Time of Day of Highs, Lows

Here is what I found looking at when the day’s high or low is reached during the day, using intra day IWM data from Interactive Brokers.  Before 10AM, 1/3 of the highs and lows have  been reached, 11:30-2:00PM rarely ( a little over 10% of the time) has the day’s highs or lows, and then it picks up again into closing.  So, if IWM has reached a higher high during the middle of the day, it is highly likely it will have a higher high towards the end of the trading day.  Similarly if a low was reached in the middle of the day, it is likely a lower low will print later in the day.   The last column reinforces this.  If the high of the day is reached early in the day, then the low, on average, will be reached 4 hours later – towards the end of the day.  A similar statement can be made with respect to an early low will have a later (afternoon) high.  So, if IWM is making new highs at 10, 11.. it will likely be a trending day in Dr. Brett’s terminology and continue making highs into the afternoon.

TIME # OF DAILY LOWS Cumulative Cum. % # OF HIGHS Cum. Cum. % avg hours from low
9:30 -9:30 19 19 5% 37 37 10% 4.33
9:31-9:45 63 82 22% 54 91 24% 4.67
9:46-10:00 38 120 32% 28 119 32% 3.83
10:01-10:30 42 162 43% 25 144 39% 2.65
10:31-11:00 19 181 49% 26 170 46% 3.48
11:01-11:30 15 196 53% 12 182 49% 1.32
11:31-12:00 7 203 54% 6 188 50% .8
12:01-12:30 14 217 58% 5 193 52% .87
12:31-13:00 13 230 62% 12 205 55% -2.02
13:01-13:30 6 236 63% 11 216 58% -2.7
13:31-14:00 5 241 65% 17 233 62% -2.93
14:01-14:30 21 262 70% 13 246 66% -4.08
14:31-15:00 18 280 75% 24 270 72% -3.93
15:00-15:30 20 300 80% 25 295 79% -4.68
15:31-16:00 60 360 97% 63 358 96% -5.27
16:00-16:30 13 373 100% 15 373 100% -5.72
Advertisements

2 Responses to “Time of Day of Highs, Lows”

  1. James W Says:

    Hey,
    Very informative post, thanks. It is always nice to quantify market patterns in order to get a better read on a trade’s potential risk vs reward.

    By the way, I would assume that by the nature of markets, similar statistics would apply to the S&P 500 and the Nasdaq 100?

    Regards

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s


%d bloggers like this: