Projected average daily ranges

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carlosleon2005
Last seen: 16 hours 21 min ago
Joined: 03/31/2011 - 00:00
Projected average daily ranges

Hi all,

Just wanted to get a sanity check on an indicator I am trying.

I want to have a visual of the projected average daily range, based on the prior 3-day ADR.

Two separate indicators - one for the projected hi, and one for the projected low.

Do you see anything wrong with the approach shown in the attached example?

Thank you in advance!

0
Eddy_F
Last seen: 3 months 1 week ago
Joined: 07/30/2014 - 16:18
Hello,

Hello,
this is a good exercise about defining MPD tokens, always a tricky exercise.
In fact, what is a bit unclear in your request is whether
a) you want to project the average daily range at a given time of the day (lets 1 pm) based on the range achieved during the 3 past day (aka the average HL range which was completed for each past 3 session for the interval between the session opening time and 1 pm)
b) or if the value you want to display with these indicators (at 1 pm) the projected high and low (at the session close) based on the average of the HL range of the past 3 completed sessions...

From your wording, I think you meant b) so for the time being, i will stick with that hypothesis
If this is the case, then you don't need to use the SESST token (inside the MPD) in order to access (on your intraday chart) the HL range of the past 3 completed days , but rather a simple MA token defined as in the screenshot below (ie referring to the HL range)
More specifically (and that's the trick), you need to refer in your MPD definition to a custom indicator defined as MA.1, as you want to exclude the ongoing HL range (of the current day) from the calculation.
I have created a daily and an intraday charts to make the whole MPD definition easier to understand
https://www.linnsoft.com/charts/0-intraday-chart-nq
https://www.linnsoft.com/charts/0-daily-chart-nq

with the screenshot herebelow summarizing all definitions.

Finally, regarding the way you calculate the projected daily high and low, I am a bit puzzled as the difference between both values won't be equal to the past 3 days HL daily range.. On my side, i would have defined them as follow :
Projected High = 0.5*(SESST LO+SESST HI) + 0.5*MPD
Projected Low = 0.5*(SESST LO+SESST HI) - 0.5*MPD
This way, you will be able to clearly see whenever the current range of the day might surpass the projected range.
Cheers
Eddy