CISCO Futures
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Sample Data
Trading Range: By One, Two and Five Days:
CISCO Futures© 2007
Sample Data for Range Studies
Two outcomes are available from Range5. The Detail Table includes both
the Detail listing (daily ranges and averages for the period and future chosen)
and the Summary Table lists averages and the maxima for each average.
Input
You input the Symbol, Delivery and the Time Range (start and stop). You will
select either the Detail button or the Summary button. In the study below
we selected a time frame that coincided with the rollover times. You are free
to select the time frames you desire. Normally you will want to be in the
front month. If you are not familiar with the rollover dates in the market
being studied, or the front months, consult the exchange web site in question.
The Summary Table alone may be preferred for a long study such
as the one in the companion Background report.
Background: Range Studies for
Relative Market Potential.
Anyone trading a particular
future can keep up with changes in it's trading Potential via the Summary
Report.
Detail Table lists day-by-day: day range, the 2 day average range and the
5 day average range. There are 64 days in the period chosen (060914 061213)
for SP Dec 06. Each line contains DATE, OPEN, HIGH, LOW, CLOSE, RNGAV1,
RNGAV2 and RNGAV5. Only the high and low are used in the range calculations.
For example, for 9/20, RNGAV1 is the high - low difference 1339.50 - 1330.20,
or 9.30. The average of the past two days 11.30 + 9.30 is 10.30. The five
day average is 0.70 + 8.40 + 7.40 + 11.30 + 9.30 divided by five = 7.42.
The Detail Table report has appended also the Summary Table report. A choice
is to get the Summary Table by itself, if you are covering many deliveries.
Detail Table
Range5 Detail SP M-12 Y-06 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