PRINT "PM" session high/low and vol

December 18th, 2010, 09:17 AM

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;

December 18th, 2010, 08:51 PM

You might try resetting it once per day:

Code

                            


if date <> date[1] then 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.

Mike

December 19th, 2010, 02:50 AM

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

December 23rd, 2010, 02:36 PM

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.

December 23rd, 2010, 11:09 PM

ptcm

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

PRINT "PM" session high/low and vol

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PRINT "PM" session high/low and vol