Weekly Opening Range and Previous Data for Futures

12月8日

This indicator will not predict future price action.


This indicator is a time based range tool. These types of tools are great to use when there is not any historical data to look back on (as in all time highs/lows). The user can use this indicator to measure distributions, use deviations of the range to identify support/resistance levels, and see how historical price action influences current price action. This indicator is unique because it uses the price range from the open of the futures market on Sunday 18:00 America/New York to the open of the Bond Market 8:00 America/New York as the range for all calculations.

This indicator collects the multiple points of data from each day of the week, and gives the user many options on how to use the data that is collected. The amount of data collected is based on the time frame of the chart (best used on a 15 minute chart), but is limited to 30 minute charts.

Data Collected:

• Opening Range for the week
  
• High of Each Day
  
• Low of Each Day
  
• Close of Each Day
  

Initially the range is plotted on the chart as a box, when the Bond market opens the high/low/mid is plotted, as well as the current week open and previous week close.

How the data is used.
Intraday: Monday does not have a previous day to pull data on, so all data for Monday is intraday data. When a new high is made, the indicator will search all previous data in the lookback period for the current day , find all highs that are within a set variance (determined by the user), and plot the corresponding lows from the matching days. It will do the same for new lows that are made, with corresponding historical highs. All of these levels are plotted on the chart, as well as the Average High, Average Low. If price moves beyond either Average, the Average of all days that distributed higher than the Average is plotted on the chart as Min/Max Average.

Previous Day Data: Tuesday - Friday. After the close of the day, the user has the option to choose either the High, Low, or Close of that day to find previous data that matches within a variance determined by the user; or an option to find the n closest matches (up to 20). That data is then matched to the corresponding next day data and plotted on the chart as a box. Example: Monday closes at +1 Deviation (Dev) of the Weekly Opening Range (WOR). The user sets the variance at 0.5 (0.5 Dev of the WOR), the indicator will search the lookback period for all Mondays that closed between 1.25 Dev and 0.75 Dev of the WOR. The matching Mondays will then be matched to their corresponding Tuesdays and the data for the High and Low from those Tuesdays will be placed on the chart as a box overlaying the current Tuesday. Each match is numbered so that corresponding Highs and Lows of each historical day can be identified. The same can be done for either the High or Low of the Previous Day.


The indicator has a table that can be shown.
Data shown in table:

• Current Extension of the WOR
  
• Maximum Extension of the WOR
  
• Average WOR in %
  
• Current WOR in %
  
• Average Range for the day in % based on data set
  
• Current Range for the day in %
  
• Number of days in the data set
  
• Number of Previous Day Matches
  
• Variance for previous day data
  
• Number of Intraday High Matches
  
• Number of Intraday Low Matches
  
• Variance for Intraday Matches
  

The table as well as all lines and boxes have the option of being shown or not, as well as have their settings customized to fit the users chart layout.

As with any indicator, do not let the data shown change your trading model. Past performance is not indicative to future performance.