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Written by and copyright © 2005-2018 by Thomas N. Bulkowski. All rights reserved. Disclaimer: You alone are responsible for your investment decisions.
See Privacy/Disclaimer for more information. Some pattern names are the registered trademarks of their respective owners.
My book,
Swing and Day Trading  ,
discusses when securities reach the intraday high and low starting on page 193. I show a picture of the book on the left. By clicking this link and buying the book, you help support thepatternsite.com.
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This article discusses research that finds the most common minutes when price reaches the intraday high and low.
Intraday High-Low Summary
Price reaches the day's high and low often within the first minute of the stock's open. Within the first hour of trading, the day's high occurs 49% of the time and price
reaches the day's low 46% of the time, on average.
Intraday High-Low Background
A May 2011 article in Active Trader magazine titled, "Intraday swing extremes," gave me the idea for this research. Their staff tested the E-Mini Nasdaq 100 futures to determine when
price is most likely to set the day's high and low.
I decided to test this for stocks.
Intraday High-Low Methodology
I used a database covering both bull (2/2003 to 12/2005) and bear (2/2007 to 2/2009) markets on 55 stocks. That gave me over 60,300 samples of data on the 1-minute scale.
For each day, I found the day's high and low and logged when those occurred. From the analysis, I excluded all half trading
days, such as half days before a market holiday.
Intraday High-Low Results
When Does Price Hit the Day's High/Low?
| Period | High | Low |
|---|
| First minute | 10% | 9% |
| First half hour | 40% | 37% |
| First hour | 49% | 46% |
| Last hour | 19% | 20% |
| Last half hour | 14% | 14% |
| Last minute | 3% | 3% |
The results were similar to what Active Trader staff reported in their article. Most of the time, the intraday high or low is set early in the session, often in the first
minute. Activity remains high for several minutes after the open and tapers off until near the end of the trading day. Within a few minutes of the close, activity picks up again
and price may post new highs or lows then, but the level is about a third of the opening minutes.
The table shows the results.
For example, in the first minute, price reaches the day's high 10% of the time. The first minute also sees price making the day's low 9% of the time.
Another example: The first hour sees price post the day's high 49% of the time and the day's low 46% of the time.
-- Thomas Bulkowski
Written by and copyright © 2005-2018 by Thomas N. Bulkowski. All rights reserved. Disclaimer: You alone are responsible for your investment decisions.
See Privacy/Disclaimer for more information. Some pattern names are the registered trademarks of their respective owners.
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