EURUSD session activity

[Purple Brain]

That second chart tells a real story sir. Without looking at the charts you can tell it's a spikey little devil - lots of wick compared to body aka lots of volatility and no trend.

The traders at the shortest end of the trading timeframe spectrum see things a little differently I imagine.

Does anyone who typically trades on just one timeframe ever find themselves dropping down a level or two to catch smaller absolute pip moves but with a more tradeable trend in these circumstances or do you tend to just sit it out and wait for the patterns in your chosen timeframe - or trade something else which is showing signs of life in your chosen timeframe?

LV - excellent research, it's a pleasure to see a different approach to slicing the data.

 

[Liquid validity]

That second chart tells a real story sir. Without looking at the charts you can tell it's a spikey little devil - lots of wick compared to body aka lots of volatility and no trend.

The traders at the shortest end of the trading timeframe spectrum see things a little differently I imagine.

Does anyone who typically trades on just one timeframe ever find themselves dropping down a level or two to catch smaller absolute pip moves but with a more tradeable trend in these circumstances or do you tend to just sit it out and wait for the patterns in your chosen timeframe - or trade something else which is showing signs of life in your chosen timeframe?

LV - excellent research, it's a pleasure to see a different approach to slicing the data.

True about the ranging.
Personally I don't use time frames at all.
I use static session timing based on volatility.
Thereafter, trade management purely at tick level resolution.

 

[Shakone]

I'm doing this from 2013 back to 2004.
I'll chuck the lot up if there is interest.
Any requests, shout out now - EURUSD only for time being though
as thats my primary interest

Since you offered...

Can you take the absolute value of the open-close and average that, and put it next to the hourly range.

 

[Liquid validity]

Since you offered...

Can you take the absolute value of the open-close and average that, and put it next to the hourly range.

You mean disregard the negative O/C values yes?
Plot them all as positives, i.e. same as Hi / Lo range?
If thats what you meant, yeah np, I should've done that anyway...tidier if nothing else.

 

[Shakone]

You mean disregard the negative O/C values yes?
Plot them all as positives, i.e. same as Hi / Lo range?
If thats what you meant, yeah np, I should've done that anyway...tidier if nothing else.

Well I just think if you do the average of open-close, you get directions cancelling eachother and the final figure for the average becomes small. So yeah all positives.

 

[random12345]

Since you offered...

Can you take the absolute value of the open-close and average that, and put it next to the hourly range.

Funny as how we chat about all this, the E/U is spiking all over the place and generally being a bit sh!tty.

Odd action today. End of summer vacations mixed with war jitters, don't think anyone wants to be on the wrong side of that move.

Or err whatever it was that influences markets from the holy grail thread. I never actually figured it out.

 

[Liquid validity]

Well I just think if you do the average of open-close, you get directions cancelling eachother and the final figure for the average becomes small. So yeah all positives.

slaps head, that took a while to click
**** me, I'm slipping...
Yeah no problem.

 

[Liquid validity]

Well I just think if you do the average of open-close, you get directions cancelling eachother and the final figure for the average becomes small. So yeah all positives.

Yeah, select range as array
=SUM(ABS(RANGE))

 

[Liquid validity]

Yeah, select range as array
=SUM(ABS(RANGE))

Actually don't need an array, this works:
=ABS(D3-G3)*10000

Back later

 

[Liquid validity]

Well I just think if you do the average of open-close, you get directions cancelling eachother and the final figure for the average becomes small. So yeah all positives.

Fixed it
I'll crack on with the whole lot now 04-13
unless there are any other suggestions.
May do daily Hi/Lo plot by date as well.

 

[random12345]

Fixed it
I'll crack on with the whole lot now 04-13
unless there are any other suggestions.
May do daily Hi/Lo plot by date as well.

Damn fine work.

Anecdotally it looks correct too, which is always nice.

 

[Shakone]

Fixed it
I'll crack on with the whole lot now 04-13
unless there are any other suggestions.
May do daily Hi/Lo plot by date as well.

The difference between close and open is approx half the range of the bar

 

[Liquid validity]

The difference between close and open is approx half the range of the bar

Yeah I know what you mean, I had to do a double take,
thinking I'd screwed up again.
Check the 11:00 bar - less than half.
Good observation though
Good suggestion as well

 

[Purple Brain]

Not that I'm suggesting you should or could graph this as I don't think your datafeed would hold data at this level for any useful period, but you said in another thread you use tick action for trade management. If you could hypothesise what your graph might look like at tick level, would you be interested in getting in/staying in when the OC range was equal or almost equal to the HL range and interested in getting out/staying out if there were a major difference?

Apologies if I'm going off on a tangent and if I am, please ignore.

 

[Liquid validity]

Not that I'm suggesting you should or could graph this as I don't think your datafeed would hold data at this level for any useful period, but you said in another thread you use tick action for trade management. If you could hypothesise what your graph might look like at tick level, would you be interested in getting in/staying in when the OC range was equal or almost equal to the HL range and interested in getting out/staying out if there were a major difference?

Apologies if I'm going off on a tangent and if I am, please ignore.

TBH it isn't anything to do with OHLC data in any shape or form.
Its pretty much all about how far offside / onside the trade is,
with certain measures that track that at tick level.
Sounds more complicated than it actually is in reality.

 

[random12345]

TBH it isn't anything to do with OHLC data in any shape or form.
Its pretty much all about how far offside / onside the trade is,
with certain measures that track that at tick level.
Sounds more complicated than it actually is in reality.

Hopefully that tick level check isn't momentum based due to the significant difference between broker ticks and live ticks.

 

[Liquid validity]

Hopefully that tick level check isn't momentum based due to the significant difference between broker ticks and live ticks.

Yeah with you on that, no it doesn't use momentum or tick volume at all.
As you say, off exchange, its bogus.

I didn't explain it very well really.
Rather than basing exits on m15 / m5 / m1 or a tick chart bar close,
It doesn't calculate on bar close at all.

TBH it doesn't actually need a chart to run at all.
I just do it that way as Ninja needs a chart open
to save historical and replay data, and as a visual monitor.

Personally, as far as automation goes, bar closes
are a massive red herring for me.

Thats why these charts I've posted are useful up to a point,
the weakness being the arbitrary time series base.
Ideally I would have preferred continuous plots of tick
data.

 

[wackypete2]

Or err whatever it was that influences markets from the holy grail thread. I never actually figured it out.

Please don't get that started here!

Peter

 

[Liquid validity]

Done

 

[wackypete2]

Excellent work. Busy bee you are!

Just look at the difference in the US session between 2010 and this year. Awful. Of course, volatility is down across most markets and time frames but avg high/low near 10 pips is downright depressing.

Well done

Peter