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biggest round trip move each day, descriptive statistics.

  #7 (permalink)

Point Roberts, WA, USA
 
Trading Experience: Advanced
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Broker/Data: IB
Favorite Futures: ES
 
aquarian1's Avatar
 
Posts: 3,674 since Dec 2010
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My thought is:
A set a variation min threshold eg. 1/4 3day ATR - (not sure if you need this)

at open:
set daymax and daymin = open
set roundtripmax=0

each min test:

if high >daymax then daymax=high
if low <daymin the daymin =low
daydif1=daymax-daymin

if daydif1 > threshold then
if daymin is less than open then
firstptlow=daymin
else firstpthigh=daymax

/testing for crossdown of firstpt low/
if daymax Crossdown firstptlow then roundtripmaxnew = daymax-low
if roundtripmaxnew>roundtripmax then roundtripmax = roundtripmaxnew

/testing for crossdown of firstpt high/
if daymix crossdown firstpthigh then roundtripmaxnew = high-daymin
if roundtripmaxnew>roundtripmax then roundtripmax = roundtripmaxnew

if time > 1500 and roundtripmax>0 then writetofile date, roundtripmax

repeat for new day

-perhaps not complete but you get the idea.. :-)

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