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Thanks, apex. I will keep in mind what you are saying.

Yes, exactly, I used an array formula in excel, and I calculated the range between midnight and 9.30 am. Same for volume. It can all be done at the functions level. No need for vba.

I am trading a future, so I simply did some tests on the data I bought from here (see previous threads for detailed discussion on tests): http://disktrading.is99.com/disktrading/

What do I consider maximum drawdown? I have started trading my system with real money, after depositing a margin of 2300 dollars on my trading account in early August. As soon as they'll get below 2000, that will be the end of my trading, because the broker stops me from trading with a lower...

This makes a lot of sense - wait 30 minutes and see where the market is. I should test this as well, though, before using it. Right now I am kind of tired of all this testing, but I will keep it in mind for the future. Thank you.

Thanks to everyone for the comments. It's true, as you guessed correctly, I have not tested this system I am talking about. The reason is that my system uses such small timeframes and needs so much information for one day, that I couldn't find the data, nor the program capable of doing such...

Here I would like to sum up all the ideas I talked about in the preceding threads, and come up with a conclusion. The system will weigh pre-open range, pre-open volume and weekday, estimate whether today is a range or a trend day, and then trade accordingly - within support and resistance on...

For anyone who cared to take a look at it, forget everything about the volume, because my volume data is all screwed up. Intraday volume is not large enough and daily volume repeats itself many times, one day after the other. Not my fault, the formulas were fine. The data provider I bought my...

Right, not correlated...I see. According to excel "correl" formula, it is slightly more correlated than these arrays which have a correlation coefficient of 0.39: 1 2 2 4 3 6 4 8 5 3 For me it's good enough to predict range 4 times out of 5.

Ok, if anyone cares, here's my work. Range: Pre-open vs entire day: correl 0.48 Volumes: Pre-open vs entire day: correl 0.33

"9.00" means "the half hour that ends at 9.00 and begins at 8.30". In this sense, I made a mistake by placing "23.59.00" on top of the list, because it represents the last half hour of the day.

I finally got to the intraday range testing. This is something I have calculated from september 2005 to june 2006, and it might interest you. It's related to what we are talking about. It's the average % range measured dividing the day into half hours (Eastern Time): 23.59.00 0,03%...

Ok, so, I am reading the paper, which focuses exactly on my questions, and I am doing my own quick tests on the ecbot e-mini dow jones future. So far this is what I got (I won't get too deeply into all the details of my testing, sorry): daily volume positively correlated with daily range...

Thank you for your feedback and advice. I will look into the existing studies. However, it is so easy and fast for me to double check what these people found out, and see if it applies to the market I trade, that I am doing my own tests (I almost finished proving question number 1). Besides...

My first question is whether volume affects range. In other words, I think that if we don't have many people trading on a given day, the market doesn't move. I have to test this: 1. Daily Volume related to Daily Range? (Constant relationship?) If the above hypothesis is true, question...

I am wondering whether I could place a rule in my system that exploits the fact that pre-open range (high minus low) and regular trading hours range might be related. But are they related? I don't have enough data for index e-mini futures to test this. What I would like you to tell me is...

Yes, it does. If what's happened in the last 20 years will keep on happening, then you would make money doing what you just said. Yet, it would make more sense to open long on friday at close, and close long on wednesday at close (and viceversa). Just theoretically though, because I haven't...

Years mon tue wed thu fri 2006 -1% 0% 8% 1% -2% 2005 4% -3% 1% -2% 0% 2004 1% 6% 4% -4% -3% 2003 7% 9% -5% 7% 7% 2002 -9% -15% 17% -4% -5% 2001 -3% 4% -4% 11% -13% 2000 20% 5% -18% 4% -15% This is just the beginning of my 75 years file, which is attached here below. On the last row...

This is to clarify the very simple calculation I did. To come up with the figure for each day, all I do is add up the specific day's gain/loss for the years of the test period, which on my daily closes data for the Dow Jones means the following - monday's minus (previous) friday's close...

It's what you get if you sum up all gains and losses of all mondays in the past 20 years.