NASDAQ100 average daily range?

hey guys,

just wondering does anyone out there have the capabilities to find out the mean average of the daily range for the NASDAQ100 (difference between the high and the low) for the past year?

Any results would be greatly appreciated

Regards
jonny.

 

Get the data from barchart.com, CSI (csidata.com) and then use Excel to transform the data.

 

sorry i don't have excel (i know), could someone please share these results with me and will share my system testing results with you, i'm doing some system based on intermarket analysis and a few other things.

also, is there a statistically significant time of day that the NASDAQ100 makes a low or high?

any other relevant input will help our project

thanks
jonny.

 

If you are on either: Linux, Solaris, FreeBSD, Windows greater Win95 or Mac OS X, grab yourself OpenOffice from www.openoffice.org - the spreadsheet program will do what you need.

If you're on neither of these, I am curious how you come up with a intermarket analysis? You're using a pocket calculator or what?

 

ATR(Average True Range) for Nasdaq 100 cash index

I calculated the 20 day ATR, 100 day ATR and 200 day ATR using TradeStation software for you: Current Readings...

20 day ATR = 26.44 pts

100 day ATR = 24.41 pts

200 day ATR = 24.95 pts

I hope this helps you!

 

I believe that the member with the username "acrary" keeps this data. He has graciously provided similar data in the past for ES and NQ. You may want to try PM'ing him, in case he doesn't read this thread.

 

It's 24.6 for this year (through yesterday) versus 26.1 for all of last year.

 

Here's the time of day that the high and low are completed for the NQ since 2001.

 

thanks alot guys.
jonny.

 

acrary,

just downloaded your data (just was curious to see the results)...however, just glancing at it, few things popped out that i have hard time believing and may be also could be incorrect..

i'm assuming the times are Chcago time and also, highs and lows occurrences are summed together.

i'd appreciate if you could explain:

for 2004, you already have 455 high and low occurrences when we are only 1/3 rd into the year???

all 4 years you have 100 highs and lows happenning in the last 15 minutes of trading (i don't believe it!!)

if you take a look at all 4 years, each time slot has more more highs and lows total than the earlier time slot...ie, most of the highs and lows are made at the eod...again can't believe that the mkt has such an orderly pattern....

am i totally off base??