Day session statistic
futures io futures trading


Day session statistic
Updated: Views / Replies:952 / 9
Created: by jonnytrade Attachments:6

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you dont need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Day session statistic

  #1 (permalink)
Moscow/Russia
 
Trading Experience: Intermediate
Platform: Investor RT, Overcharts
Broker/Data: NT Brokerege/Rithmic
Favorite Futures: NQ,YM,CL,GC
 
jonnytrade's Avatar
 
Posts: 432 since Apr 2016
Thanks: 53 given, 251 received

Day session statistic

Hello,
Thank you Chad what you are answer to my previous question! It realy help to understand same moment during trading.
And now i have same additional qestion about session statistic. On your forum and in library iam understand what i can do my task and IRT powerful! But i don`t now how i can do it.

Qestion:
1. I want understand how offen $NQ_F cross VWAP during 1 hour afer market open;
1. I need day session statistic for last 1-2 year (or less) for NQ;
2. I have same rule for it :
- Price $NQ_F when US stock market open;
- VWAP price;
3. Four sceanrio:
1. If price higher then VWAP, but different less then 20$
2. If price higher then VWAP, but different more then 20$
And same two sceanrio for lower price then VWAP

And iam prepare same picture for example:
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


How i can collect this day session statistic?

In aditional I don`t now it possible or not have additional parametr - Volatility;

Best regards and wait same answer

Visit my futures io Trade Journal Reply With Quote
 
  #2 (permalink)
Rome Italy
 
Trading Experience: Beginner
Platform: ProRealTime
Favorite Futures: Dax
 
carlo1982's Avatar
 
Posts: 3 since Jan 2019
Thanks: 0 given, 2 received

Hello, sorry for the question but i am approaching RT since few time. Does RT have a sort of Wizard to extract any daily or intraday statistic without complex language code?
Where can i get more info about the matter?


Thanks

Inviato dal mio Mi MIX 3 utilizzando Tapatalk

Reply With Quote
 
  #3 (permalink)
Milton, GA
 
Trading Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker/Data: DTN IQFeed
Favorite Futures: ES
 
LS Chad's Avatar
 
Posts: 165 since Apr 2010
Thanks: 2 given, 142 received

VWAP Stats


Hi Jonny,

It looks like you posted this a LONG time ago and I apologize for just now seeing this. I'll be glad to help with this if you're still interested. Some questions...

If it price touches VWAP maybe several times (on several bars) during the 1st 60 minutes of a session...you just want count that as 1, right? In other words, you just want to know each day if it touched or not and not how many times it touched it?

And then when day session begins, you want to know how often price is 20 points or more above VWAP, how often 20 points or more below VWAP, how often above VWAP but within 20 points, and how often below VWAP but within 20 points, correct? And when measuring this difference, I assume you'd like me to use the closing price and closing VWAP of the bar that ends just before the day session begins? Is there a periodicity you'd like to use for this? 5-min?

Follow me on Twitter Reply With Quote
 
  #4 (permalink)
Milton, GA
 
Trading Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker/Data: DTN IQFeed
Favorite Futures: ES
 
LS Chad's Avatar
 
Posts: 165 since Apr 2010
Thanks: 2 given, 142 received


carlo1982 View Post
Hello, sorry for the question but i am approaching RT since few time. Does RT have a sort of Wizard to extract any daily or intraday statistic without complex language code?
Where can i get more info about the matter?


Thanks

Inviato dal mio Mi MIX 3 utilizzando Tapatalk

Carlo,

You'll find many examples including some videos with detailed explanation of Homework, Research, and Statistical studies in Investor/RT on this page: https://www.linnsoft.com/homework

Follow me on Twitter Reply With Quote
 
  #5 (permalink)
Milton, GA
 
Trading Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker/Data: DTN IQFeed
Favorite Futures: ES
 
LS Chad's Avatar
 
Posts: 165 since Apr 2010
Thanks: 2 given, 142 received

VWAP vs Close at Day Session Open

Below is a cool view of the difference between price and VWAP at the moment the day session opens each day. Each dot represents a different day. A value of 10 would mean price opened 10 points higher than VWAP on that day. The profile on the right accumulates the number of days we hit each level.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Follow me on Twitter Reply With Quote
 
  #6 (permalink)
Milton, GA
 
Trading Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker/Data: DTN IQFeed
Favorite Futures: ES
 
LS Chad's Avatar
 
Posts: 165 since Apr 2010
Thanks: 2 given, 142 received

VWAP Opening Stats

As this chart demonstrates: https://www.linnsoft.com/charts/vos-vwap-opening-stats-nq

Of the past 2000 days on NQ, price touched the VWAP during the 1st hour of day session trading 1606 times or 80% of the time. Bottom pane profiles the distance from price to the VWAP at the open of each day session.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Follow me on Twitter Reply With Quote
 
  #7 (permalink)
Moscow/Russia
 
Trading Experience: Intermediate
Platform: Investor RT, Overcharts
Broker/Data: NT Brokerege/Rithmic
Favorite Futures: NQ,YM,CL,GC
 
jonnytrade's Avatar
 
Posts: 432 since Apr 2016
Thanks: 53 given, 251 received

Hello))

Hello, Chad
Thank you for answer. Good answers never too late)) I`m already made this statistic. Yes, exactly last post it what i need. And if you are here I have additional question about this stat. We can check the days when price does not hit VWAP and look how far price from VWAP was at this day.
Example: Price 9430; VWAP 9400. That means different 30$. And look what with probabilities in different case.

Thanks!

Visit my futures io Trade Journal Reply With Quote
 
  #8 (permalink)
Milton, GA
 
Trading Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker/Data: DTN IQFeed
Favorite Futures: ES
 
LS Chad's Avatar
 
Posts: 165 since Apr 2010
Thanks: 2 given, 142 received


jonnytrade View Post
Hello, Chad
Thank you for answer. Good answers never too late)) I`m already made this statistic. Yes, exactly last post it what i need. And if you are here I have additional question about this stat. We can check the days when price does not hit VWAP and look how far price from VWAP was at this day.
Example: Price 9430; VWAP 9400. That means different 30$. And look what with probabilities in different case.

Thanks!

So on these days where price did not touch during 1st hour of day session, you want to the max distance that price moved away from VWAP? And you want this max distance only during 1st hour of day session of for entire day session?

Follow me on Twitter Reply With Quote
 
  #9 (permalink)
Moscow/Russia
 
Trading Experience: Intermediate
Platform: Investor RT, Overcharts
Broker/Data: NT Brokerege/Rithmic
Favorite Futures: NQ,YM,CL,GC
 
jonnytrade's Avatar
 
Posts: 432 since Apr 2016
Thanks: 53 given, 251 received


LS Chad View Post
So on these days where price did not touch during 1st hour of day session, you want to the max distance that price moved away from VWAP? And you want this max distance only during 1st hour of day session of for entire day session?

Hello,
Chad, this is question ONLY if you have a time for it. That is very interest but not very important for me.
Scenario: Day when price does not hit VWAP during first hour after open.
Question: Where was PRICE and VWAP when market open and what different. For Long scenario: d = PRICE - VWAP(price)
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Visit my futures io Trade Journal Reply With Quote
 
  #10 (permalink)
Milton, GA
 
Trading Experience: Intermediate
Platform: Investor/RT, MarketDelta
Broker/Data: DTN IQFeed
Favorite Futures: ES
 
LS Chad's Avatar
 
Posts: 165 since Apr 2010
Thanks: 2 given, 142 received

Non-Touch Days - Distance


Here is a plot of the distance from VWAP to Price, at the open of the day session, on days where VWAP and price did not touch during the 1st 60 minutes of the day session. Is that what you're looking for?

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


And here is the chart definition with this plotted in the lower pane: https://www.linnsoft.com/charts/vos-vwap-opening-stats-nq

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Follow me on Twitter Reply With Quote

Reply



futures io Trading Community Platforms and Indicators Investor/RT > Day session statistic




Upcoming Webinars and Events (4:30PM ET unless noted)
 

futures io is celebrating 10-years w/ over $18,000 in prizes!

Right now
 

$250 Amazon Gift Cards with our "Thanks Contest" challenge!

Right now
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Numbers Bars bar statistic slickiam Sierra Chart 4 February 24th, 2014 05:23 AM
Forex/futures Statistic Question alchemist74 Currencies 2 April 19th, 2013 10:36 AM
24hr session plots day session open artfuls NinjaTrader 2 December 19th, 2012 09:40 AM
Maximum Daily Price Fluctuation reached - historical statistic MaxPayne Traders Hideout 8 February 21st, 2012 04:30 AM
Statistic to the rescue trendisyourfriend The Elite Circle 6 September 22nd, 2010 10:41 AM


All times are GMT -4. The time now is 06:57 PM. (this page content is cached, log in for real-time version)

Copyright © 2020 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts