Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.


Price Range in Defined Time Window

Recommended Posts

Hello, guys.


I'm trying to analyze price movement within its' contract lifetime window on some commodities futures. I'm interested in how much the price can go up or down from the defined start point (i.e. new contract starts) till end point (contract expires).


It's some kind of OHLC data, where O is price on open date (for example, CLQ3 starts on Jun 17th), C is price on close date (Jul 17th), H/L are high and low for this 30 days.


So, the first part will be to retrieve such OHLC data, ths second - to analyze maximum movement ranges by doing H-O and L-O math.


Any ideas? I've got thinkorswim live money account, but TOS has no export of daily data.

Share this post

Link to post
Share on other sites

An example, to be more specific.


I want to analyze CL movement during 10th April till 15th May.

Open (04/10) is 95

Close (05/15) is 94.50

High (05/03) is 97.50

Low (04/15) is 86.50


Up move was 97.50-95.00=2.50

Down move was (in mod) 86.00-95.00=9.00


All I need is this 2 bold digits.


Share this post

Link to post
Share on other sites

From Johnr@ts , might be what your looking for . Set beginning and ending dates and run a High and low pivot indicator? Or code your self a rectangle based on the begin and ending dates . Maybe a zig zag with rectangles . A picture of the amazing stratman jammin Zigzag with rectangles. If it makes you see your business that's what you need. Ok there 2013!

plotting vertical lines at specific dates and times into the future.txt

ESm18 - ZigZag+WHWSOOTLV2.5.1.jpg

Share this post

Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.

  • Create New...

Important Information

By using this site, you agree to our Terms of Use.