time of daily high/low

Discussion in 'Automated Trading' started by travis, Jun 15, 2007.

  1. travis

    travis

    Has anyone ever done any research on this - at what time does the daily high/low happen?

    I have some YM data, but it doesn't seem too reliable and, also, I can't figure out a formula to compute it with excel. Is there a link where I can find out some facts about it?

    I am talking about this stuff ("time dependent trading patterns), if anyone is interested:
    http://herkules.oulu.fi/isbn9514257197/html/x108.html
     
  2. flip

    flip

    hi travis, some time ago i analysed the frequency of swing high/lows during the trading day for the sp500 future.

    a swing high was defined as a high (5min bars) that is
    - higher than the previous 20 highs
    - higher than the following 20 highs
    and the opposite for swing lows

    notice that such a swing high or low is not always the daily high / low and there could be more swing high and lows during a day.

    the chart "reversals" shows the frequency of swing high/lows in 15min intervals (time is gmt+1).

    not exactly what you are looking for, but maybe it helps you to get started.
     
  3. travis

    travis

    I see that you are in Europe, by the time you use in the chart. What you did is exactly what I was looking for, but to simplify I said "the day's high/low". In truth, I was looking for swings. I see the "U-shape" that the article I listed the link for is talking about. If I find anything else about it, I will let you know. Thanks.
     
  4. travis

    travis

    This is what I finally found out for the years 2000-2005, speaking of highs and lows and when they happen. Future studied is YM, Ecbot Mini Dow Jones, 15 minute time frame, EST.

    As you can see in the snapshot attached, highs and lows start happening beginning at 8.30 EST, and they continue, over the 5 years tested, quite spread out during the whole day, not as U-shaped as the distribution of swings that you got.
     
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