Note: This video on
Exporting All Chart Data
will be valuable to anyone doing their homework.
Video 10: Statistical Studies via
Trading System Tools: This video describes how to flexibly
produce statistical results using Trading System Tools. This method
can be especially beneficial when several events are required to
occur sequentially within a day or session. In this specific
example, we look fro price to trade above the Initial Balance High (IBH),
then retest then IBH. We then count the number of times these events
occurred and priced closed above the IBH or below the IBH. The
definition for the Trading System featured in the video can be
- 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]
Video 9: Change by Day
of Week: This video compares the change in price by day of week
and accumulates this data over a 600 week period.
- 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]
Change By Day Of Week
Video 8: Opening
Range Trades: This video discusses the how to setup chart to
monitor and track the opening range trades.
- 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
- 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.
Video 7: Gap
Statistics: How often does price gap up or down on the ES?
And when it does, how often is that gap closed?
Gap Statistics Chart: [Definition] [Image]
Gap Statistics Plus Chart: [Definition]
(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
- Over 45% of the time price gaps 3
points or more, it never closes that gap and never returns to the
The study was repeated to include an
upper limit on the gaps, resulting in statistics based on gaps within
Video 6: IOAMT Webinar:
Video Recording of Webinar. The charts, topics, and statistics
below were covered in the webinar. Chart and system definitions
are provided for easy reproduction.
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
Overnight to Day Session:
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
Videos Mentioned in Webinar
Volume Breakdown Overview
Video 5: Opening
Statistics: What is the maximum distance that price moves from the
open of the day session each day? What is the average max move?
What is the median max move? How often does price open in
previous days range? When opening opening in range, how often
does it touch both the previous days high and low? How often
does it touch neither?
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
- Price Opened in Range 768 of 1200
- 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%
Video 4: VPOC
Statistics: How do I export daily VPOC (Volume Point of Control)
to excel along with open, high, low, close and volume for further
analysis? How far on average was VPOC from previous day VPOC? How often did price open below/above
previous days VPOC? What days had a VPOC very close to
previous days VPOC? How often did price open in previous range and
touch previous VPOC? How often did price open out of range and
touch previous VPOC?
VPOC Statistics Chart: [Definition] [Image]
Spread Sheet of VPOC Stats: [htm file]
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 =
- 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?
How often did price open out of prev range and touch previous VPOC?
- 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.
Video 3: Average
Range/Volume and Other Tendencies: What is the average range and
volume of the initial balance, the overnight period, the day session,
the 24hr session? How often does price open above/below previous
day session range? What is the relationship of overnight
direction to day session direction and visa versa?
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]
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]
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).
(Note: Min is questionable due to
holidays and partial sessions.)
Average Range and Volume Per Bracket...
(1000 Days ending 11/23/2010)
Video 2: HOD and LOD
Counts: How frequently does the HOD or LOD
occur within each 30 minute bar/bracket? within each 5 minute
bar? [Definition] [Image]
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
Video 1: IB Breakout:
How frequently does price break above the IB high, below the IB low,
to both side, or stay inside the IB for the duration of the session?
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)
|I will be continuing a new video series over
the next two weeks on "Homework, Research, Statistics". I'm
currently collecting ideas on this front to be covered in the videos.
Below are a few examples. Please submit ideas to
firstname.lastname@example.org and title the
email "Homework". Many question seem to be related to day types and
opening types. If anyone can share information about how to identify
these types programmatically, please send that along. As I produce
the videos, I will also share the chart definitions and the statistical
results on this page.
- 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
- How often did price open above the
previous day session range over the past 100 days? How often did it
- 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
- What is the rotational factor of
- What days opened at or very close to
previous days range extreme?
- What days opened in the middle of
- What days opened below/above previous days
- 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.
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.
Normal - Range is bound by IB
Normal Variation - Breaks out above either IB hi or Lo not both
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
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
- 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
- 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
- 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
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.
% 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