day range vola band

Observing the daily movements from open to close can give you a nice impression on intraday support & resistance and possible break out points. Therefore you can use the day range indicator for trend trading (breakouts) and intraday targets (support/resistance). The basic version is  pre-defined in the tradesignal terminal software.

I added a volatility band around this indicator to make it more useful for trading.

 

 

The first screenshot shows you what this indicator is all about: it basically just displays the daily movement starting at zero. Thus the indicator only displays the intraday movement, without any information on the absolute level of the market or the longer term trend. The band around the indicator is a 2 standard deviation band over the last 200 candles (customize on properties page of indicator)

There are 3 possible scenarios you might use this indicator for; see screenshot for details:

A (and B): This is the normal scenario, on a normal day when nothing special happens. The market usually will touch the band (B) or penetrate it a little bit and then come back (A). Thus this indicator can be used to get an estimation for some kind of intraday profit target.

C: That`s one of the days when this indicator gives the best signals. A Crazy Day! If the market does not reverse around the band (A&B) you can bet on a nice movement until the closing bell. Have a look at screenshot 2 to get a glimpse on what can happen on such days:

The touch of the band is also an interesting point for option strategies. In this case the upper and lower bands represent some kind of action point where you might want to revisit your hedging of the position…

 

The indicator code:

Inputs: dev(2.0),period(200);
Variables:oo( Invalid ),colour;

colour=black;
If Date Date[1] Then oo = Open;
drawline(0+dev*stdev(Close - oo,period));
drawline(0-dev*stdev(Close - oo,period));
if close-oo>dev*stdev(Close - oo,period) then colour=darkgreen;
if close-oo<-1*dev*stdev(Close - oo,period) then colour=red;

DrawBar( Open - oo, High - oo, Low - oo, Close - oo,colour,colour);
Drawline( 0, "Zero Line" );

Daily high-low range

Yesterdays  high-low range can give you a great tool for finding intraday support and resistance & breakouts.

The indicator, running on an intraday chart, first calculates yesterdays high minus yesterdays low to get yesterdays daily range.

Then it takes todays high and subtracts yesterdays range from it. It does this with every new high (red line). So if the chart breaks this red line, yesterdays high – low range has been exceeded today. (reverse for the yellow line: intraday low + range)

 

Usually this breaking point shows some support/resistance when touched first during a day.  If the market shows support/resistance at this specific level and later on breaks this support/resistance, you can usually do a nice trend following trade. If you multiply yesterdays range by lets say 150%, the idea works even better, although you get less signals.

 

Exceeding yesterdays range by more than 50% usually only gives you the cras&boom days. The best days for a fast trade in the direction of the herd.

 

Indicator code:

Meta: subchart(false);
Inputs: percent(100);
Variables: r, th,tt;

r=highd-lowd;

if datedate[1] then begin
th=high;
tt=low;
end;

if date=date[1] then begin
if high>th then th=high;
if low<tt then tt=low;
end;

drawsymbol(th-percent/100*r);
drawsymbol(tt+percent/100*r);

VWAP: volume weighted average price

The vwap is a nice tool to find intraday support/resistance. It calculates the average price of the day, taking volume and price, and displays the evolving result on an intraday chart.

If you take into account the direction of the vwap and the position of the market relative to it, you get a nice setup for some intraday trend following strategies.

 

Chart of 5min german bund future

Indicator code:

Meta: subchart(false);
Variables: vw, bn,counter1, counter2;

bn=barnumber;
if datedate[1] then begin
counter1=0;
counter2=0;
vw=close;
end;

if date=date[1] then begin
counter1=counter1+close*volume;
counter2=counter2+volume;
if counter20 then vw=counter1/counter2;
end;

drawsymbol(vw);