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PRINT "PM" session high/low and vol
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PRINT "PM" session high/low and vol

  #1 (permalink)
Elite Member
Taiwan
 
Futures Experience: Intermediate
Platform: TradeStation
 
Posts: 40 since Jun 2010
Thanks: 6 given, 11 received

PRINT "PM" session high/low and vol

I am trying to print the PM session's HIGH and LOW and in turn find out the volatility of the PM session.

but the HIGH i got includes the HIGH in the AM session. Is there a shortcut keyword to get the PM session HIGH/LOW ?

If not, how could I modify my codes to get the PM HIGH/LOW in order to print the volatility for the PM session ?

many thanks...


vars:

myHigh (0),

myLow (0),

myPMvol (0);



if time > 1430 AND time <1630 then begin


if H > myHigh then myHigh = H;

if L < myLow then myLow = L;

myPMVol = myHigh-myLow;


end;


if time = 1615 then begin

Print("date: ", date, " time: ", time, " myHigh ", myHigh, " myLow ", myLow, " myPMvol ", myPMvol);

end;

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  #2 (permalink)
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  #3 (permalink)
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You might try resetting it once per day:

 
Code
                            


if date <> date[1then begin

 myHigh 
H;
 
myLow L;

end
So that on a new day it will reset. You could get more granular by changing date to a Session start/end time depending on your exact needs.

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  #4 (permalink)
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if date <> date[1] then begin

myHigh
= H;
myLow = L;

end;

I've tried that. The problem is that whenever the AM session high > PM session high, MyHigh is giving me the AM session HIGH.
How could I get the PM session high/low ? I've looked up the TS code manual. There's no such thing as Session High/Low.

I am trying to isolate each session's volatility and measure the serial correlation in order to get a better idea as to whether the next session is gonna be high or low vol environment.


The HSI futures trading hours are the followings:

9:45-12:30
14:30-4:15



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  #5 (permalink)
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St. Petersburg, Russia
 
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Posts: 30 since Nov 2010
Thanks: 6 given, 17 received

Why not trying the following:


if time = 1630 then begin
session_high = highest(high, N);
session_low = lowest(low, N);
end;

where N is the number of bars which constitute the session. Please note that you should use "time = 1630" and not "time < 1630" as time here refers to the bar's closing. This construction also would save a lot of computing time as there are no looped "if"'s.

Hope this helps.

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  #6 (permalink)
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ptcm View Post
if date <> date[1] then begin

myHigh
= H;
myLow = L;

end;

I've tried that. The problem is that whenever the AM session high > PM session high, MyHigh is giving me the AM session HIGH.
How could I get the PM session high/low ? I've looked up the TS code manual. There's no such thing as Session High/Low.

I am trying to isolate each session's volatility and measure the serial correlation in order to get a better idea as to whether the next session is gonna be high or low vol environment.


The HSI futures trading hours are the followings:

9:45-12:30
14:30-4:15



I don't understand how that could be the case. Are you running a 24 hour chart?

You could also just replace the first line of my code (date <> date[1]) with Doctor Leo's example of (time = 0945), in other words at 9:45am a new session begins (like my "new date" begins) and starts recording the H/L. But will only work on minute charts where the end of the bar equals 9:45am, you'll need to play with it for different size charts.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote

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