The (generalized version) of the problem I'm trying to solve: Say you're observing the surface of a puddle while it's raining. There are various sized ripples occurring wherever a raindrop hits the puddle, which happens with a regular frequency. Now imagine you throw a pebble at the puddle; how would you determine, by watching the waves, the probability of whether the pebble landed inside the puddle (creating ripples stronger than a raindrop would make) or outside (creating no ripples)? In other words, can you calculate the probability of whether an event (a pebble was thrown in) occurred?
In more concrete terms, I have market time series data with each entry containing a high and low for that day. So, first I calculate the average true range (an exponential moving average) and divide by the median (high-low) price to get an average daily price movement in percent. I then calculate the average standard deviation of the movement using a simple moving average. On the day of the event, I measure the movement and calculate the probability using...Z-scores? This is the part I've gotten to and I'm not sure if it's in any way reasonable to look at it like this.
Is this a valid way to solve the problem? Are there better ways? I'm looking for a big picture view, not necessarily something which would be extremely accurate but at least which would be a valid interpretation.