Estimating Average Trading Range by Hour of Day

Summary

The indicator estimates the typical price range for each hour of the day on the current instrument. For each chart bar, it subtracts the low from the high, adds that range to the running total for the bar’s hour, and divides by the number of bars counted for that hour. The resulting 24 averages let a trader compare historical intraday activity and identify hours with larger average ranges.

This is a descriptive measure of price movement, not a forecast or a complete measure of liquidity: a wide high-to-low range does not reveal trading costs, volume, or the direction of price changes. The calculation uses the bars available on the chart, so its estimates depend on the instrument, timeframe, sample period, and the chart’s hour convention. The document does not provide example results, testing, or guidance on using the readings to time trades.

Key ideas

• The indicator groups chart bars by hour of day and calculates a separate average range for each hour.
• Each bar contributes its high-minus-low range to its hour’s running average.
• The 24 hourly averages can be compared to locate historically more active periods.
• The measure describes bar ranges and does not establish directional bias or account for trading costs.

Tags

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