numbers" when Person walked onto the CBOT. Crabel is likely right that Cole printed the arithmetic first. Person is likely right that the pits treated it as inherited craft. Neither invented the market’s habit of defending yesterday’s range.
"These are all predetermined price levels. Once the market opens, there are dynamic reference points to factor in too, and I cover those elsewhere. [...] Price will often poke through a high or low before resuming trend, so the action around the previous day's high and low matters."
That last sentence is the core operational rule. The Cole grid provides the scaffolding; the prior high and low are the live walls. A poke-and-fail through yesterday's extreme, in Crabel's framing, tells you far more than a simple tap of R2.
The dynamic half of the map is the work Crabel is known for. In the 1988 Stocks & Commodities series that became his 1990 book, he defined the open itself as the other reference point of the day:
"Opening range breakout is one of the most important indicators of daily market direction that a trader can utilize. An opening range breakout (ORB) is a trade taken at a predetermined amount above or below the opening range. When the predetermined amount (the "stretch") is computed, a buy stop is placed that amount above the high of the opening range and a sell stop is placed the same amount below the low of the opening range. The first stop that is traded is the position and the other stop is a protective stop."
He was already distinguishing rare trend days from ordinary rotation:
"Early entry is defined as a large price movement in one direction within the first five minutes after the open of the daily session. A study of early entry is essentially a study of price action, and the type of price action that takes place on early entry shows that participants are urgent about entering the market. It is a distinct recognition of either a profitable or dangerous situation. [...] It should be noted that directional moves of this nature are relatively rare and may occur only 10% of the time. Most days (70% to 80%), prices exhibit rotation or choppy action and the first five to 10 minutes of trading are sluggish and directionless without a clear movement away from the opening range."
The hinge between those two day-types is the principle that still sits under NR4, NR7, inside days, and two-bar and three-bar narrow range:
"The market having a specific nature is constantly changing from a period of movement to a period of rest and back to a period of movement."
"My observations of markets through visual displays of data have led me to a simple conclusion: there are two primary forces at work. One is momentum, which includes the opening range breakout (ORB). The other is mean reversion, which at times can even involve trading in the opposite direction of the ORB. This has always been a useful way to think about markets. But over time, I have come to appreciate that there are many nuances and additional conceptual frameworks that continue to refine this view."
Cole's grid is useful in both regimes. On a rotation day, it marks the likely fade rails. On a momentum day, it marks where the move should pause or accelerate. It does not choose the regime for you.
"Where's the open? For God's sake. I mean there's so much volume in the 24-hour sessions it's impossible to determine what the open is. So the wonderful thing about open range breakout—back in the day when there were just primary session, domestic session trading—was it was the most vital piece of information, the reference point that you could have. [...] The real problem is where is the reference point? Where the open was a great reference point, but now what other reference points are there in the markets? One is the close of the previous day and the movement off of that."
"In the early nineties I used ORB as a primary, or previous day’s high or low, as a reference point for marking and entering trades. Now we probably have 10 or 15 or maybe even 20 different reference points that exist in any market and different ways of navigating that. [...] The closing of the previous day tends to be much more important now than it ever was."
Reading the Cole essay against that interview and the layout of Crabel's January 29, 2024 chart, the takeaway becomes obvious. R4 and S4 are the old predetermined lattice. The prior high and low, two-day high, all-time high, and swing low are the reference points that still carry energy now that the open is no longer a single moment.
► Soft: The formula does not account for overnight gaps or a Sunday FX open. "Yesterday" is no longer a clean object in 24-hour markets. Outer levels are often wallpaper. Buying S1 and selling R1 as a standalone system is how the method earns its bad name. The edge, when there is one, is confluence: a Cole level + prior high and low + opening range or prior close + the actual swing right in front of you.
That is also why Crabel's credit-where-due note is more than antiquarianism. Cole printed a portable map. The pits made it a common language. Williams, Hill, Fisher, Ochoa, Carter, and Person turned it into product. Camarilla, Woodie, Fibonacci, and DeMark are variants. Crabel's own contribution is the frame around the map: predetermined levels first, then the day’s dynamic reference points, then a decision about whether the session is momentum or mean reversion.
However, do not give the pivots' arithmetic more metaphysics than it earns. It is a prior-day typical price and a set of reflections. It works when the market is still negotiating yesterday's range. It is noise when the market has already decided today is a different day. The skill is telling those two conditions apart—and that skill, as Toby Crabel keeps repeating, is not in the formula. It is in the structure you put around it.