High Low Stats by 30 Minute Periods

[dbntina]

All,

I wrote some code in tradestation and outputted it to Excel.

Using 5 minute data on the ES.D I basically calculated the stats that a high or low or either was created in the different time periods.

I kept it simple using periods:

A is 9:30 to 10
B is 10:01 to 10:30
and so on to
N is 4:01 to 4:15

Hope some of you find this helpful.

[forsearch]

Why not keep it simple and use 30 minute data on the ES.D (not 5)?

[Frank]

hi dbntina,

lets discuss.

you can see how the data is skewed such that a key high or low is made in the first 1-2 hours. that is good information as you will not be fighting the key 'bigger-picture' movement for the day if you keep this in mind.

but the other question is how often does the market extend such that it chooses a direction and continues in that direction for the rest of the day.

for example, can you run the data with a filter in it?

ie, if the highest bar for the day came before the lowest bar for the day (high made first), what are the statistics on when the FINAL low will come? which period is the market likely to make its final low?

the second case is then, if the lowest bar for the day comes before the highest bar of the day (low made first), what are the statistics on when the FINAL high will come?

I have tracked this for the past year and curious if my data lines up with last 5 years. My data shows that there is about a 2 in 3 chance of the FINAL high or low not occuring until after 2:30pm, with actually many occurences not until after 3:30pm.

[cosmic]

thank you dbntina, do you define the IB for the ES as the first hour of day session trading?

thanks!
cosmic

[dbntina]

Yes I do comic

[dbntina]

forsearch, I sure could have used 30M bars and saved some time. It's funny how I can miss something so simple

[dbntina]

Frank,

I think that is easy for me to run. I will do that and post.

Let me make sure I understand:

Show a table just like the others that basically shows the period that the opposite high or low forms after the first high or low?

I can run that and post if that is what you mean.

dbntina

[Frank]

right, look back at the day in retrospect and see if 'highestbar>lowestbar' (> means 'after' to Tradestation) or lowestbar>highestbar....
so:
if highestbar>lowestbar, then which 30-min bar was the highestbar made?

if lowestbar>highestbar then which 30-min bar was the lowestbar made?

frank

[dbntina]

Okay Frank here it is:

Same spreadsheet but I have added a 2nd spreadsheet to find out what periods the following corresponding high/low was made if the other was formed first.

Enjoy

[forsearch]

	Quote:	dbntina
	Okay Frank here it is: Same spreadsheet but I have added a 2nd spreadsheet to find out what periods the following corresponding high/low was made if the other was formed first. Enjoy

Nice update. You might want to add a column to show the cumulative stats, same as in the first one.

-fs