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

[digitalnomad]

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
View attachment 192354

Don't give away all the secrets

Seriously though, if anyone wants to make trading a business, this type of time series analysis is a starting point for building a trading model, with definitive and measurable parameters. Don't listen to these clowns on ET who claim billionaire status trading support/resistance without a roadmap. It's not as simple as just looking at the high/low of the first hour. They're all full of shit. Don't drink the Kool-Aid, and do the proper quant work.

 

[They]

Laissez Faire,

Is that 31.25 daily range a 24 hour session?

Ah, the rabbit hole of data...

RTH range vs Night Session vs 24hr

We have all viewed the stats that show in this last 9 year bull market most of the gains have occurred during the night session. Do most of the night moves take place immediately after the RTH closes when earnings come out or do they take place after EU open or around the 8:30EST reports? Look for momentum trades during the night and RTM during day?

 

[tommcginnis]

OK wrote a box around AM , midday and PM boxes . Got a daily cash range measure and box on total cash range , Will do the range measures for the 3 time periods as well when i have time or can even break it down into smaller parcels . Then we can do some exploration

View attachment 192374

NICE!

[Edit...] Jeez -- great Thinking thread going on here...

 

[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 havent been able to get 15 min data yet but looking at my hourly data, the results are not consistent with that chart at all. I subtracted the high and low to obtain the range of the bellow hourly periods. I then added up the range of those periods and calculated a % of the total range

These results dont seem crazy. The top 3 periods would be 10:30 to 11:00, the close and the open. And the lunch period seems to have quite constrained volatility (range). But it does highlight that the range of the open might be more overhyped than it really is

ps: there is a little flaw in my test because it uses dollar values, and since SPY has risen, it will weight current data more than older data. But still, the open wasn't supposed to be beaten so easily like this

 

[PistolPete]

I havent been able to get 15 min data yet but looking at my hourly data, the results are not consistent with that chart at all. I subtracted the high and low to obtain the range of the bellow hourly periods. I then added up the range of those periods and calculated a % of the total range
View attachment 192437

These results dont seem crazy. The top 3 periods would be 10:30 to 11:00, the close and the open. And the lunch period seems to have quite constrained volatility (range). But it does highlight that the range of the open might be more overhyped than it really is

I havent done any studies myself BUT the source of what ive seen is pretty impeccable and is a lot different from what you've found although the stats ive seen are 2000 sample size . I am not going to bother checking it myself at this stage

 

[digitalnomad]

NICE!

[Edit...] Jeez -- great Thinking thread going on here...

I really wish more threads like this existed. The ET forum could then live up to its name. Make ET great again

 

[PistolPete]

I havent been able to get 15 min data yet but looking at my hourly data, the results are not consistent with that chart at all. I subtracted the high and low to obtain the range of the bellow hourly periods. I then added up the range of those periods and calculated a % of the total range
View attachment 192437

These results dont seem crazy. The top 3 periods would be 10:30 to 11:00, the close and the open. And the lunch period seems to have quite constrained volatility (range). But it does highlight that the range of the open might be more overhyped than it really is



ps: there is a little flaw in my test because it uses dollar values, and since SPY has risen, it will weight current data more than older data. But still, the open wasn't supposed to be beaten so easily like this

This is just a visual i wrote up now Blue is first hour range and Orange is complete cash range . Just on a visual your stats are wrong , over weekend when i have time i will do a difference of pairs chart as %age and then collate and do an average , Id be surprised if first hour isnt 50% daily range

EDIT i just did some rudimentary moving average comparisons over the 2 inputs and ive come up with 52% as the slice of daily range from first hours range . I will do it more accurately when i have time

 

[PistolPete]

ps: there is a little flaw in my test because it uses dollar values, and since SPY has risen, it will weight current data more than older data. But still, the open wasn't supposed to be beaten so easily like this

Yes you have to calculate the first hours slice of daily range as a %age everyday then average that over 'x' periods

 

[Daal]

This is just a visual i wrote up now Blue is first hour range and Orange is complete cash range . Just on a visual your stats are wrong , over weekend when i have time i will do a difference of pairs chart as %age and then collate and do an average , Id be surprised if first hour isnt 50% daily range

EDIT i just did some rudimentary moving average comparisons over the 2 inputs and ive come up with 52% as the slice of daily range from first hours range . I will do it more accurately when i have time


View attachment 192438

I suspect the other hours will also be a significant part of the daily range

 

[Daal]

i suspect you are wrong , i think there is a flaw in your calculations . When you have finalized your spreadsheet i will show you

Average % of the daily range

Here is a typical day. Range is High - Low. Daily Range is the highest high - lowest low

I did diagonally like this to make it easier to average and treat the data. Where is the flaw?