You may have a fairly detailed picture of what's going on a each price since you were talking about non linearities and asymmetries. Must be some fairly complex results that you get from that multiplication of an EMA with an average. I Actually trade via the DOM, so don't worry about me. I think that picture ain't that unfamiliar to me.
Why do you assume things. If I want to know intraday equivalent then I use intraday data, for EOD signals I use EOD data. Trading via DOM, you would use T&S data anyway as all the averages don't matter much. Volume/(H-L) is only applicable in certain scenarios. If you enter at the close of the bar for example, the range is irrelevant.
This could be an interesting discussion so here is my two cents: Things that I consider when deciding which futures instruments to daytrade Bid ask spread · Is the bid/ask spread greater or smaller than what I want to risk · Is the bid/ask spread narrow enough for market and stopmarket orders, without incurring excessive risk Actual trade spread between 2 adjacent trades · How often does the trade spread between 2 adjacent trades exceed what I want to risk · Is the trade spread narrow enough for market and stopmarket orders without incurring excessive risk Order book and trade activity · Is there enough order book volume to trade my maximum number of contracts without incurring excessive risk · Is there enough order book volume with deep levels to minimize wild price swings moving from one level to another when order book volume is eaten up by trades · Is there enough trade activity for daytrading Speed of trades/Time of trades · Are there enough trades to minimize wild swings during the time I generally trade · Is there enough price movement during the time I generally trade · Is the average daily trading range large enough to daytrade · What are the best times to trade this symbol Price volatility · Are there enough price trending moves to generate more than 2:1 reward to risk · Are there too many price turns greater than my stoploss risk · Is the average bar size too large to daytrade within my risk parameters Generating entry/exit signals include an additional set of analysis/entry/trade management rules and also may combine some of the above in real time in finer detail. cheers toucan