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biggest round trip move each day, descriptive statistics.

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quintana roo, méxico
Posts: 78 since Mar 2013
Thanks: 222 given, 38 received

biggest round trip move each day, descriptive statistics.

good day to everyone,

i am trying to find some descriptive statistics for financial instruments, and i don't know whether there already exists an indicator that provides the information i have in mind or whether it would be possible to put some code together in easylanguage, ninjascript, spreadsheet software or other free software so that it would calculate the following.

for a financial instrument, let's say the fdax or the nk, i would like to know what is the biggest round trip price movement for each day. so, let's say the fdax is trading at 13,000 points at 900 cet, then by 1200 cet it has gone up to 13,300 and by 1500 cet it is back again at 13,000 and below, all in one same single day session. these are the kind of moves i am interested in measuring, where the price for some instrument goes up for a large number of ticks and then goes back again by that same number of ticks or greater inside one single session (it would be the same with large declines that are completely erased within the same session, i'm mostly interested in the absolute value of the moves).

the range (high minus low) of a day provides the greatest move inside one given session, but i'm only interested in the biggest move each day that was made and then completely erased inside one single session.

maybe someone knows of an indicator or a company that has already generated this kind of statistics. i will greatly appreciate any suggestions or pointers, thanks.

Last edited by maggtrading; February 13th, 2018 at 10:01 PM.
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