How wider do you think is SPY's open range vs the mid-day range?

[Daal]

Everybody knows that at the open the market is volatile and things tend to cool down during the mid-day period. So I ask, how wider on average do you think is SPY's open range is relative to mid-day? I will bring the answer to the question (which I used 2 years worth of hourly data to obtain) later in the thread
I'm defining range as High - Low (hourly), open as the first hour, mid day as the time between the first and last hour

 

[MarkBrown]

using "natural hour bars" or hour bars that end with ":30 minutes"?

if using :30 minute ending bars what is defined as mid day because it falls in between two bars?

also how many bars are you using in your average? what is the length input for the average?

*yearly being 7 bars a day x 250 days a yr =1750 average length?

ok gave it another shot in light of the lack of details.

spx open range .9660 and mid range .7215 about 25%

 

[tommcginnis]

Fun question.
I'm not a SPY watcher, but from ES/SPX, a reasonable gamble would be almost twice as far, which allies with your >70% ("wider") choice.

Thanks for posting.

 

[Daal]

using "natural hour bars" or hour bars that end with ":30 minutes"?

if using :30 minute ending bars what is defined as mid day because it falls in between two bars?

also how many bars are you using in your average? what is the length input for the average?

*yearly being 7 bars a day x 250 days a yr =1750 average length?

ok gave it another shot in light of the lack of details.

spx open range .9660 and mid range .7215 about 25%

The bars end with
10:30
11:00
12:00
13:00
14:00
15:00
16:00

So, 1 hour for the open (9:30 to 10:30). 4.5 hours for mid-day and 1 hour for the close. I removed all the early close days from the sample (4 instances) to make it easier to test different stuff without having to adjust for them

 

[Daal]

My initial result was 17%, hence I put the lowest answer in the poll as 20%. But then I found an issue with my calculation and found out its actually only 6%! I wrote an article about it, it contains the data used and the spreadsheet with the stats
http://www.beathft.com/?p=146

If anyone finds a mistake or has any comments, I'm all ears

 

[PistolPete]

i sort of dont see Midday as 4.5 hours and as such given its 4.5hr vs 1hr i think way too much skew in stats . i think the pertinent thing would be to break it down to closer time periods or just compare lets say 15m bar ranges over entire day , now this data i found on net here is from early 2018 and i appears to be a clearer view of range distribution over day . I cant verify the accuracy of these stats but from my observations over 20 years trading it looks good to me . I could write my own code to verify it but it is just not a priority for me .

 

[They]

How about calculating range expansion of those same time periods?

For example, if the first hour has a High/Low range of 10 points, by what percent was that range actually expanded in the other two time frames?

 

[Daal]

How about calculating range expansion of those same time periods?

For example, if the first hour has a High/Low range of 10 points, by what percent was that range actually expanded in the other two time frames?

I thought about this as well and I might do some testing with regards to that. If it turns out that mid-day doesnt do much in terms of range expansion, then it might make sense to develop some mean reversion strategies based on support and resistance

 

[Daal]

i sort of dont see Midday as 4.5 hours and as such given its 4.5hr vs 1hr i think way too much skew in stats . i think the pertinent thing would be to break it down to closer time periods or just compare lets say 15m bar ranges over entire day , now this data i found on net here is from early 2018 and i appears to be a clearer view of range distribution over day . I cant verify the accuracy of these stats but from my observations over 20 years trading it looks good to me . I could write my own code to verify it but it is just not a priority for me .

View attachment 192354

I'm trying to get a hold of 15 min data to try to replicate this test

 

[MarkBrown]

the best day trading model i have ever seen for the sp futures is based on 3 - 135 minute bars. it segments the day perfectly into 3 phases. morning, midday, afternoon.