Friday, January 16, 2009

ES - Time of daily highs and lows (updated)

These stats confirm what Linda teaches about Taylor: reversals typically occur in the morning and most days trade from low-to-high or from high-to-low.

As such, they are useful if your trading style is focused on capturing the main theme of the day (they are of less importance if you are a TTF scalper).

The statistics can give you the confidence to stay with a trade, or to get in to a trade midway through the day and play for an afternoon new HoD / LoD.

However, the stats are not the holy grail. They must be put into context, which for me means considering:
  • Where are we in this auction (i.e. how many days have we traded high-to-low or low-to-high)
  • The strength of the current auction
  • Price action vs the Previous Day High (PDH) / PDL and the Open
  • Price action vs significant support / resistance areas
  • etc etc.

Chart 1: Frequency distribution of High of Day (HoD) and Low of Day (LoD) in each 30-min bar.

Chart 2: Frequency distribution of HoD and LoD in each 30-min bar on High Made First days.

Chart 3: Frequency distribution of HoD and LoD in each 30-min bar on Low Made First days.

Chart 4: Number of 30-min bars between HoD and LoD

The letters are the standard Market Profile characters for each 30-minute bar
B = 8:30 - 9:00am CT – the first 30-min bar for ES
C = 9:00 – 9:30am CT
D = 9:30 – 10:00am CT

(n.b. The letters were the original half-hour time codes at the CBOT)


1 comment:

Eyal said...

Interesting analysis, may I ask what type of research tool you're using or know of that can data mine in this way and produce such stats?

Thanks for an interesting blog.