As of 11/27/2023
Indus: 35,333 -56.68 -0.2%
Trans: 14,904 -190.22 -1.3%
Utils: 866 -0.47 -0.1%
Nasdaq: 14,241 -9.83 -0.1%
S&P 500: 4,550 -8.91 -0.2%
|
YTD
+6.6%
+11.3%
-10.5%
+36.1%
+18.5%
|
 35,450 or 34,050 by 12/01/202315,400 or 14,150 by 12/01/2023900 or 825 by 12/01/202314,450 or 13,550 by 12/01/20234,600 or 4,350 by 12/01/2023 |
As of 11/27/2023
Indus: 35,333 -56.68 -0.2%
Trans: 14,904 -190.22 -1.3%
Utils: 866 -0.47 -0.1%
Nasdaq: 14,241 -9.83 -0.1%
S&P 500: 4,550 -8.91 -0.2%
|
YTD
+6.6%
+11.3%
-10.5%
+36.1%
+18.5%
| |
|
35,450 or 34,050 by 12/01/202315,400 or 14,150 by 12/01/2023900 or 825 by 12/01/202314,450 or 13,550 by 12/01/20234,600 or 4,350 by 12/01/2023 | ||
My book,
Swing and Day Trading
$ $ $
This article discusses research that finds the most common minutes when price reaches the intraday high and low.
Price reaches the day's high and low often within the first minute of the stock's open. Within the first hour of trading, the day's high occurs 49% of the time and price reaches the day's low 46% of the time, on average.
A May 2011 article in Active Trader magazine titled, "Intraday swing extremes," gave me the idea for this research. Their staff tested the E-Mini Nasdaq 100 futures to determine when price is most likely to set the day's high and low.
I decided to test this for stocks.
I used a database covering both bull (2/2003 to 12/2005) and bear (2/2007 to 2/2009) markets on 55 stocks. That gave me over 60,300 samples of data on the 1-minute scale.
For each day, I found the day's high and low and logged when those occurred. From the analysis, I excluded all half trading days, such as half days before a market holiday.
| Period | High | Low |
|---|---|---|
| First minute | 10% | 9% |
| First half hour | 40% | 37% |
| First hour | 49% | 46% |
| Last hour | 19% | 20% |
| Last half hour | 14% | 14% |
| Last minute | 3% | 3% |
The results were similar to what Active Trader staff reported in their article. Most of the time, the intraday high or low is set early in the session, often in the first minute. Activity remains high for several minutes after the open and tapers off until near the end of the trading day. Within a few minutes of the close, activity picks up again and price may post new highs or lows then, but the level is about a third of the opening minutes.
The table shows the results.
For example, in the first minute, price reaches the day's high 10% of the time. The first minute also sees price making the day's low 9% of the time.
Another example: The first hour sees price post the day's high 49% of the time and the day's low 46% of the time.
-- Thomas Bulkowski
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