Analyzing Open Location on High-Volatility Days with Sigma Spikes

Summary

This indicator studies where a bar's open falls within its high-low range, converting that location to a percentage and accumulating observations into bins from the low to the high. The resulting distribution highlights how often opens occur near either extreme. A volatility filter can limit the observations to bars whose return, scaled by the prior rolling return standard deviation, exceeds a configurable threshold; a histogram displays that normalized return measure alongside the distribution.

The accompanying discussion suggests that a concentration of opens near the range extremes on high-volatility days may help researchers investigate early-session directional trades. This is a hypothesis for exploration, not a tested entry rule: the document reports no backtest results, sample characteristics, or risk controls. The code accumulates bins across chart history and refers to open location within the day's range, so interpretation depends on the chart timeframe and data used.

Key ideas

• Open location is measured as a percentage of the bar's high-low range and tallied in bins.
• The optional filter retains observations when the return scaled by lagged rolling volatility exceeds a threshold.
• The distribution can reveal whether opens cluster near the range high or low on selected high-volatility bars.
• The proposed use for early-session trades is presented as a possibility, without reported testing or performance evidence.
• Interpretation depends on the bar timeframe and the data represented by each bar.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.