Here’s another one that might be interesting: sorted by time. Are there certain periods of the day that are consistently inside bars, or even better, consistently making HH or LL?
Thanks to conditional formatting, certain things pop out easier. There definitely seems to be some order here.
1. Obviously the first hour has to be either HH or LL, sine it is impossible to be an inside bar.
2. New HH and LL are most likely to be made early in the first couple hours of the day. Although this is intuitive, it does have a bolster effect on what is actually occurring in the market. It’s easy to be tricked into thinking that the Asian session is very range bound and the real action doesn’t pick up until after London Open, but these statistics are showing that moves are being made in the Asian session.
3. London open (3:00) still provides a good probability to make a new high or low of the day.
4. After the first hour of NY open, the probability for new HH/LL have a tendency to dry up, and the market is much more likely to be range bound.
Here are some more condensed versions:
With so much information, what to look at? On the most basic level the right most side, where data is simply split between either an extreme or IB (inside bar) is the most easy to look at. Just compare linearly. We’re expecting 100% at the top, and a low percentage on the bottom. Any big blips are a caution sign that that hour might have more action potential. And there are two. %s drop from 100 down until 1:00, where there is a 14% increased chance for a daily range break, before dropping off again, and another 10% increase at 7:00. Huh.
There’s a somewhat….amusing theoretical edge with the most extreme model: pips aside, there are statistical edges to betting into a range direction after a certain time. Aka, after 3:00, it is safe, more than 50% of the time, if the day is bullish, to short and place a stop loss above the high. Doing so anytime before then statistically lends itself to being hit.