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.

dbntina

High Low Stats by 30 Minute Periods

Recommended Posts

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.

 

:thumbs up:

ES High Low Stats.xls

Share this post


Link to post
Share on other sites
Guest forsearch

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

Share this post


Link to post
Share on other sites

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.

Share this post


Link to post
Share on other sites

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

Share this post


Link to post
Share on other sites

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

Share this post


Link to post
Share on other sites
Guest forsearch
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

Share this post


Link to post
Share on other sites

Frank,

 

I had it in there initially but deleted it out because it didn't make sense. You would actually probably want to cumulate from the last period forward. It might be confusing to some so I basically left it out.

 

Take it easy,

 

dbntina

Share this post


Link to post
Share on other sites

1 other stat I keep is the final 'high to low' range for the day --- but kept as a ratio vs the range of the first 60-mins. ie, how often is the final range more than 2.0x the range of the initital 60-mins. this 2.0x guideline can sometimes help give a bit of a guideline to help 'see' the structure of the day.

 

dbntina, can you run those stats if you get a chance?

 

total range / initial balance range...

Share this post


Link to post
Share on other sites

Frank,

 

Yes I think that will be easy and quick. I will try to do that tonite.

 

You are asking basically what % of the time for each day of the week and all days that the high to low range is >= to twice the IB?

 

That should be pretty simple if that is what you are asking.

 

dbntina

Share this post


Link to post
Share on other sites

yes.

 

if its easy, check out what is the actual ratio per day of the week too... ie, 1.89 for Wednesdays vs 1.67 for mondays?

 

thanks dbntina, I am hack programmer -- I can make indicators that do these things and then count them but I don't know how to do statistical research studies like this.

 

frank

Share this post


Link to post
Share on other sites

hi dbntina,

 

I have been referencing these stats a lot and they are great.

 

I was wondering if you would be willing to run the same code on an ETF to see if its statistical characteristics are consistent with S&P's.

 

The security is 'EFA' -- which is an extremely popular ETF that tracks all the major international markets. Its very liquid and is interesting because its a foreign ETF and was curious how often foreign indices continue to trend on intraday basis relative to the S&P's.

 

mostly interested in when the FINAL high or low is made (whichever comes LAST)...

 

thanks for any help,

 

frank

Share this post


Link to post
Share on other sites

Frank,

 

I am glad that is helpful. Unfortunately, I had access to TS because my company had a subcribption. They closed the account and I no longer have access to TS to be able to run any code or anything. Sorry about that. Good trading to everyone,

 

dbntina:shrug:

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.

Guest
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.


  • Topics

  • Posts

    • Date : 14th April 2021. Market Update – World stocks hit record high. Market News Today – Treasuries erased early gains, but bond markets across Asia remained supported, after investors shrugged off the hotter than expected US inflation number yesterday and focused on the successful 30-year bond auction. Global stock markets rose to a record high on Wednesday as bond yields eased after data showed US inflation was not rising wildly as the economy reopens. As Reuters reported, Johnson & Johnson’s shares slid 1.34% after US federal health agencies recommended pausing the rollout of its COVID-19 vaccine for at least a few days, after six women developed rare blood clots. Setbacks to vaccination rollouts have raised concerns about the global economic recovery. New Zealand’s RBNZ left policy settings unchanged and confirmed its commitment to an expansionary policy, which helped to underpin the rise in Australia and New Zealand bonds. A sharp sell off in one of China’s largest bad-debt managers attracted attention and rekindled concerns over credit markets. Bloomberg also reported that Tencent Holdings Ltd is holding off marketing a planned dollar bond deal. Central banks remain focused on providing stimulus and the hotter than expected US inflation number hasn’t re-booted reflation trades so far, as negative vaccine headlines added to the already concerning outlook for EU supply. In FX markets, the USD was steady to lower after yesterday’s decline in Treasury yields and USDJPY fell back to 108.96. AUD and NZD gained. Both EUR and GBP lifted against a largely weaker Dollar, with EURUSD currently at 1.1964 and Cable at 1.3777. USOIL meanwhile is trading at 60.73 per barrel. Bitcoin hit a record above 60.73perbarrel.[B]Bitcoin[/B]hitarecordabove[B]64,500, extending its 2021 rally as Coinbase shares are due to list in the United States. Gold held up well against the USD. Today – Data releases today are unlikely to change the overall outlook, but include Eurozone production data for February and inflation numbers out of Sweden. Comments from ECB’s Guindos will also be in focus. US calendar has March trade prices but earnings to headline with JPMorgan Chase & Co. and Goldman Sachs Group Inc GS.N among the companies reporting. Biggest (FX) Mover – (NZDUSD @ 07:30 GMT +0.61%) The NZDUSD spiked higher on the largely USD weakness and after the RBNZ statement. The asset broke its 1-week resistance and turned above R2 and the round 0.7100 level. Currently fast MAs and MACD lines are aligned higher but RSI and Stochastics have started turning lower, suggesting a potential pullback. ATR (H1) at 0.00119 and ATR (Daily) at 0.00566. Always trade with strict risk management. Your capital is the single most important aspect of your trading business. Please note that times displayed based on local time zone and are from time of writing this report. Click HERE to access the full HotForex Economic calendar. Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding on how markets work. Click HERE to register for FREE! Click HERE to READ more Market news. Andria Pichidi Market Analyst HotForex Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in FX and CFDs products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
    • covid illustrates 'the extraordinary madness of crowds' and that  young people are more skeered of covid than older people is a sign of effective psyops ... just sayin' https://www.naturalnews.com/2021-04-11-5-dumbest-things-americans-doing-more-susceptible-covid19-mutations.html
    • Date : 13th April 2021. Q1 Earnings Season – The Banks. This week the key Q1 Earnings season kicks off in earnest with many of the major US banks reporting. Q1 earnings are seen as key for setting the tone of company performances as the post-pandemic timeframe gains momentum as the vaccination rate continues to climb and states continue to open up. Overall the US equity markets closed at all-time highs again last week, with a strong close on Friday just shy of those inter-day highs. The USA500 closed at 4,123, the USA100 at 13,800 and the USA30 at 33,751. The Financial sector has been a major beneficiary of the “reflation” trade and the 1.9 trillion Stimulus Bill and the proposed1.9trillionStimulusBillandtheproposed2.25 trillion Infrastructure Bill, which are all likely to benefit the banking sector in particular. So far 20 of the S&P 500 companies have reported and on average they have beat expectations by 11%, which is over 1.5 times above their average over the last 3 years. Overall expectations for the S&P 500 is for Q1 Earnings to grow by a very significant 25%, which would be the best performing quarter since President Trump’s tax cut inspired Q1 2018. Additionally, what is more encouraging is that estimates have been rising as the Earnings Season arrives; normally they start to decline as the data starts to emerge. Back in late February/early March consensus was for 22% Q1 growth. This enthusiasm is tempered by the high valuations the S&P500 is running currently; forward earnings are currently projected at 22.3 times whereas in a normal economic cycle the historical average is 15 times earnings, hence the scepticsim over further growth from here. However, overall 2021 earnings growth remains very robust and is penciled in at 26.5% versus a -12.6% decline for 2020. Another key drag on future growth in 2021 is President Biden’s proposed increase in Corporation Tax to 28% from 21%; estimates suggest that this could reduce earnings by 7.4% for 2021. Earnings season kicks off significantly tomorrow, (April 14) with big banks leading the charge. Reports are due from JP Morgan Chase, Goldman Sachs, Wells Fargo and First Republic Bank. Later in the week there will be data from Bank of America, Citigroup, BlackRock, U.S. Bancorp, Truist Financial, Morgan Stanley, HDFC Bank, PNC Financial, Bank of New York Mellon, State Street, Citizens Financial, Ally Financial. Whatever the outcome, much is anticipated from the numbers and tomorrow (April 14) JP Morgan are first up at 12:00 GMT with expectations of an Earnings per share (EPS) of 3.10[/B] and revenues increasing 5% to 3.10[/B]andrevenuesincreasing530.10 billion, this is followed by Goldman Sachs at 12:25 GMT with consensus numbers of an EPS at 9.79 and revenues also up to 9.79[/B]andrevenuesalsoupto[B]11.71 billion and also before the bell tomorrow is Wells Fargo at 13:05 GMT with an expected EPS of 0.69 on revenues of 0.69[/B]onrevenuesof[B]17.41 billion. Last time JPM and Goldman Sachs both beat on both revenue and EPS numbers significantly whilst Wells Fargo missed, disappointing the markets. All three key banks remain technically Bullish trading north of their respective 20-day moving averages. On Monday (April 12) JPM closed at 153.07, a few dollars shy of the March 18 high at 153.07[/B],afewdollarsshyoftheMarch18highat[B]157.18, Goldman Sachs closed down 2% at 324, some 324[/B],some[B]23 below the March 18 high, whilst Wells Fargo closed at 39.98 off 1.93% for the day and 39.98[/B]off1.930.89 below the close on March 18. Always trade with strict risk management. Your capital is the single most important aspect of your trading business. Please note that times displayed based on local time zone and are from time of writing this report. Click HERE to access the full HotForex Economic calendar. Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding on how markets work. Click HERE to register for FREE! Click HERE to READ more Market news. Stuart Cowell Head Market Analyst HotForex Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in FX and CFDs products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
    • GBP/USD Continues Downtrend After Rejection at Level 1.3900 Key Resistance Levels: 1.4200, 1.4400, 1.4600 Key Support Levels: 1.3400, 1.3200, 1.3000 GBP/USD Price Long-term Trend: Bearish GBP/USD has been in a downward move after its rejection from level 1.4200. After the initial fall, the Pound is making a series of lower highs and lower lows. On March 5, a retraced candle body tested the 61.8% Fibonacci retracement level. The retracement implies that the pound will fall to level 1.618 Fibonacci extensions or level 1.3493. GBP/USD – Daily Chart Daily Chart Indicators Reading: The 21-day and 50-SMAs are sloping horizontally. The pair has fallen to level 44 of the Relative Strength Index period 14. This indicates that the Pound is in the downtrend zone and capable of falling on the downside. GBP/USD Medium-term Trend: Bearish On the 4-hour chart, the pair has resumed a downward move. On April 8 downtrend; a retraced candle body tested the 61.8% Fibonacci retracement level. The retracement indicates that the pair is likely to fall to level 1.618 Fibonacci extension or level 1.3641. GBP/USD – 4 Hour Chart 4-hour Chart Indicators Reading The GBP/USD pair is currently below the 80% range of the daily stochastic. It indicates that the pair is in a bearish momentum. The SMAs are sloping southward indicating the downtrend. General Outlook for GBP/USD The GBP/USD is in a downward ward move. The recent downtrend was a result of rejection from level 1.3900. According to the Fibonacci tool, the Pound will fall to level 1.3493.   Source: https://learn2.trade 
    • EURUSD Upside Run Recedes Under 1.1900 Level, Dollar Begins the Week on a Strong Note EURUSD Price Analysis – April 12 From early session tops around the 1.1904 mark, the EURUSD has receded to approach mid 1.1800 level during Monday morning trading. The dollar started the week on a stronger note as Fed’s bullish remarks lent some support to the greenback. Key Levels Resistance Levels: 1.2190, 1.2050, 1.1952 Support Levels: 1.1800, 1.1693, 1.1422 EURUSD Long term Trend: Ranging The EURUSD is attempting to lower its price below the MA 5 at 1.1875, but it is running into horizontal support at $1.1870, and on break may lead to a bearish decline to the 1.1800 marks. A bounce from this zone, on the other hand, could lead to a retest of the 1.1900 level. A bullish breakout above the resistance level of 1.1952 could signal a sudden return to the upside. The rise from the 1.0635 level is seen as the third step of the pattern from the 1.0339 (low) level in the wider sense. Following a sustained rally, cluster resistance at 1.2050 could be seen. As long as the 1.1422 resistance level, which has now turned support, holds, this will be the preferred scenario. EURUSD Short term Trend: Ranging For the day’s start, the EURUSD struggles to alter the intraday bias from neutral, but with minor support at 1.1870 intact, a further rise is likely. Above 1.1952 level, the recovery from 1.1740 to 1.1927 minor resistance may continue. Resistance is at its April peak of 1.1927, with 1.1952 and 1.1989 levels seen in March. There may be a strong break there, indicating that the correction from the 1.2243 level has been completed at the 1.1740 level. A break of 1.1870 near-term support, on the other hand, would shift the bias back to the downside, with the 38.2 percent retracement of 1.0635 to 1.2243 at 1.1693 levels.     Source: https://learn2.trade 
×
×
  • Create New...

Important Information

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