Avg Daily Trding Range ES,NQ

Discussion in 'Index Futures' started by Winston, Jan 6, 2004.

  1. Winston


    Would someone please inform me, save me the actual calculating, what the avg daily trading range is for ES and NQ. Also, for the COMPQ and S&P. Please let me know age eg 1mos, 2mos worth of daily data. Is it possible to download this data from e-sig into excel? Thanks & Happy New Year!:)
  2. Since 12/1/03, the average daily high - low for ES is 9.96 and for NQ it is 23.96.

    Hope this helps.
  3. Since 1962, the S&P's average daily trading range has been about 1.5% percent of the opening price. Over the last 6 months it's been much lower than that though (probably just about two thirds of the historical average). The Naz is typically a decent amount higher but I don't have any figures for you off hand.

    You can download data from esignal by going to data export then saving the data as a csv file (which you can open in excel). There's also a lot of free daily data from Yahoo finance.
  4. Winston


    Thanks. Was guestimating NQ around 20. I'll attempt excel download. In the mean time anyone have the avg daily vol for the NQ & ES? Thanks again.
  5. Since 12/01:

    NQ -- 250,354
    ES -- 500,479
  6. dbphoenix


    The 10d ADRs for the ES/NQ are 8/17.
  7. It looks like you have all statistics handy. Is there available some data on when high or low of the day was completed by hour ? Per example : At 10:00 10 % of day high and 12: of day low were completed. At 11:00 25 % of high was ...... and so on.
  8. I haven't been keeping up the intraday e-mini data in my database, just EOD. I trade stocks and use the e-mini data as an overall market reference to try and trade on the correct side of the market.