Notes

• 1895 days were tested.
• 1127 days price moved above IBH and then came back to test IBH
• Of those 1127 days, 617 closed above the IBH (54.7%) and 510 closed below IBH (45.3%)

Trading System: [Definition] 
 

Notes

• Over past 600 weeks, on average, Tuesday and Thursday have been very positive, Friday very negative, and Monday and Wednesday relatively flat.

Change by Day of Week Chart: [Definition]  [Image]

Notes

• The video and results below reflect a 10-minute opening range.  In order to test different opening range durations, you must open all signals ending in "_1MIN" as shown in the video, and adjust "POS > 10" to reflect the new duration, and also adjust the SESST_ORH and SESST_ORL tokens to reflect the new duration ("First 10 Minutes of Session").  You may actually plug in a user variable (i.e. V#5) into the 3 spots in all 6 indicators, and then simply change the V#5 value in one place (quotepage column).
• The Total Trades (and therefore the Percent Winners) are only considering those trades that hit the target or stop.  Not including those that would have been entered but would have finished day without hitting either target or stop.  The number in parenthesis is the number of trades that hit neither the stop or target.
• The original Opening Range Short Trades chart had an error in the calculation of the stopped out trades but has been corrected in the chart and definition below as well as the results.
• In these charts, to reach the target, we are looking for a move equivalent to the opening range.  However, to reach the stop, we are looking for price to move from 1 tick above OR to 1 tick below.  So technically, the stop is 2 ticks larger than target and would account to some degree to the hit targets outnumbering the stop outs.

Opening Range Trade Char (Long Trades): [Definition]  [Image]
Opening Range Trade Char (Short Trades): [Definition]  [Image]
Opening Range Trade Char (1-Minute Chart): [Definition]  [Image]

*In the total trades, I am only considering those that hit target or stop.  Not including those that would have been entered but would have finished day without hitting either target or stop.

Gap Statistics Chart: [Definition]  [Image]
Gap Statistics Plus Chart: [Definition]  [Image] (This chart also shows how many days the gap was recovered by 50%.  It also requires the user to set V#2 to the number of days to lookback for gap.  This number will most commonly be 1.  If V#2 is set to 2, it will look for a gap from 2 days ago instead of previous day).

Notes from Opening Statistics Video...

• Almost 1/3 of the time that price gaps 20 points in either direction, it closes that gap during the day session.
• Over 45% of the time price gaps 3 points or more, it never closes that gap and never returns to the previous close.

The study was repeated to include an upper limit on the gaps, resulting in statistics based on gaps within certain ranges.

Day Session / IB Range Ratio: In this chart, we determined that the average ratio between the Day Session Range and the IB Range was 2.15.  And on average, the Day Session Range was 10.38 points larger than the IB Range.  These averages were computed on the ES over a 1,000 day period ending 5/12/2011.

Overnight to Day Session:  In this chart, we determined that out of 1046 sessions, the days session broke out of both the high and low of the overnight session 279 times and stayed completely within the overnight range 44 times.

Volume Price Statistics: In this chart, we explored the Volume Price Statistics Indicator.

Volume Breakdown: In this chart, we explored the Volume Breakdown Indicator.

Return to Open:  Here is the Trading System Definition for the Return to Open system discussed in the Webinar.   Here is a screenshot of the optimization settings used to produce this spreadsheet.

Videos Mentioned in Webinar
  Volume Breakdown Overview 
  Trading System Videos
  Session Statistics Indicator
  Signal Statistics Indicator
 

Opening Statistics Chart: [Definition]  [Image]

Notes from Opening Statistics Video...

• These statistics are based on 1,200 day period of ES data ending 02/06/2011
• Average Move from Open: 14.71
• Median Move from Open: 11.50  (Mode: 7.00)
• Price Opened in Range 768 of 1200 days (64%)
• When opening in range, price touched both the previous high and low 77 of 768 times (10%)
• When opening in range, price touched neither previous high or low (stayed within previous days range) 124 of 768 times (16.14%)
• When opening in range, price touches either the previous high or the previous low (but not both), 73.86% of time.

VPOC Statistics Chart: [Definition]  [Image]
Spread Sheet of VPOC Stats: [htm file]   [xlsx file]

Terminology...
VPOC - Volume Point of Control - Price at which more volume traded than any other price in the profile.  In the context of this video, each profile represents one session.  So the VPOC is the price at which the most volume traded each day.

Notes from VPOC Statistics Video...

• These statistics were computed over a 1230 day period ending 12/07/2010
• Average distance between consecutive VPOC = 11.68 points (Avg distance between lows = 11.68 also.  Avg distance between highs = 10.06.  Avg distance between closes = 12.35)
• Opened above previous VPOC: 621/1230 = 50.5% of time.
• Opened below previous VPOC: 595/1230 = 48.4% of time.
• Open on previous VPOC: 14/1230 = 1.1%
• How often did price open close to previous days VPOC?
   - within 0.25: 46 (3.7%)
   - within 0.50: 71 (5.8%)
   - within 1 point: 108 (8.8%)
   - within 2 points: 218 (17.7%)
   - within 5 points: 468 (38.0%)
• How often did price open in previous range and touch previous VPOC?  557 (45.3%)
• How often did price open out of prev range and touch previous VPOC? 150 (12.2%)
• To change the chart to provide 24hr session numbers, simply change the chart to session 31 and the periodicity to 1425 minutes.  All stats will then reflect 24hr session data, included exported data.

I made a follow up video on 2/24/2012 which shows how to count the number of days where the IB was less than 4 and how to quickly compute the average daily range of those small IB days using a new Signal Statistics result:   [Video] [Definition]

Average Range/Volume Chart: [Definition]  [Image]
Open Out of Range Chart: [Definition]  [Image]
Up/Down Relationship Chart: [Definition]  [Image]
Spread Sheet of Sorted Ranges: [htm file]   [xlsx file]

Notes from Average Range/Volume Video...

• These statistics are based on 1,000 day period of ES data ending 11/29/2010
• Avg Range: Day Session =20.25, 24hr Session=24.25, Overnight=13.75, IB=10.00
• Avg Volume: Day Session =1.74m, 24hr Session=1.97m, Overnight=236k, IB=404k
• Median Range: Day Session =16.75, 24hr Session=20.25, Overnight=11.25, IB=8.75  (Note: Median was not demonstrated in video - Uses Statistics Indicator).
• Median Volume: Day Session =1.68m, 24hr Session=1.92m, Overnight=217k, IB=397k
• Price Open Above Prev Day Sess Range: 247/1340=18.4% of time
• Price Open Below Prev Day Sess Range: 197/1340=14.7% of time
• Up/Down Relationship: Over a 1000 day period, the day session direction agreed with overnight session direction 29 more times than it disagreed.  The relationship of day session direction to the following overnight session direction was insignificant (3 more times it disagreed over 1000 days).

Average Range and Volume Per Bracket... (1000 Days ending 11/23/2010)

Terminology...
HOD - High price traded for the day / session.
LOD - Low price traded for the day / session.

Notes from HOD/LOD Counts Video...

• Results are based on 1,000 days of data ending 11/23/10, and only considering the day session HOD and LOD and day session bars on ES.
• HOD occurs in first 30 minutes of session 24.6% of the time.  LOD 27% of the time.
• During the 2.5 hour mid-day period beginning 11:30pm ET, the HOD and LOD is rarely created (around 3% of the time for each 30-min period).
• HOD occurs in the first 5 minutes of the session 11.8% of the time.  LOD 11.6% of the time.
• The likelihood of a HOD or LOD being created in first 5 mins of session is about the same as that of a 120-min period during middle of session.  It might be interesting moving forward to make the same comparison w/ range and volume.

Terminology...
IB - Initial Balance - Range in which price traded for the first hour of the day session, typically 9:30am ET to 10:30am ET for the ES.  IBH = IB high.  IBL = IB Low.

Notes from IB Breakout Video...

• IB High Breakout Only = 36.6%, IB Low Breakout Only = 29.7%, Breakout to Both Sides = 31.6%, No Breakout = 2.1% (1,000 days ending 11/23/10)

• How often did price extend both above and below the Initial Balance of the past 500 days?   How often did it extend just above the high?  How often just below the low? (Video 1)
• How often did price open above the previous day session range over the past 100 days?  How often did it open below?
• What is the average day session range over the past 1000 days?  What is the average IB range?  What is the average overnight range?

Ideas Collected Thus Far.  (For now I'm just throwing them in as I get them.  Some may be repeats.)

• Frequency of HOD or LOD occurring within each 30 minute period.  Within each 5-min period. (Video 2)
• Relationship of overnight direction (up/down) to following day session direction (up/down) and visa versa.
• If broke down market into 5-minute increments, breakdown of the times that a new high for the day has been made. Purpose would be to see if the chances of new highs being made during lunch period are very slim, while chances of new highs being made towards end of day are much greater. One year sample size.
• Same study as above, but new high would have to be made by 1.00 or more than previous swing high.
• # of lows of day that were formed by a double bottom and triple bottom over the past year (3-minute chart)?
• How many neutral, normal variation, normal days out of a given number of days.
• Average daily range over a number of days.
• Average IB range over a number of days
• How many days open with a gap (Out of range). If so, what was size of gap and then did the gap or ½ gap close
• If open Out of Range, then did it close back with previous day range.
• Number of points previous day VPOC and current day VPOC away from each other. Example, 1170, next day 1177, then seven points away.
• Identify double tops and/or double bottoms on any timeframe, paint/mark them as well and then e able to tell if it held or not.
• If Price opens X number of points away from previous day VPOC, how many points did it close away from previous day VPOC. Example, if open >7 points away, then did it close closer than 7 points or further than 7.
• How often did price open below/above previous days VPOC?
• How often did we have a gap open with a continued drive in direction of gap of say first 2 hours
• How often did we have a gap that got closed same day
• How often did we have a gap within previous days range
• How often is the first hour's range contained with the second hours range- (could be important for ex FDAX, FESX where cash opens 1 hour after initial open, to establish which IB is the most appropriate to use)
• What percentage of todays volume is contained within first 2.5 hours?
  How often do we have trend days using following definition : open close to low and close is near the high
• How often do we have days where IB is violated on both sides with a close within IB, with a close on one of the extremes?
• What is the rotational factor of respective product?
• What days opened at or very close to previous days range extreme?
• What days opened in the middle of yesterdays range
• What days opened below/above previous days value area?
• What days had a VPOC very close to previous days VPOC
• Being able to find statistics on Opening Types and how they relate to Day Types would be helpful.
  Opening Types
  Easily quantitated
  Open Auction In Range - Opens Inside Yest Range
  Open Auction Out Of Range - Above Yest Range
  Open Drive - Drives and doesn't retest open by more than a tick. Also it respects the swings and doesn't cross previous swing hi or lo.
  
  Not easy to quantitate
  Open Test Drive - Moves to test a prior area and
  Open Rejection Reverse -Moves in the direction it was headed and reverses.
  
  Day Types
  Normal - Range is bound by IB
  Normal Variation - Breaks out above either IB hi or Lo not both
  Neutral - Breaks both IB hi and Lo but settles back inside IB
  Neutral Extreme - Breaks both IB hi and Lo but settles at one extreme Non Trend - Holiday (not relevant)
  
  So there's endless cross reference studies that could be done. I'm most interested in finding out about OAIR and OAOR opening types and typically what kind of day they turn out to be. Also, IB size, extension above/below IB, where did it close in relation to open or hi/ lo.
• How often price stop and reverse when it approach or hit:
  CHVN vs Yesterday HVN, CLVN vs Yesterday LVN, NVPOC, Yesterday (RTH) close vs Settlement
• I am learning excel. First question is how do I build a database. I was going to go thru the charts by hand for many of these data points.
• What is the effect of the o/n range on the days range? average o/n range, above and below average, extreme narrow and extreme wide o/n range.
• What is the effect of the above on the open type itself, tradable probability of open type from the above?
• Probabilities of different opening types based on open, gap up, down, above value, below value.
• Probability of day type following open type.
• Be able to extract volume for an opening swing/range to compare it to other days opening swing/range. If using your own opening swing, then would be some way to be able to pick that area and grab that volume, or be able to pick the time it took for that swing and grab that volume.
• What is most common daily range over past 250 days?
• How often did price extend just above the IB high? [to expand on this, what is the most common distance price extends past the IBH over that period of time]
• How often did price extend just below the IB low? [to expand on this, what is the most common distance price extends past the IBL over that period of time]
• For every day (historically) the ability to list Open price and then what NVPOCs and NCloses are touched and at what time. So the text file would deliver both the price touched and time.
• Another thing that I do is break down Opens and Closes into zones numerically. For Open, if we are above HOD=1, HOD>X>Value Area HI=2, if X is in upper 23% of value area =3, X is in middle 23% of value=4, bottom 23% =5, LOD<X<Value area LO=6, X<LOD=7............ Then I repeat this for the CLOSE based on End of Day Profile. Obviously if I am basing it on EOD profile, I can't have a value of 1 or 7 because I can't finish above or below value.
• On days that the price breaks the IB High/Low, how many ticks did it go past the break before it came back and hit the IB high/low? Is it possible to write a study like with that additional information. This could then be used to look at breaks of any defined level and how far the market went after the break.
• When ES gaps > (x) pts, it closed up/down (x) times the following session, and created a higher high or lower low (x) times.
  When ES creates an inside day, how frequently does the following day gap up or down? How often is that gap filled?
  How often does an expanded range (outside first standard deviation) lead to an inside day?
  Others are all related to trade specific setups, ie when close is also VPOC, how often does it provide support/resistance? Not sure if raw data from IRT can provide this? Perhaps Fractals?
• Number of days out of a set number of days ES opened in previous days range and touched previous days VPOC.
  Number of days our of a set number of days ES opened out of previous days range and touched previous days VPOC.

• What % of the time is VAH broken if we open above VAH?  and if it is broken what % of the time is POC touched?  and if it is broken what % of the time is VAL touched?  The opposite for VAL (http://www.charthub.com/images/2011/02/17/Homework_VA)

• how often gap (1 pt or more) filled when opening in previous day range (1396 days studied)
   - when opening out of range
   - when opening above an up days range (up day defined as close greater than open) - 119/185
   - when opening below an up days range - 28/47
   - when opening above a down days range - 28/38
   - when opening below a down days range - 90/120
  http://www.charthub.com/images/2011/02/17/Homework_GapClosed