CISCO Futures
1-303-306-1521 1-800 800 7227 Fax 1-303-306-1572
http://www.cisco-futures.com
dljones@cisco-futures.com
Range Studies Background
CISCO Futures© 2007
Range Studies
Variations in the daily range are one measure of market Potential.
In the near timeframe of one or several months local conditions govern changes
in a day's range. But over the longer time periods markets can be seen to
come into favor (expanding range) and go out of favor (narrowing range). We
mentioned this tool in the background on Drawdown Studies:
Drawdown Studies for SP
In that report it was seen that the maximum five day range for the SP peaked
during the June 2000 delivery at 162. From that point on there was a fairly
steady drop to a maximum of 26 in December 2006. It is fair to say that
Potential saw a similar drop. Alternatively, it is probable that Opportunity
fell commensurately and more importantly for the day trader, the size of the
intra-day runs dropped. Note that we do the studies on SP. This applies
as well to the emini SP (ES or UU as it is called on our system). Arbitrage
keeps the two together, for all practical purposes.
A somewhat different display below 'Range Averages SP from 1995 through 2006'
shows the range increase on the 5 day average maximum to vary from about 8 in
1995 to 66 in 2000, falling back to about 20 in 2006.
Study of the range is fairly prosaic. We are dealing with the high - low
daily data. While many chart methodologies, such as Candlesticks, are used
for intraday trading they tend to be a victim of the intra-day noise.
Candlesticks, a Critique
For short term trading, intra-day or over a few days, we believe the value
methodology
of profiles and Overlays offers better analytical help than any other.
Where we see Range Studies' value is in deciding those markets in which to
be active on the longer time frame. It is an opportunity finder, a money
management tool. As such, it becomes a way of determing diversification
candidates. Even for the one-market trader, range studies permits comparison
of ones primary market with others. A simple question might be "which index
should I trade?". Is mine drying up? Is something else getting more active?
We have two data sets in this report: Appendix 1 reproduces the Detail Table
and Summary Table of the shown in the Sample link. This gives you a view of the
two data formats. Depending on your time frame, you might want to look at
a market in detail or just take an overview. You have the choice.
Appendix 2. is a Summary history of the SP from 1995 through 2006.
While we used the 5 day maximum range in the earlier report on Drawdown
Studies, you can use other data, such as simple averages, from that database.
Of course, you can collect your own data on other futures of your choice.
Appendix 1.
Detail Table
Range5 Detail SP Y-06 M-12 Period: 060914 061213
DATE OPEN HIGH LOW CLOSE RNGAV1 RNGAV2 RNGAV5
9/14/ 6 1329.30 1329.40 1328.70 1329.40 0.70 5.00 6.98
9/15/ 6 1328.80 1336.50 1328.10 1332.20 8.40 4.55 7.46
9/18/ 6 1333.70 1336.40 1329.00 1334.20 7.40 7.90 8.74
9/19/ 6 1330.60 1334.30 1323.00 1330.50 11.30 9.35 7.42
9/20/ 6 1330.60 1339.50 1330.20 1336.50 9.30 10.30 7.42
9/21/ 6 1330.00 1330.30 1329.40 1330.30 0.90 5.10 7.46
9/22/ 6 1330.00 1331.40 1321.20 1325.90 10.20 5.55 7.82
9/25/ 6 1325.70 1340.00 1321.60 1335.70 18.40 14.30 10.02
9/26/ 6 1346.30 1347.10 1333.50 1346.70 13.60 16.00 10.48
9/27/ 6 1347.30 1350.20 1343.20 1347.70 7.00 10.30 10.02
9/28/ 6 1347.20 1347.60 1346.40 1347.30 1.20 4.10 10.08
9/29/ 6 1347.20 1350.70 1345.00 1345.40 5.70 3.45 9.18
10/ 2/ 6 1345.50 1348.30 1339.30 1340.40 9.00 7.35 7.30
10/ 3/ 6 1343.50 1343.60 1342.80 1343.20 0.80 4.90 4.74
10/ 4/ 6 1358.10 1358.40 1357.80 1358.30 0.60 0.70 3.46
10/ 5/ 6 1360.50 1361.50 1360.50 1360.80 1.00 0.80 3.42
10/ 6/ 6 1360.50 1361.50 1352.70 1358.80 8.80 4.90 4.04
10/ 9/ 6 1355.00 1361.80 1354.30 1359.40 7.50 8.15 3.74
10/10/ 6 1359.30 1363.00 1357.10 1360.70 5.90 6.70 4.76
10/11/ 6 1358.90 1359.50 1358.60 1359.10 0.90 3.40 4.82
10/12/ 6 1370.60 1370.80 1370.30 1370.70 0.50 0.70 4.72
10/13/ 6 1370.60 1374.70 1368.10 1373.60 6.60 3.55 4.28
10/16/ 6 1376.00 1378.00 1371.70 1376.10 6.30 6.45 4.04
10/17/ 6 1372.50 1373.00 1371.50 1371.70 1.50 3.90 3.16
10/18/ 6 1372.70 1374.10 1371.50 1372.50 2.60 2.05 3.50
10/19/ 6 1374.50 1374.90 1374.10 1374.30 0.80 1.70 3.56
10/20/ 6 1374.50 1376.80 1369.80 1374.90 7.00 3.90 3.64
10/23/ 6 1380.60 1380.90 1378.90 1380.70 2.00 4.50 2.78
10/24/ 6 1384.00 1385.30 1378.10 1384.80 7.20 4.60 3.92
10/25/ 6 1388.80 1389.80 1388.80 1389.20 1.00 4.10 3.60
10/26/ 6 1392.50 1393.20 1392.50 1392.90 0.70 0.85 3.58
10/27/ 6 1392.50 1393.40 1381.20 1384.80 12.20 6.45 4.62
10/30/ 6 1381.80 1386.80 1378.80 1383.20 8.00 10.10 5.82
10/31/ 6 1382.70 1387.00 1377.10 1383.20 9.90 8.95 6.36
11/ 1/ 6 1372.70 1387.50 1370.90 1372.90 16.60 13.25 9.48
11/ 2/ 6 1372.70 1375.90 1367.30 1371.30 8.60 12.60 11.06
11/ 3/ 6 1371.30 1377.20 1365.60 1368.50 11.60 10.10 10.94
11/ 6/ 6 1370.20 1386.30 1370.00 1383.80 16.30 13.95 12.60
11/ 7/ 6 1388.80 1389.00 1387.40 1389.00 1.60 8.95 10.94
11/ 8/ 6 1391.10 1392.50 1390.20 1391.60 2.30 1.95 8.08
11/ 9/ 6 1391.10 1393.50 1381.20 1384.00 12.30 7.30 8.82
11/10/ 6 1383.80 1386.20 1379.50 1384.80 6.70 9.50 7.84
11/13/ 6 1385.10 1392.20 1382.60 1388.00 9.60 8.15 6.50
11/14/ 6 1388.00 1399.50 1383.10 1397.70 16.40 13.00 9.46
11/15/ 6 1401.00 1405.50 1396.50 1401.50 9.00 12.70 10.80
11/16/ 6 1404.20 1407.80 1399.60 1405.10 8.20 8.60 9.98
11/17/ 6 1403.40 1405.20 1398.20 1404.80 7.00 7.60 10.04
11/20/ 6 1404.80 1407.90 1399.10 1405.30 8.80 7.90 9.88
11/21/ 6 1406.50 1406.60 1405.80 1406.20 0.80 4.80 6.76
11/22/ 6 1406.50 1411.00 1404.80 1408.40 6.20 3.50 6.20
11/24/ 6 1407.70 1408.90 1400.10 1402.90 8.80 7.50 6.32
11/27/ 6 1383.70 1406.00 1382.80 1383.60 23.20 16.00 9.56
11/28/ 6 1383.70 1390.50 1378.40 1388.60 12.10 17.65 10.22
11/29/ 6 1388.60 1403.50 1390.90 1402.20 12.60 12.35 12.58
11/30/ 6 1402.20 1408.50 1402.20 1402.90 6.30 9.45 12.60
12/ 1/ 6 1402.90 1406.50 1387.70 1400.40 18.80 12.55 14.60
12/ 4/ 6 1410.20 1410.80 1410.10 1410.70 0.70 9.75 10.10
12/ 5/ 6 1410.20 1417.40 1409.50 1416.70 7.90 4.30 9.26
12/ 6/ 6 1414.20 1414.80 1413.80 1414.70 1.00 4.45 6.94
12/ 7/ 6 1414.20 1419.70 1407.70 1408.70 12.00 6.50 8.08
12/ 8/ 6 1407.30 1415.00 1405.00 1410.10 10.00 11.00 6.32
12/11/ 6 1410.00 1416.50 1409.80 1414.60 6.70 8.35 7.52
12/12/ 6 1412.60 1414.60 1405.00 1412.80 9.60 8.15 7.86
12/13/ 6 1412.80 1417.50 1411.30 1413.20 6.20 7.90 8.90
Range5 Summary
Average Maximum
1 Day 7.39 23.20
2 Day 7.41 17.65
5 Day 7.46 14.60
Summary Table
Range5 Summary SP Y-06 M-12 Period: 060914 061213
Average Maximum
1 Day 7.39 23.20
2 Day 7.41 17.65
5 Day 7.46 14.60
Appendix 2.
Range5 Summary SP Y-95 M-03 Period: 941214 950313
Range5 Summary
Average Maximum
1 Day 3.52 8.60
2 Day 3.52 5.90
5 Day 3.51 5.21
Range5 Summary SP Y-95 M-06 Period: 950314 950613
Range5 Summary
Average Maximum
1 Day 4.67 12.05
2 Day 4.66 8.57
5 Day 4.67 7.93
Range5 Summary SP Y-95 M-09 Period: 950614 960913
Range5 Summary
Average Maximum
1 Day 4.71 14.50
2 Day 4.75 10.20
5 Day 4.78 7.50
Range5 Summary SP Y-95 M-12 Period: 950914 951213
Range5 Summary
Average Maximum
1 Day 4.76 12.45
2 Day 4.77 10.42
5 Day 4.78 7.49
Range5 Summary SP Y-96 M-03 Period: 951214 960313
Range5 Summary
Average Maximum
1 Day 7.88 21.85
2 Day 7.87 17.95
5 Day 7.65 11.77
Range5 Summary SP Y-96 M-06 Period: 960314 960613
Range5 Summary
Average Maximum
1 Day 7.53 16.50
2 Day 7.53 14.90
5 Day 7.68 12.34
Range5 Summary SP Y-96 M-09 Period: 960614 960913
Range5 Summary
Average Maximum
1 Day 8.16 26.15
2 Day 8.16 22.83
5 Day 8.14 16.82
Range5 Summary SP Y-96 M-12 Period: 960914 961213
Range5 Summary
Average Maximum
1 Day 7.55 20.00
2 Day 7.56 17.67
5 Day 7.37 14.79
Range5 Summary SP Y-97 M-03 Period: 961214 970313
Range5 Summary
Average Maximum
1 Day 11.44 25.70
2 Day 11.44 19.70
5 Day 11.54 15.32
Range5 Summary SP Y-97 M-06 Period: 970314 970613
Range5 Summary
Average Maximum
1 Day 13.16 32.10
2 Day 13.17 26.17
5 Day 13.08 18.51
Range5 Summary SP Y-97 M-09 Period: 970614 970913
Range5 Summary
Average Maximum
1 Day 16.11 32.40
2 Day 16.05 29.13
5 Day 15.90 23.85
Range5 Summary SP Y-97 M-12 Period: 970914 971213
Range5 Summary
Average Maximum
1 Day 18.34 88.00
2 Day 18.31 79.00
5 Day 18.28 49.08
Range5 Summary SP Y-98 M-03 Period: 971214 980313
Range5 Summary
Average Maximum
1 Day 14.71 37.30
2 Day 14.66 35.40
5 Day 14.68 23.84
Range5 Summary SP Y-98 M-06 Period: 980314 980613
Range5 Summary
Average Maximum
1 Day 15.30 32.20
2 Day 15.21 26.55
5 Day 14.94 22.68
Range5 Summary SP Y-98 M-09 Period: 980614 980913
Range5 Summary
Average Maximum
1 Day 24.22 89.00
2 Day 24.00 78.50
5 Day 23.58 55.32
Range5 Summary SP Y-98 M-12 Period: 980914 981213
Range5 Summary
Average Maximum
1 Day 24.39 71.50
2 Day 24.71 54.20
5 Day 25.01 45.26
Range5 Summary SP Y-99 M-03 Period: 981214 990313
Range5 Summary
Average Maximum
1 Day 24.82 48.00
2 Day 24.80 42.50
5 Day 24.77 38.80
Range5 Summary SP Y-99 M-06 Period: 990314 990613
Range5 Summary
Average Maximum
1 Day 23.96 60.00
2 Day 23.95 41.25
5 Day 23.92 35.26
Range5 Summary SP Y-99 M-09 Period: 990614 990913
Range5 Summary
Average Maximum
1 Day 20.84 43.30
2 Day 20.84 36.50
5 Day 20.86 29.20
Range5 Summary SP Y-99 M-12 Period: 990914 991213
Range5 Summary
Average Maximum
1 Day 22.96 51.00
2 Day 22.95 42.65
5 Day 22.92 32.42
Range5 Summary SP Y-00 M-03 Period: 991214 000313
Range5 Summary
Average Maximum
1 Day 28.33 63.50
2 Day 28.15 51.90
5 Day 27.84 47.66
Range5 Summary SP Y-00 M-06 Period: 000314 000613
Range5 Summary
Average Maximum
1 Day 35.06 114.50
2 Day 35.10 93.75
5 Day 35.34 66.10
Range5 Summary SP Y-00 M-09 Period: 000614 000913
Range5 Summary
Average Maximum
1 Day 19.18 44.50
2 Day 19.29 32.10
5 Day 19.44 26.32
Range5 Summary SP Y-00 M-12 Period: 000914 001213
Range5 Summary
Average Maximum
1 Day 29.52 60.00
2 Day 29.41 48.10
5 Day 29.26 40.54
Range5 Summary SP Y-01 M-03 Period: 001214 010313
Range5 Summary
Average Maximum
1 Day 20.06 81.00
2 Day 20.16 64.55
5 Day 20.10 48.12
Range5 Summary SP Y-01 M-06 Period: 010314 010613
Range5 Summary
Average Maximum
1 Day 5.39 39.00
2 Day 5.24 22.40
5 Day 4.88 15.94
Range5 Summary SP Y-01 M-09 Period: 010614 010913
Range5 Summary
Average Maximum
1 Day 10.63 36.80
2 Day 10.34 27.00
5 Day 10.15 24.96
Range5 Summary SP Y-01 M-12 Period: 010914 011213
Range5 Summary
Average Maximum
1 Day 8.26 65.20
2 Day 8.33 51.85
5 Day 8.79 44.04
Range5 Summary SP Y-02 M-03 Period: 011214 020313
Range5 Summary
Average Maximum
1 Day 17.12 40.40
2 Day 17.17 37.45
5 Day 17.26 27.64
Range5 Summary SP Y-02 M-06 Period: 020314 020613
Range5 Summary
Average Maximum
1 Day 17.84 38.50
2 Day 17.85 27.30
5 Day 17.69 25.86
Range5 Summary SP Y-02 M-09 Period: 020614 020913
Range5 Summary
Average Maximum
1 Day 29.48 73.00
2 Day 29.48 57.75
5 Day 29.48 48.64
Range5 Summary SP Y-02 M-12 Period: 020914 021213
Range5 Summary
Average Maximum
1 Day 23.88 44.90
2 Day 23.93 43.60
5 Day 24.03 37.32
Range5 Summary SP Y-03 M-03 Period: 021214 030313
Range5 Summary
Average Maximum
1 Day 17.95 31.70
2 Day 17.84 29.40
5 Day 17.68 24.58
Range5 Summary SP Y-03 M-06 Period: 030314 030613
Range5 Summary
Average Maximum
1 Day 11.13 37.20
2 Day 11.18 25.60
5 Day 11.28 21.54
Range5 Summary SP Y-03 M-09 Period: 030614 030913
Range5 Summary
Average Maximum
1 Day 14.13 24.50
2 Day 14.18 21.55
5 Day 14.25 18.72
Range5 Summary SP Y-03 M-12 Period: 030914 031213
Range5 Summary
Average Maximum
1 Day 9.18 22.20
2 Day 9.23 18.75
5 Day 9.19 14.16
Range5 Summary SP Y-04 M-03 Period: 031214 040313
Range5 Summary
Average Maximum
1 Day 9.61 23.00
2 Day 9.58 22.05
5 Day 9.29 17.36
Range5 Summary SP Y-04 M-06 Period: 040314 040613
Range5 Summary
Average Maximum
1 Day 9.88 24.70
2 Day 9.96 20.05
5 Day 10.36 16.54
Range5 Summary SP Y-04 M-09 Period: 040614 040913
Range5 Summary
Average Maximum
1 Day 7.62 22.00
2 Day 7.57 15.65
5 Day 7.56 14.70
Range5 Summary SP Y-04 M-12 Period: 040914 041213
Range5 Summary
Average Maximum
1 Day 6.91 21.70
2 Day 6.89 15.75
5 Day 6.81 12.18
Range5 Summary SP Y-05 M-03 Period: 041214 050313
Range5 Summary
Average Maximum
1 Day 5.58 20.50
2 Day 5.47 12.85
5 Day 5.38 7.84
Range5 Summary SP Y-05 M-06 Period: 050314 050613
Range5 Summary
Average Maximum
1 Day 6.95 23.00
2 Day 6.97 22.45
5 Day 7.03 18.48
Range5 Summary SP Y-05 M-09 Period: 050614 050913
Range5 Summary
Average Maximum
1 Day 4.52 19.20
2 Day 4.46 14.65
5 Day 4.51 9.12
Range5 Summary SP Y-05 M-12 Period: 050914 051213
Range5 Summary
Average Maximum
1 Day 5.55 21.70
2 Day 5.45 17.60
5 Day 5.34 11.74
Range5 Summary SP Y-06 M-03 Period: 051214 060313
Range5 Summary
Average Maximum
1 Day 6.72 24.60
2 Day 6.78 16.85
5 Day 6.69 11.96
Range5 Summary SP Y-06 M-06 Period: 060314 060613
Range5 Summary
Average Maximum
1 Day 9.76 31.30
2 Day 9.63 23.85
5 Day 9.46 20.78
Range5 Summary SP Y-06 M-09 Period: 060614 060913
Range5 Summary
Average Maximum
1 Day 8.77 27.70
2 Day 8.71 21.15
5 Day 8.76 16.00
Range5 Summary SP Y-06 M-12 Period: 060914 061213
Range5 Summary
Average Maximum
1 Day 7.39 23.20
2 Day 7.41 17.65
5 Day 7.46 14.60
Range Averages SP from 1995 through 2006
1 Day 5 Day
Ave Max Ave Max
SP Y-95 M-03 Period: 941214 950313 3.52 8.60 3.51 5.21
SP Y-95 M-06 Period: 950314 950613 4.67 12.05 4.67 7.93
SP Y-95 M-09 Period: 950614 960913 4.71 14.50 4.78 7.50
SP Y-95 M-12 Period: 950914 951213 4.76 12.45 4.78 7.49
SP Y-96 M-03 Period: 951214 960313 7.88 21.85 7.65 11.77
SP Y-96 M-06 Period: 960314 960613 7.53 16.50 7.68 12.34
SP Y-96 M-09 Period: 960614 960913 8.16 26.15 8.14 16.82
SP Y-96 M-12 Period: 960914 961213 7.55 20.00 7.37 14.79
SP Y-97 M-03 Period: 961214 970313 11.44 25.70 11.54 15.32
SP Y-97 M-06 Period: 970314 970613 13.16 32.10 13.08 18.51
SP Y-97 M-09 Period: 970614 970913 16.11 32.40 15.90 23.85
SP Y-97 M-12 Period: 970914 971213 18.34 88.00 18.28 49.08
SP Y-98 M-03 Period: 971214 980313 14.71 37.30 14.68 23.84
SP Y-98 M-06 Period: 980314 980613 15.30 32.20 14.94 22.68
SP Y-98 M-09 Period: 980614 980913 24.22 89.00 23.58 55.32
SP Y-98 M-12 Period: 980914 981213 24.39 71.50 25.01 45.26
SP Y-99 M-03 Period: 981214 990313 24.82 48.00 24.77 38.80
SP Y-99 M-06 Period: 990314 990613 23.96 60.00 23.92 35.26
SP Y-99 M-09 Period: 990614 990913 20.84 43.30 20.86 29.20
SP Y-99 M-12 Period: 990914 991213 24.39 71.50 22.92 32.42
SP Y-00 M-03 Period: 991214 000313 28.33 63.50 27.84 47.66
SP Y-00 M-06 Period: 000314 000613 35.06 114.50 35.34 66.10
SP Y-00 M-09 Period: 000614 000913 19.18 44.50 19.44 26.32
SP Y-00 M-12 Period: 000914 001213 29.52 60.00 29.26 40.54
SP Y-01 M-03 Period: 001214 010313 20.06 81.00 20.10 48.12
SP Y-01 M-06 Period: 010314 010613 5.39 39.00 4.88 15.94
SP Y-01 M-09 Period: 010614 010913 10.63 36.80 10.15 24.96
SP Y-01 M-12 Period: 010914 011213 8.26 65.20 8.79 44.04
SP Y-02 M-03 Period: 011214 020313 17.12 40.40 17.26 27.64
SP Y-02 M-06 Period: 020314 020613 17.84 38.50 17.69 25.86
SP Y-02 M-09 Period: 020614 020913 29.48 73.00 29.48 48.64
SP Y-02 M-12 Period: 020914 021213 23.88 44.90 24.03 37.32
SP Y-03 M-03 Period: 021214 030313 17.95 31.70 17.68 24.58
SP Y-03 M-06 Period: 030314 030613 11.13 37.20 11.28 21.54
SP Y-03 M-09 Period: 030614 030913 14.13 24.50 14.25 18.72
SP Y-03 M-12 Period: 030914 031213 9.18 22.20 9.19 14.16
SP Y-04 M-03 Period: 031214 040313 9.61 23.00 9.29 17.36
SP Y-04 M-06 Period: 040314 040613 9.88 24.70 10.36 16.54
SP Y-04 M-09 Period: 040614 040913 7.62 22.00 7.56 14.70
SP Y-04 M-12 Period: 040914 041213 6.91 21.70 6.81 12.18
SP Y-05 M-03 Period: 041214 050313 5.58 20.50 5.38 7.84
SP Y-05 M-06 Period: 050314 050613 6.95 23.00 7.03 18.48
SP Y-05 M-09 Period: 050614 050913 4.52 19.20 4.51 9.12
SP Y-05 M-12 Period: 050914 051213 5.55 21.70 5.34 11.74
SP Y-06 M-03 Period: 051214 060313 6.72 24.60 6.69 11.96
SP Y-06 M-06 Period: 060314 060613 9.76 31.30 9.46 20.78
SP Y-06 M-09 Period: 060614 060913 8.77 27.70 8.76 16.00
SP Y-06 M-12 Period: 060914 061213 7.39 23.20 7.46 14.60
C4[203MMM.ADVICE_ENGINE]SP_RANGE5_HISTORY_5D.DAT