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)