dajs of cattle trading were used, it should be noted that the conclusions are based on a small sample. Even though they are beheved to be vad, there should be some between these results and those based on a large sample

Four cases were observed using the time intervals shown in Table 15-5. The percentages are calculated as the hkelihood of movement in a specific direction relative to the conditions of the opening price and opening inten-al:

1. The opening price continued in the same direction as the prior days open-to-close direction.

2. The opening 15-minute inten-al was consistent with the dnection of the opening price as in (1).

3. The opening price and opening inter\al both continued the direction of the prior day.

4. The opening price and opening inter\al both continued opposite to the direction of the prior day

Note that most of the inter\als observed moved opposite to the opening price direction. This will support the more extensive work in the tables of reversal pattems and gap analjsis. The two most extreme entries are the 39"o in (1) and the 35"o in (3). The first shows that by 9:20 there have been reversals 61"o of the time, fiirther supporting the pre\ious conclusions. The second case, in (3), shows that an opening price and opening inter\al that continues in the direction of the prior close has reversed 65"o of the time in the 10:00-tO-l 1:00 A.M. interval.

Highs and Lows of the Day

In selecting a place to enter the market for a smgle-day trade, it would be a great advantage to know the time of day at which the highest or lowest price is hkely to occur. To imderstand this. Figure 154 presents a combined tabulation of both the daily highs and lows positioned at the time they occurred. The pattem clearly indicates that the opening and closing ranges are most hkely to be the highest or lowest price, with 11:00 as the only midday altemative. No attempt was made to determine whether a high at the open had a low at 11:00 or at the close, nor was any relative positioning of the high-low observed. Separate charts of only highs and only lows proved that there was no distinction in the pattemshighs were j ust as hkely to occur at the three peaks as were lows

There are simple wajs in which this small piece of information could be of advantage. After the opening range has been formed, watch for the breakout of the range and assimie the other direction is a high or low. In the example, the breakout will occur to the upside, and the bottom of the range will be considered the daily low. Buy the opening breakout

TABLE 15-5 Likehhood of Movement in the Same Direction as the Open Coses

FIGURE 15-4 Combined occurrence of highs and lows.

I 1 T"

with a stop below the opening range. Look for the high of the day at 11. 00. If there is a test of the highs al 11:00, liquidate the position assuming that the resistance will hold. If there is another upside breakout, buy again in anticipation of the highs of the day at the close. If no test of the highs occurs at 11:00, hold the position imtil the close; if support is broken, close out or reverse and expect the lows of the day at the close.

A Recent Look at the Timing of Intraday Highs and Lows

Since the timing of cattle was siudied more than 20 years ago, we might expect the ftequencj of occurrence of highs and lows to have changed, but that is not so. The first 15 minutes of the day stiU accoiml for a large percentage of the highs and lows, and the closing 15 minutes is the next most likely time, and somewhere aroimd the middle of the day is the third most popular. But this is primarily a domestic maiket, compared with Eurodollars or the S&P 500, which attracts a significant world participation. In the case of currencies, most trading bins when the London maikets open, at about 2:00 A.M., Chicago time, about 5 hours ahead of the CMEs Intemational Monetarj Market open. By the time the United States makes its firsl trade, prices could have moved far ftom thepre\ious U.S. settlement based on a half-day of business activity in Europe, and a gap opening simply puts U.S. prices in line with the rest of the world

it should not be a surprise if price pattems have changed during the globalization of the past 10 years. With data more readily , a selection of major markets could be sampled for 15-minute intervals and plotted to show the distribution of highs, lows, and the cumulative combination of highs and lows (see Figure 15-5) for the 3-year period ftom March 1992 through Februarj 1994. The results are very similar although the markets are

FIGURE 15-5 Intraday distnbution of highs and lows, (a) Eurodollars, (b) Japanese yen. (c) Deutschemarb. (d) U.S.Treasurj bonds, (e) S&P 500. (f) Coffee.

Cumulative % highs and lows

% new highs and lows

% new hlcfhs and lows