Index Statistics and Session Level Analysis Indicator Strategy Guide

Index Statistics and Session Level Analysis

Strategy & Functionality Guide

Introduction

Index Statistics and Session Level Analysis is a MetaTrader 4 indicator designed specifically for trading stock indices. Unlike forex pairs that trade 24/5, stock indices have defined trading sessions with official open and close times. This indicator filters all calculations to focus on official session data, providing cleaner statistics and more relevant price levels.

Why Session-Based Analysis Matters

Most brokers provide continuous price feeds for indices, including overnight data. However, the official cash market session is where institutional activity occurs. This indicator:

• Calculates moving averages using only session candles
• Tracks highs/lows within session boundaries
• Provides separate session vs daily statistics
• Analyses gap behaviour based on session closes

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Core Features

Price Level Lines

Session Levels:

• Today's Open - The opening price of the current session
• Previous Close - Yesterday's session closing price
• Previous Session High/Low - Yesterday's session extremes

Daily Levels:

• Previous Daily High/Low - D1 candle extremes (may differ from session if overnight moves occurred)

Weekly Levels:

• Last Week High/Low - Key weekly support/resistance

Dynamic Levels:

• Today's High/Low - Updates throughout the session
• Globex High/Low - Pre-market range (optional)

Session Markers

• Vertical lines at session open and close
• Numbered candles from session open (1, 2, 3...)
• Bar 18 highlighted (statistically significant point)

Bias Detection

Identifies market control based on consecutive strong closes:

• "Bulls in Control" - Multiple bullish candles closing near highs
• "Bears in Control" - Multiple bearish candles closing near lows
• "Potential Range" - No clear directional pattern

Session Moving Average

A moving average calculated using only session candles, ignoring overnight data that would distort the calculation.

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Understanding Gaps

Stock indices gap between sessions. The difference between yesterday's close and today's open creates opportunities:

• Gap Up: Today opens above yesterday's close
• Gap Down: Today opens below yesterday's close

Gaps often act as magnets - price frequently returns to "fill" the gap. The statistics panel shows historically how often gaps fill.

Gap Size Significance

The indicator expresses gap size as a percentage of Average Daily Range (ADR):

• Small gap (<20% ADR): More likely to fill
• Medium gap (20-40% ADR): Moderate fill probability
• Large gap (>40% ADR): May indicate news; less predictable

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Statistics Panel Sections

TODAYS BIAS

What it shows:

• Current directional bias based on candle patterns
• Price position relative to session MA

How to use:

• "Bulls in Control" (green): Favour buying dips, holding longs
• "Bears in Control" (red): Favour selling rallies, holding shorts
• "Potential Range": Consider range-bound strategies
• Strongest signals when bias and MA direction agree

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D1 BARS

Definitions:

• Bull: Higher high AND higher low than previous day
• Bear: Lower high AND lower low than previous day
• Inside: Range contained within previous day
• Outside: Range exceeds previous day both directions
• Streak: Consecutive days of same type
• ADR: Average Daily Range

How to use:

• Bull% exceeding Bear% indicates uptrend
• Inside days precede breakouts
• Long streaks suggest overextension
• ADR sets realistic profit targets

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SESSION

Same analysis as D1 but using only session data. ASR (Average Session Range) is typically smaller than ADR and more relevant for intraday targets.

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SESSION GAP STATS

What it shows:

• Today's gap direction and size in points
• Gap size as percentage of ADR
• Historical average gap sizes
• Percentage of gaps that filled during session

How to use:

• Compare today's gap to average
• High close % favours gap fade trades
• Small gaps fill more reliably than large gaps

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SIMILAR GAP +/-X%

This section finds historical days with gaps similar to today (same direction, within ±15% of gap size as % of ADR).

What it shows:

• Number of matching days found
• What percentage of similar gaps filled
• Average candle number when gap filled
• Percentage that reached each key level

How to use:

This is powerful for probability-based trading:

• 80%+ gap close rate = high probability fade
• Avg Gap Close tells you WHEN to expect the fill
• "Hit" percentages show which levels are likely targets
• Low "Hit" percentage = don't expect that level today

Example: Similar gaps show 79% closed by candle 8. If you're at candle 12 with no fill, odds are decreasing.

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OPEN INSIDE/ABOVE/BELOW

Analyses based on where today opened relative to yesterday's session range:

• OPEN INSIDE: Between yesterday's high and low
• OPEN ABOVE: Above yesterday's session high
• OPEN BELOW: Below yesterday's session low

How to use:

Open position is a powerful filter:

• OPEN BELOW with 0% Hit Prev Sess High = don't hold longs expecting new highs
• OPEN ABOVE with low Hit Prev Sess Low = pullbacks may be shallow
• Use "Hit" percentages to set realistic targets

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SIMILAR GAP + OPEN

The most refined analysis - combines BOTH similar gap AND same open position. This finds the most directly comparable historical days.

How to use:

Smaller sample size but highest relevance:

• 88% gap closed = very high probability fade
• Candle 6 average = expect fill within 30 minutes (M5)
• 75% hit previous session low = likely target
• 25% hit previous session high = don't expect it

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The Bar 18 Concept

Statistical analysis shows that by bar 18 (approximately 90 minutes on M5), the market has typically established 80% of its daily range. The indicator highlights bar 18 to alert you when this threshold approaches. There is a high probability that the daily high or low is already established at this point.

Trading implication: After bar 18, extreme new highs or lows become less probable. Fade moves toward new extremes after this point.

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Reading Probability Data

When interpreting "Hit" percentages:

• 70%+ = High probability, expect this level to be reached
• 50-70% = Moderate probability, possible but not certain
• 30-50% = Lower probability, don't rely on it
• <30% = Unlikely, don't expect this level today

Always compare the sample size (number in parentheses). Larger samples provide more reliable statistics.

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Trading Strategies

Strategy 1: High-Probability Gap Fade

Setup:

1. Similar Gaps Closed 70%+
2. SIMILAR GAP + OPEN confirms with similar or higher percentage
3. Bias not strongly against fade direction

Entry:

• Gap up: Short near open or after small push higher
• Gap down: Long near open or after small dip

Target: Previous close (gap fill)

Stop: Beyond Globex high/low or today's extreme

Management: Use Avg Gap Close candle as timing guide. If gap usually fills by candle 8 and you're at candle 15, consider exiting.

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Strategy 2: Trend Day Recognition

Setup:

1. Large gap (>30% ADR)
2. Bias matches gap direction
3. Open position is ABOVE (gap up) or BELOW (gap down)
4. Similar Gap + Open shows LOW gap close % (<40%)

Entry: Trade with gap direction after pullback to session MA

Target:

• Gap up: Previous daily high
• Gap down: Previous daily low
• Check "Hit" percentages to confirm probability

Stop: Below MA or day's low/high

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Strategy 3: Bar 18 Range Fade

Setup:

1. Bar 18 approaching
2. Note current session high and low
3. Calculate if 80% of ASR achieved

Entry: Fade moves toward new extremes after bar 18

Rationale: New extremes after 80% range completion are statistically less probable.

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Strategy 4: Weekly Level Bounce

Setup:

1. Price approaches last week's high or low
2. D1 BARS shows current trend context
3. Rejection candle pattern at level

Entry: Fade at weekly level with confirmation

Target: Previous close or today's open

Stop: Beyond weekly level by 0.5x ASR

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Strategy 5: Open Position Edge

Setup:

1. Check OPEN section for strong edge
2. Example: OPEN BELOW shows 0% Hit Prev Sess High

Entry:

• If 0% hit upside target, short any rally with confidence
• If high % hit downside target, target that level for shorts

Rationale: Historical data shows what's realistic for this type of day.

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Combining Multiple Factors

The strongest trades occur when multiple factors align:

1. Gap Analysis: What does Similar Gap say about fill probability?
2. Open Position: Does this support or contradict?
3. Combined Data: What does Similar Gap + Open show?
4. Current Bias: Is intraday momentum aligned?
5. Key Levels: Which levels have high "Hit" probability?

Example Setup:

• Gap down 14% ADR
• Similar Gaps: 82% closed, avg candle 7
• Open Below previous range
• Similar Gap + Open: 88% closed, 75% hit previous daily low
• Bias: Bears in Control

Trade: Short rallies, target previous daily low, expect gap fill within 35 minutes. Don't expect yesterday's high to be reached.

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Strategy Tester Usage

Enable screenshots to capture each session for pattern study. Filenames include:

• Gap direction and size
• Open position
• Whether ADR was achieved

This allows sorting screenshots to study specific patterns (e.g., all gap-down days that opened below range).

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Best Practices

1. Set session times correctly - This is critical for accurate statistics
2. Use appropriate sample size - 100 days balances relevance with sample size
3. Consider sample size in statistics - 8 matching days is less reliable than 30
4. Don't fight strong statistics - If 0% of similar days hit a level, don't expect it today
5. Use toggle buttons - Hide irrelevant levels to reduce chart clutter
6. Combine multiple factors - Strongest edges come from confluence
7. Respect Bar 18 - Range expansion after this point is less common
8. Adjust Similar Gap Range - 15% is default; increase for more matches, decrease for stricter matching

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Glossary

• ADR: Average Daily Range (D1 candle high-low)
• ASR: Average Session Range (session high-low only)
• Gap: Difference between today's open and yesterday's close
• Gap Fill/Close: Price returns to previous close
• Globex: Pre-market/overnight session
• Inside Day: Range within previous day's range
• Outside Day: Range exceeds previous day both directions
• Session: Official trading hours (excluding overnight)