ES 1st hour day HIGH/LOW studies

May 23rd, 2020, 07:56 AM

Hello everyone,

I am interested in doing a ES(mini S&P futures) 1st hour HIGH/LOW studies. 0ver 80% of my profits were made in the first hour of trading taking entry points at the 1st reversal. I am not able to find strategies to be consistently profitable during other time of day. Hence, I just want to focus on the first hour and research further.

Given that my programming ability is very limited, can someone please share what's the easiest way to find out the exact time when the HIGH and LOW was printed in the first hour of trading in both EasyLanguage and Python maybe ?

thanks a lot.

May 23rd, 2020, 01:48 PM

It's interesting that most of your profitable trades have been in the first hour of trading. It's almost always higher in volatility for most markets, especially stock indices, but it can also be a really difficult period to predict, as there can be a lot going on in terms of execution, for example:

Daily time-frame strategies that execute on the bar open
Profit taking (a lot of Larry William's strategies us the 1st profitable opening for exits, for example)
Funds positioning themselves in reaction to overnight price changes
Opening range breakouts
Gap trades

I would recommend looking at Tony Crabel's book 'Day Trading with Short Term Price Patterns and Opening Range Breakout'. It's old, but will still provide some valid definition and context for you. It should be pretty easy to find a free PDF to download. One of the main ideas discussed in the book is successful opening range breakouts following narrow range days (or multiples thereof) . . . You mention trading reversals . . . So you could explore whether the opposite is true - are reversals of failed opening range breakouts that follow a wide-range day more likely to be profitable?

Hopefully someone with Python/Easylanguage experience can help you to develop the code you need for your studies. Alternatively, teach yourself (EasyLanguage is called that for a reason), or hire a programmer. For EasyLanguage for TradeStation I've used https://www.delphictrading.com/tradestation-programming-service/ before and got what I needed, but nothing beats learning a language yourself so that you can continually adapt your code and explore new ideas as you develop them. Also, if you understand the code and the underlying concept, you can easily reproduce it if you decide to switch platforms.

Hope that helps!

May 24th, 2020, 03:03 PM

DavidCarmichael

... I would recommend looking at Tony Crabel's book 'Day Trading with Short Term Price Patterns and Opening Range Breakout'. It's old, but will still provide some valid definition and context for you. It should be pretty easy to find a free PDF to download. One of the main ideas discussed in the book is successful opening range breakouts following narrow range days (or multiples thereof) . . . You mention trading reversals . . . So you could explore whether the opposite is true - are reversals of failed opening range breakouts that follow a wide-range day more likely to be profitable?

Thank you for the book recommendation!

May 24th, 2020, 06:45 PM

Pachomius

Thank you for the book recommendation!

No worries

I just did some googling - it looks like Crabel's a hedge funder nowadays - he's no doubt using more sophisticated methodologies than discussed in that old book, judging from the number of PhD types he employs, but it is interesting to note that what he does is still systematic in nature and mostly intraday . . .

June 21st, 2020, 10:57 PM

Here's an alternative to using trendlines that might help. I call it: Displaced plots. One benefit to this approach is that the line values can be set to appear in the price axis...so set your scaling to 1.

Code

using elsystem; 
 
inputs: 
	HighColor(Green), 
	LowColor(Red), 
	PlotBarsRight(5), 
	PlotBarsLeft(0);   
 
variables: 
	BarsRight( MinList( GetAppInfo(aiSpaceToRight), PlotBarsRight ) ), 
	BarsLeft( MaxList( 0, PlotBarsLeft ) ), 
	Idx(0); 
 
if LastBarOnChartEx then 
begin 
 
	for Idx = -BarsLeft to BarsRight 
	begin 
		Plot1[-Idx](Low + Range[1], "High", HighColor); 
		Plot2[-Idx](Low - Range[1], "Low", LowColor); 
	end; 
	 
	SetPlotColor[BarsLeft + 1](1, Transparent); 
	SetPlotColor[BarsLeft + 1](2, Transparent); 
 
end;

ES 1st hour day HIGH/LOW studies

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ES 1st hour day HIGH/LOW studies