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Intraday Daily Range Prediction
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Intraday Daily Range Prediction

  #1 (permalink)
Elite Member
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Intraday Daily Range Prediction

Question about intraday range of markets. What tools are available that any of you have found useful to get a sense of the market being over extended to one side or the other. I know that some people use Pivot Points and say when we hit R3 on the top or S3 on the bottom the market may have gone too far and may reverse. Others may use the average daily range and once exceeded then a reversal may occur. I need help with this since I don't like to trade against the trend, but I see that often times when the market moves to fast and steep in one direction it is poised for a reversal. Any insight into this would be appreciated. I am looking specifically at intraday moves. I hope this doesn't sound too confusing.
Thanks

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  #3 (permalink)
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I'd say fib levels and vwap bands are also very popular for this.

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  #4 (permalink)
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Fibs and Vwap

Thanks for the suggestion. I have used fib extensions to project where the move might end and retracements of a larger time frame if we are going against a longer time frame chart. I find that there are many points to chose from though and for me it can get confusing. Curious to see how others project when price may be over extended.

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ChartReader View Post
Question about intraday range of markets. What tools are available that any of you have found useful to get a sense of the market being over extended to one side or the other. I know that some people use Pivot Points and say when we hit R3 on the top or S3 on the bottom the market may have gone too far and may reverse. Others may use the average daily range and once exceeded then a reversal may occur. I need help with this since I don't like to trade against the trend, but I see that often times when the market moves to fast and steep in one direction it is poised for a reversal. Any insight into this would be appreciated. I am looking specifically at intraday moves. I hope this doesn't sound too confusing.
Thanks

I would say one of the better tools is @Fat Tails current day ohlc indicator. it has the so called noise bands and also the average daily range/expansion. there's all kind of useful stuff you can do with it. you can download it here and read the description:

https://futures.io/download/ninjatrader-7/indicators/371-download.html?view

I like the noise bands (orange) and the daily expansion (green)

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  #6 (permalink)
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Thanks. I think those target bands are going to be useful. I also see some stuff on the previous weeks range and monthly range too. This is excellent.

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ChartReader View Post
Thanks. I think those target bands are going to be useful. I also see some stuff on the previous weeks range and monthly range too. This is excellent.

The target bands have two different settings. There is

- one setting based on the average daily range
- another setting based on the average daily expansion


Average Daily Range

There are two lookback periods n1 and n2. The average daily range is calculated for both lookback periods as the simple moving average of the daily ranges. The calculation can be performed for the full session, the night session or the regular session. The calculation depends on the selected session template.

For example, let us have a look at CL 11-13 yesterday. It was a FED day, so you may expect higher volatility than normal during the regular session. Therefore I will have a look at the 200% target (twice the average daily range).

Session template: To determine the average daily range for the regular session, a session template is needed that isolates the regular session within the trading day. This session can then be accessed by the indicator and used for determine the average (daily) range of the regular session.

Multiplier: To take into account the higher volatility, I have used a multiplier of 200. The indicator will then show a target band, which is based on the double of the average daily range of the last 10 and 20 days. The chart shows an average daily range of 133 ticks for the last 10 regular sessions, and of 145 ticks for the last 20 regular sessions. Those two values are then averaged, and the result, which is 139 ticks is used for the projections. Labor day is automatically excluded from the calculations, as the inclusion of labor day would lead to false results.

The multiple (200%) of the average daily range of the regular session is then added to the current day's low and subtracted from the current day's high. Both results are shown as target bands. The width of the target bands is calculated as a percentage of the range between the noise bands.

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Average Daily Expansion

This is an alternative method to calculate a target for the current day's price action. This target is not based on the entire daily range, but on the larger move from the open. The indicators rely on the following definitions:

- Noise: the smaller move from the open = Minimum (High - Open, Open - Low)
- Expansion: the large move from the open = Maximum (High - Open, Open - Low)

For example today the regular open was at 104.95, the regular low could be observed at 104.91 and the regular high was made at 107.44. Therefore today's noise was only 4 ticks, whereas the expansion was 249 ticks. Both noise and expansion are displayed in a data table for the current day's regular session and for the last 10 and 20 regular sessions.

Normally I would use a 100% target band, either based on the ADR or the ADE, I have only increased the multiplier to 200% because of the FED day.

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Below attached is the session template required, if you wish to display target bands for the regular session. If you wish to display them for the full session, this is not needed.

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Full Session Target Bands

If you set the indicator to "ETH", it will display the full session target bands, which are based on the volatility of the entire past sessions. If you use single session templates, the volatility of that single session will be used.

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  #8 (permalink)
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@Fat Tails

Do you see any value in a mode type average for the ADR (or something within a standard deviation) ? On many instruments you have range type days and trending type days.

On the FDAX - the range type days have an ADR of around 50 and trend type days of 100.

The ADN levels often function well as targets for Range type days but I would be interested in digging deeper into this.

It can be done by eye but mine at least are deceptive !

p

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  #9 (permalink)
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podski View Post
@Fat Tails

Do you see any value in a mode type average for the ADR (or something within a standard deviation) ? On many instruments you have range type days and trending type days.

On the FDAX - the range type days have an ADR of around 50 and trend type days of 100.

The ADN levels often function well as targets for Range type days but I would be interested in digging deeper into this.

It can be done by eye but mine at least are deceptive !

p

The point is that you do not really know, whether a trading day will become a ranging day or a trending day. But you can always make a guess based on past price action

- if the prior day has closed near the midline, a breakout is more likely
- if several prior days have been closing near the same level, a breakout is even more likely
- if the prior day was a strong trending day, you may expect some sort of consolidation

Let us take today. Yesterday was a FED day with a huge range, as markets celebrated Quantitative Easing No. 8 (I cannot count them anymore). Today, I would expect some sort of balancing price action, as the newly conquered territories need to be explored.

The sentiment is still bullish, so I would still favor to trade the market from the long side. In such a scenario you could try to use the lower noise bands and/or the pivot range to enter a long position.

The noise bands are not yet displayed prior to the regular open, but with a current price of about 1723, the lower noise bands should show around 1720.

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