Discussing the article: "Developing a Quantitative Session Analysis Tool (Part 1): Building a Data-Driven View of Market Sessions"
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Check out the new article: Developing a Quantitative Session Analysis Tool (Part 1): Building a Data-Driven View of Market Sessions.
The article presents a session analysis workflow in MQL5 that standardizes sessions as structured data with timing, OHLC, range, net move, and the sequence of extremes. It measures how range builds at 25%, 50%, 75%, and 100% of session duration. The chart shows session markers, a compact comparison panel, and an interactive inspector to review individual occurrences.
Market sessions provide a natural way to divide the trading day into distinct periods, yet their behavior is often reduced to simple visual markers on a chart. A session may have a defined opening and closing time, but its range, direction, and the order in which its high and low develop can vary considerably from one occurrence to another.
This raises a more useful question: can a trading session be represented as structured data rather than simply a box on the chart?
In this article, we begin developing a quantitative session analysis tool in MQL5. The goal is not to predict session behavior, but to establish a foundation for measuring it consistently. Each session will be converted into a structured record containing its price characteristics and selected measurements of how its range develops over time.
The resulting data can then be presented through chart markers, a comparison panel, and an interactive session inspector, allowing the same information to be viewed from both a broader and a more detailed perspective.
Author: Francis Nyoike Thumbi