biggest round trip move each day, descriptive statistics. | Traders Hideout - futures trading strategies, market news, trading charts and platforms

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biggest round trip move each day, descriptive statistics.

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Could calculate yourself. The higher the granularity of the bar the greater the accuracy.
For everybar we can assume the market either went OHLC or OLHC. So in every bar the smallest maximum move is 2 * Range - Max Of (O-C, C-O). So on up bars the min is 2 * Range - C + O and on down bars 2* Range - O + C.
It's a little bit like VWAP though, to get the perfect answer you'd have to perform the calculation tick by tick.

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