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Definition of a trending day


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Definition of a trending day

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  #11 (permalink)
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I really only call those days where you slap a trendline on the data and it matches the straight line a trend day. But for your type of analysis, I would consider something along the lines of FatTails suggestion and keeping it relatively simple.

For an uptrend day:
open within X% of day low
close within X% of day high
low occurs during first Y hours of day
high occurs during last Z hours of day

Luger

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  #12 (permalink)
Market Wizard
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You could use volume as metric, you could also count how many GAP stays unfilled on a 30 minutes chart. By GAP, i mean wide range bar where the bar before and the bar after do not touch leaving behind an empty space. There would obviously be no equivalent WRB in the other direction etc. The range of day could be measured and the final close above or below the previous day. After noon as wrote FatTails there should not be a reversal but continuation. In other words, continuation after noon making HH or LL.


Big Mike View Post
I want to clarify...

I want to identify a trend day using hindsight, not in real time. This is for statistics gathering.

What is the simplest definition of a trend day, so it can be programmed into Excel?

It seems we cannot really agree so far on what a trend day is (without ambiguity).

Mike


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  #13 (permalink)
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An explanation found at traderslog.com

Tip
A trend day occurs when there is an expansion in the daily trading range and the open and close are near opposite extremes. The first half-hour of trading often comprises less than 10% of the day’s total range; there is usually very little intraday price retracement. Typically, price action picks up momentum going into the last hour — and the trend accelerates. A trend day can occur in either the same or the opposite direction to the prevailing trend on daily charts. The critical point is that the increased spread between the high and low of the daily range offers a trading opportunity from which large profits can be made in a short time. Traders must understand the characteristics of a trend day, even if interested only in intraday scalping. A trader anticipating a trend day should change strategies, from trading off support/resistance and looking at overbought/oversold indicators to using a breakout methodology and being flexible enough to buy strength or sell weakness. A trader caught off guard will often experience his largest losses on a trend day as he tries to sell strength or buy weakness prematurely. Because there are few intraday retracements, small losses can easily get out of hand. The worst catastrophes come from trying to average losing trades on trend days. Fortunately, it is possible to identify specific conditions that tend to precede a trend day. Because this can easily be done at night when the markets are closed, a trader can adjust his game plan for the next day and be prepared to place resting buy or sell stops at appropriate levels.

Classic Trend Day – A large opening gap created a vacuum on the buy side. The market opened at one extreme and closed on the other. Note how it made higher highs and higher lows all day. Also, volatility increased in the latter part of the day–another characteristic of trend days.


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  #14 (permalink)
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Fat Tails View Post
This is my definition of an uptrending day:

- The market opens near or at the low of the day.
- The market closes near or at the high of the day.
- The daily range is above average.

This about sums it up for me. No need to get more complicated than this.

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  #15 (permalink)
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As Gary mentioned, for shorter term traders you can have a trend day that trended up half of the day, and then trended down for the other half of the day. But, I think most longer term traders consider a trend day where the market opens low and closes high (or vice versa). So, for those traders, how about this definition:

A day where the market closes above the open (or vice versa), and never retraces more then x% during the day. That would tend to describe the market as moving linearly in just one direction. The smaller you define x, the more linear you require the trend to be, regardless of slope.

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  #16 (permalink)
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Big Mike View Post
I want to clarify...

I want to identify a trend day using hindsight, not in real time. This is for statistics gathering.

What is the simplest definition of a trend day, so it can be programmed into Excel?

It seems we cannot really agree so far on what a trend day is (without ambiguity).

Mike

If you want to quantify it, you will need to decide in a somewhat arbitrary fashion on several factors.


Uptrending Day:

Open lies within the lower 20% of the daily range: open <= low + 0.2 * (high - low)
Close lies within the upper 20% of the daily range: close >= low + 0.8 * (high - low)
True Range must be larger than ATR(3) of preceding day: TR[0] > ATR(3)[1]

Downtrending Day:

Open lies within the upper 20% of the daily range: open >= low + 0.8 * (high - low)
Close lies within the lower 20% of the daily range: close <= low + 0.2 * (high - low)
True Range must be larger than ATR(3) of preceding day: TR[0] > ATR(3)[1]


Questions:

-> why did I suggest 20% and not 15% or 25 % of the daily range?
-> why did I suggest the average true range and not the range?
-> why did I compare the true range to the prior 3-day average and not the 5-day average?
-> why didn't I take into account absence of sellers or buyers?

Answer:

The artist is allowed to use any colors whatever he likes best!

There is no formal definition available, so you may add your personal flavor to the story.

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  #17 (permalink)
Market Wizard
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What about a day that opens within the lower 20% of the daily range and close within the upper 20% of the daily range but makes a couple of repeated visits at both extremities before finally closing at one end. A range day could fit this definition, no?





Fat Tails View Post
If you want to quantify it, you will need to decide in a somewhat arbitrary fashion on several factors.


Uptrending Day:

Open lies within the lower 20% of the daily range: open <= low + 0.2 * (high - low)
Close lies within the upper 20% of the daily range: close >= low + 0.8 * (high - low)
True Range must be larger than ATR(3) of preceding day: TR[0] > ATR(3)[1]

Downtrending Day:

Open lies within the upper 20% of the daily range: open >= low + 0.8 * (high - low)
Close lies within the lower 20% of the daily range: close <= low + 0.2 * (high - low)
True Range must be larger than ATR(3) of preceding day: TR[0] > ATR(3)[1]


Questions:

-> why did I suggest 20% and not 15% or 25 % of the daily range?
-> why did I suggest the average true range and not the range?
-> why did I compare the true range to the prior 3-day average and not the 5-day average?
-> why didn't I take into account absence of sellers or buyers?

Answer:

The artist is allowed to use any colors whatever he likes best!

There is no formal definition available, so you may add your personal flavor to the story.


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  #18 (permalink)
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trendisyourfriend View Post
What about a day that opens within the lower 20% of the daily range and close within the upper 20% of the daily range but makes a couple of repeated visits between both of these extremes before finally closing at an extreme. A range day could fit this definition, no?

But with an above average range, price will have a hard time to make it forth and back several times. The market must have gone completely mad.

Can you find an example for a range day with several visits all over the place but an above average range?

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  #19 (permalink)
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Fat Tails View Post
But with an above average range, price will have a hard time to make it forth and back several times. The market must have gone completely mad.

Can you find an example for a range day with several visits all over the place but an above average range?

But still the possibility is there. That's a conceptual bug

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  #20 (permalink)
Market Wizard
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trendisyourfriend View Post
But still the possibility is there. That's a conceptual bug


Yes, there are some cases, where it actually happened......



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