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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.
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.
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.