Initial Balance High Low Statistics – Nifty Futures
In the last post about Initial Balance Statistics, I had run a back test on the Initial Balance range and had presented the comparison whether we should use 9:15 am to 10:15 am as the First hour range or 9:00 am to 10:00 am as the 1st hour range where we consider the database start time at 9:00 am and use the first 45 minutes of trading range as the Initial balance range and we found that the 9:15 am to 10:00 am adds value to various others parameters if we want to use it with Market Profile TPO charting perspective. In this post, I am presenting the back test on the High of the day & Low of the day forming within that Initial balance range.
Cognitive psychology tells us that the unaided human mind is vulnerable to many fallacies and illusions because of its reliance on its memory for vivid anecdotes rather than systematic statistics – Steven Pinker
As per the above chart, I tried to find out that in the past 1000 days when were the highs or lows of the day formed during the Initial balance of the day. The Cyan bars in the lower pane are the sum of days when the Highs were made during the Initial balance and the Orange bars is the sum of days when the lows were formed during the Initial balance. Out of 1000 days, on 361 days, the High of the day was made within the Initial balance and the low of the day was made on 315 days within the Initial balance.
While doing the backtest, I marked the High and Low of the day which you can see above & below the candlesticks and tried to find out in which hour was the High and Low of the day made. You can have a look at this excel sheet for a more detailed break up of the High & Low timings for the day.
In the next post of the Initial Balance Statistics series, we will backtest the range extension multiple based on the median range of IB as well as using other ranges as 20,21,22 points etc. of IB for a range extension trade.