50-150 pips is about 80% of the distribution, with 50% of the range narrowing down to between 65-110 pips. Due market volatility I prefer to use medians here, so about 50% of the time the range the daily bar will be right around 85 pips. On another twist from a very old post, I’m not surprised at all that the range of H1 bars is nowhere close to the range of d1 bars / 24. Most of a days range is made up of just a few bars, and using ratios and percentiles narrows down that range to be, for the most part, somewhere between 5 to 8 bars.
A simple question like this led me to ask a lot of questions, some which I’ve discovered before, some which I was too lazy to compute (or didn’t see the value in) and others that I couldn’t find a good way to work on. I’m going for really long posts now, so let’s see how many I can cover 😉
How many bars actually contribute to a days range? How many bars are basically inside bars within the context of the day’s range?
The result is surprisingly bell-curved:
So if on average it takes 5-8 bars to have the same range as the daily range, and it takes on average 9-12 bars to contribute to that same daily range, then what’s the relationship between the bars and their contribution? What does that look like? What’s the correct way (if there is one) to measure this? I thought of two ways to do this; The first would be to check each bars additional contribution as a percentage of the days total range. Using the example picture above, bar 1 would be maybe 20%, bars 2/3/4 would be fairly small, and bar 5 would also maybe be 20%, and so on. The second would the check bar contribution as a percentage of the days range at the time the bar extends the range. The difference here would be that bar 1 is always 100%, and bars 2/3/4, while still small, are much bigger in this version than they would be in the first version. Since this is only really useful in a predictive sense I went with the latter.
Here are some results covering the 6-12 bar range:
The top is the % increase in range, and the left are counts of bars that meet that criteria. The interpretation of this is that for bars that increase the daily range by 0-5%, this occurs 0 times, 15% of the time. It’s a bit abstract for sure. It’s hard to take too much away from it, but one thing to note is the top right corner. Only 2% of the time does a day contain 0 bars that extend the range 25% or more. In other words, 95% of the time, there is at least 1 bar that extends the current range by 25% or more.
It turns out, perhaps not so unexpectedly, that this tends to occur very frequently in the first bar that breaks range:
Some other numbers regarding this:
Probability that none of the first 3 expansion bars are greater than 25%: 10.5%
Probability that none of the first 3 expansion bars are greater then 25 + one of the bars following is 25%+: 86%
It’s kind of interesting and provides some good spots for single bar explosions, but very difficult to spot these visually without a program constantly updating numbers.
Overall, more questions than answers but I did add more knowledge to my base of what bars look like in the context of a day.