Estimating the Average Trading Range by Weekday

Summary

This indicator estimates how much a market’s price range has historically varied on each weekday. For every bar, it expresses the high–low range as a percentage of the opening price, assigns that value to the corresponding weekday, and calculates a rolling average for Monday through Friday. The resulting five series can be compared to identify which weekday has had the largest average range over the selected lookback period.

The document supplies indicator code and explains its intended use, but it presents no market, lookback length, numerical findings, or evidence that any weekday’s behavior persists. The measure describes historical intraday range, not directional return or a forecast. The code’s weekday accumulation and reset logic may also warrant checking in the intended platform, and any apparent weekday pattern should be tested across instruments and periods before informing a strategy.

Key ideas

• The indicator measures each bar’s high–low range as a percentage of its open.
• It groups range observations by weekday and averages them over a rolling period.
• Comparing the weekday averages can show which day historically had the widest range.
• Range size does not indicate whether prices tend to rise or fall.
• The post provides no empirical results or evidence of out-of-sample persistence.

Tags

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