High/Low time of day

Discussion in 'Strategy Development' started by harric, Aug 30, 2011.

  1. harric


    I often read about the start of trading each day being important in establishing a high and low for the whole day (more likely than would be expected if it were random). Has anyone done any serious analysis of this phenomenon, i.e. quantitatively comparing it to random?
  2. ========
    Hi, Harris.
    Something like that;
    but weekly data/candles helped me more.If you must study daily data, fine, 2 days helps also. If you like non random data, make sure to watchdaily highs above 200dma, lows below 200day moving averages[bear there]

    2001 Stock Traders Almanac helps also;
    they have 1928-1933-1987-2000.... goodies in there.
  3. harric


    hi murray, thanks for your reply, but i'm afraid i don't really understand what you're getting at. can you explain it in simpler terms?

    i've done some research on this on my own. attached is a chart of the percentage of time the high and low of the day have occurred for the dax. i'm interested in how this compares to what you would get from a random walk.

    blue is high, red is low. interesting that the low for the day occurs earlier than the high.
  4. harric


    forgot the attachment
  5. rosy2


    sure. if you think trading open and close are the same as midday then you dont know what you're doing
  6. Harric,

    My study(for ES, going back about 3 years) shows 23% chance of high in first half hour and 27% chance of low in first half hour. So roughly double "random", if by random you mean equal probability of high/low in any half hour period throughout the day, which would be 13%. Big traders(longer term traders, funds, etc.) generally make their trades in the first and last hour, which increases volume and volatility, hence the increased probability of the daily high/low being put it.
  7. don`t you buy when the price is below 200sma?do you do just a couple of trades a year?
  8. the open and close, high and low are very important.
    as well the same for the day before that......

    for example, when price is in an up move for 1 day now and it will continue 1 - 2 days up...
    then starting from opening, the price first goes down, to test support, one time or a few times, after it finally continue to go up.

    So everything is important......
  9. flip


    I just recently posted this in another thread, here's a chart for the S&P500 future:


    I used 5min data of the S&P500 future (ES) since Jan 2000, dividing the day into 5min intervals which gives 81 bars per day and then calculated the following empirical probabilities for each bar of the day:

    - the high of the day is made until bar number n (blue bars top left)
    - the low of the day is made until bar number n (blue bars top right)
    - the high and the low are made until bar number n (blue bars bottom left)
    - the high or the low are made until bar number n (blue bars bottom right)

    I did the same using random-walk data, which is displayed as red line in each chart.
    #10     Oct 12, 2011