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# High Low Stats by 30 Minute Periods

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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

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

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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.

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

thanks!

cosmic

Yes I do comic

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

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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

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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

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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

ES High Low Stats.xls

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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

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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

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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...

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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

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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

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Frank,

Here it is updated. Check the third tab for what you wanted.

dbntina

ES High Low Stats.xls

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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

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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:

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• 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
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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. 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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.
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