I would like to expand the communication and data sharing amongst our members. It seems that you guys are all well experienced and educated in the markets and probably come across interesting data and research often. As you recall the goal of our group is to SHARE... please share with your members and they will share with you... even a little piece of data sometimes helps spark big ideas...
Gil recently showed me a piece of research which showed the overnight movement in markets compared to daily...that inspired me to research how the markets move throughout 24 hours. So I wrote a little code to study the things I thought were important over the past 6 months on a few futures:
TrueRange = Abs(High-Low)
PriceChange = (Previous Bar Close - Last Bar Close)
OpenClose = Abs(Bar Open - Bar Close)
ATRange = Average True Range (last 3 bars)
Let me know what you guys think of this and I look forward to seeing some of your stuff.
$EURUSD 6 Months @ 24 hours
ES 6 months @ 24 hours
GC 6 months @ 24 hours