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I have been pondering the idea of trying to enhance oddball and other
breadth based systems by trying to code customs groups. I thought I would
see if I could pick the brains of the group here in regards to ideas on
calculating intraday breadth. One of the problems I am having is trying to
calculate the range of prices on an intraday basis. If the highs and lows
etc of each security happened to fall all on the same bar not a problem...
:)
However, trying to find a way build a realistic chart is escaping me. Do you
take the highest high for the bar or do you take the highest high for the
day and keep that unit price etc. Since we are talking multiple securities
this can become complex. In plotting a quick excel version the range of
prices can begin to differ quickly based on the method used. Anyone have any
ideas or sources they could recommend?
Thanks
Duke
"The Secret to the Market is Rotation, Rotation, Rotation." The Frost Sector
Rotation Fund is part of the Frost Bank family of Funds. (CFR-NYSE)
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