percentages are one of the hardest things to program on the fly because you have to keep track of all the highs and lows. then when a higher high or lower low occurs it takes the place of the previous high or low. many people short cut and use the function highest(h,lookback) and lowest (l, lookback) but that will either restrict or over shoot your goal and or induce delay into what your trying to do. where lookback is the number of periods to search for a highest high or lowest low. however what you are asking is the most valid way to build a significant model that will hold up with time because it would use true percentages and not a restricted static lookback period.
Nicely done study, and a very fun read. There were lots of points I had 'responses' to your statements, but then you resolved them all by the end. 'Engaging!' Nice ol'
Along that line, I'd love to see a study on 'continued opening trend' days -- where, after a first-hour climb[fall] of x-points, how does the market behave[close] after that? Usually, the bigger the pop[drop], the more likely a continuation. But I'd love to see empirical evidence. (Especially since Nov. 2016, eh. )
OK wrote a box around AM , midday and PM boxes . Got a daily cash range measure and box on total cash range , Will do the range measures for the 3 time periods as well when i have time or can even break it down into smaller parcels . Then we can do some exploration
Not exactly what you're asking, but for the ES, the 1st 90 minutes capture the entire daily range only about 7% of the time in the last 5 years or so.
And if my call for today is correct - this is one of those 7% days... EDIT 28 minutes later: 2nd scenario being a move towards 2930.
The question then becomes, when it is not one of the days that falls into the 7% by how much does price exceed that 90min range?
Most certainly not. A good trader needs to plan for and anticipate multiple scenarios on any given day. Although we trade probabilities this means that the unlikely can and will happen. I still need to close the gap between my statistical predictions and my intuition and experience as in how I observe the chart. Today, I felt certain we'd roll over, but my data (or at least how I interpreted it), said we'd most likely range sideways today.
The latest record in my data set (currently not updated) has a daily range of 31,25 points and the 1st 90 minutes being 7,75 points. Thus, to answer your question for that single day, the daily range is 31,25/7,75 = 4 times bigger than the 1st 90 minutes. If I repeat the same arithmetic for my entire data set (1130 days), I get an average of 1,8. For this kind of data to be useful, I suggest more detailed analysis (which I have of course done). Bottom line - It's uncommon to find both the day high and low inside the 1st 90 minutes, but it's not uncommon that a large percentage of the day range is contained inside those 1st 90.