Can someone tell me if the high or low of day normally happens in the start or ending of the day?

There's statistical data about this going back +20 years on the major market indices. Try to find those websites that sells the statistics and going forward you can easily start to maintain your own stats along with daily intraday charts.

Just be careful with trying to apply stats from one thing (e.g. S&P 500 Index) and then applying it to something else...bad daytrader habit.

wrbtrader
 
wrbtrader said:
Another possibility someone else talked about their own backtest results at another forum and he remembers the discussion. :sneaky:

A serious trader should have that info or can easily get it from their own research of historical data involving whatever it is that they trade.

wrbtrader
More...

Actual results over the last 180 trading days in the E-mini futures contract:

By 9:35 AM EST, there has been a 28% chance that the high OR/AND low of the day in the S&P500 has been made. (I originally said 20%)

By 10:05 AM EST, there has been a 58% chance that the high OR/AND low of the day in the S&P500 has been made. (I originally said 55%)

By 11:00 AM EST, there has been a 81% chance that the high OR/AND low of the day in the S&P500 has been made. (I originally said 90%)


Slight variations are to be expected depending on time frame analyzed - still close to what I initially responded with.
 
As far as the regular day session goes the last 1.5 hours is the strongest trending time of day, meaning the most number of points in a directional move. The last hour has the most liquidity by a wide margin - this is when professional traders are most active. The morning session is said to be the "dumb $". It probably has more price range with it's big, fast, & furious reversals.


upload_2018-7-10_12-56-40.png

upload_2018-7-10_14-57-35.png
 
Last edited:
I am new in this web site. I hope my answer helps.

Actually, it is best for you to look up charts of the equities or other financial instrument you want to buy or sell.

As far as I do my own research, there is not a pattern for this. You will realize that with your current positions, day by day.
 
Here is my analysis of SPY since 2001. I used minute bars.

Time Highs Lows

8:30 - 9:00 22.97% 25.33%
9:00 - 9:30 10.56% 12.14%
9:30 - 10:00 6.60% 7.76%
10:00 - 10:30 4.38% 5.45%
10:30 - 11:00 3.53% 4.21%
11:00 - 11:30 2.82% 3.89%
11:30 - 12:00 3.14% 2.87%
12:00 - 12:30 2.97% 2.68%
12:30 - 1:00 3.43% 2.87%
1:00 - 1:30 4.28% 4.79%
1:30 - 2:00 5.69% 4.36%
2:00 - 2:30 7.23% 6.69%
2:30 - 3:00 22.39% 16.94%
 
1a2b3cppp said:
Over the past 5, 10, and 15 years, does the high or low of the day happen in the beginning or ending of the day
More...
Interesting questions. I want to know also. So, just did a quick test using minute data since 2009 on SPY and QQQ. See the attached PDF for the detailed summary that also breaks down to per-year, high or low, 10 minutes, 30 minutes, and 60 minutes distribution including frequency and distribution percentage.
For example on SPY,

===============================================
low distribution and percentage
Days low: 20090101 to 20180710
Minutes Frm To Freq %
0 to 29 : 697 30.70
30 to 59 : 256 11.30
60 to 89 : 171 7.50
90 to 119 : 131 5.80
120 to 149 : 111 4.90
150 to 179 : 87 3.80
180 to 209 : 59 2.60
210 to 239 : 69 3.00
240 to 269 : 75 3.30
270 to 299 : 103 4.50
300 to 329 : 90 4.00
330 to 359 : 118 5.20
360 to 390 : 302 13.30
Total days : 2269 100

===============================================
low distribution and percentage
Days low: 20090101 to 20180710
Minutes Frm To Freq %
0 to 59 : 953 42.00
60 to 119 : 302 13.30
120 to 179 : 198 8.70
180 to 239 : 128 5.60
240 to 299 : 178 7.80
300 to 359 : 208 9.20
360 to 419 : 302 13.30
Total days : 2269 100
===============================================
high distribution and percentage
Days high: 20090101 to 20180710
Minutes Frm To Freq %
0 to 29 : 587 25.90
30 to 59 : 232 10.20
60 to 89 : 143 6.30
90 to 119 : 125 5.50
120 to 149 : 74 3.30
150 to 179 : 83 3.70
180 to 209 : 63 2.80
210 to 239 : 63 2.80
240 to 269 : 86 3.80
270 to 299 : 94 4.10
300 to 329 : 127 5.60
330 to 359 : 156 6.90
360 to 390 : 436 19.20
Total days : 2269 100

===============================================
high distribution and percentage
Days high: 20090101 to 20180710
Minutes Frm To Freq %
0 to 59 : 819 36.10
60 to 119 : 268 11.80
120 to 179 : 157 6.90
180 to 239 : 126 5.60
240 to 299 : 180 7.90
300 to 359 : 283 12.50
360 to 419 : 436 19.20
Total days : 2269 100
 

Attachments

These last two sets of % charts for the SPY might be less easily digested, but they appear far more correct. I am going to do my best to take them in.
Thanks guys, I imagine it was at least a little work to compile these numbers. :)
You get my likes
 
You must log in or register to reply here.
Back
Top