Measuring Intraday Session Ranges, Volume, and Price Behavior

Summary

This indicator profiles five configurable intraday sessions and summarizes their historical behavior for a chosen market. For each session, it records range, volume share, whether it set the day’s high or low, directional closes and continuation, fair value gaps and their survival, swing breaks, and pivot-based higher highs or lower lows. Session ranges are normalized by the previous day’s ATR so comparisons across different volatility conditions are more meaningful. A weekday filter and a live label comparing today’s range with historical averages and percentiles support intraday monitoring.

The document suggests using these statistics to compare sessions, set expectations for range extension, and filter gap-based or reversal setups. It describes the indicator’s design and readings, but supplies no empirical results showing that these measures improve trading outcomes. Statistics depend on loaded history, session definitions, chart timezone, and clock changes; the author notes that session times need adjustment around mismatched Europe and US daylight-saving transitions. The indicator is an analytical aid, not a validated trading strategy.

Key ideas

• Session ranges are divided by the prior day’s ATR to make historical comparisons across volatility regimes.
• The profiler tracks session range, volume share, daily extremes, direction, gaps, and swing behavior.
• A live percentile reading compares the current session range with that session’s history.
• Session definitions depend on chart timezone and may need adjustment during daylight-saving transition weeks.
• The document describes possible applications but provides no evidence of trading performance.

Tags

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