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Strange Oscillation of Prices High - Low

13 July 2017, 00:37

Reza Anvari

130

Price changes and trend lines show us that there isn't any permanent pattern for a day or any periods of time. But chart of High and Low differences has a daily oscillation. I drew chart of High minus Low for different currency pairs. I added Open minus Close chart to them to clarify no meaningful pattern in O-C chart at that period of time.

The following picture is H-L and O-C curves for EURCAD. Red for H-L and blue for O-C with -0.001 offset.

High-Low and Open-Close

To filter ripples I used MA(6) for both curves. The following pictures are some examples of H-L swing. We can see a sinusoid H-L curve, despite of price movement and O-C changes:

EURCAD H-L O-C MA(6)

USDCAD H-L O-C MA(6)

The minimum size of price candle happens at morning and maximum size of it at afternoon (GMT).

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Taufiq 2017.08.14 02:32 #1

Hi Reza,

Why don't you put both oscillation on the same level (overlapping)?

How could we make a strategy from this?

Perhaps it will be clearer if it is filtered with ADR (?)

Thank you.

Reza Anvari 2017.08.14 22:41 #2

Taufiq:

Hi Reza,

Why don't you put both oscillation on the same level (overlapping)?

How could we make a strategy from this?

Perhaps it will be clearer if it is filtered with ADR (?)

Thank you.

Hi Taufiq

I checked it first, both curves, and there was not any meaningful relation between them. So I separated them to show that there is just H-L daily oscillation.

I think it useless for any strategy (or may be not and I'm wrong!). Perhaps it just shows the economic daily cycle, weak in the morning and powerful in afternoon (GMT).

The curve draws High minus Low for each candle. ADR reveals the average of the day variations. Or maybe I didn't understand what you mean, did I? Please tell me if you want to see the overlapped chart, I'll send it.

Thanks

Reza Anvari 2017.08.14 23:27 #3

Taufiq:

Hi Reza,

Why don't you put both oscillation on the same level (overlapping)?

How could we make a strategy from this?

Perhaps it will be clearer if it is filtered with ADR (?)

Thank you.

Here is the chart:

Blue line is HIGH-LOW, Red line is OPEN-CLOSE and Green line is ABS(OPEN-CLOSE).

I didn't know! The absolute value of OPEN-CLOSE has almost similar shape to HIGH-LOW. It means that in the afternoon (GMT) EURUSD has its longest candles and the smallest at morning and midnight.