After my RTH ES Daily Range study, I wanted to look at if there is a statistical correlation between the overnight range of the ES and the corresponding regular trading hours day range. But first, I needed to pull the overnight data in my SQL Server database and analyze it in Excel. Here are my results:
Here we see the the most common ON range is 10 (Same as RTH… hmmmm… 🙂 while the 1st Standard Deviation is 6 to 15 points and the 2nd Standard Deviation is 3 to 35 points. The data is more condensed that the RTH day range values, but has quite a range of values.
Next I’ll look at the if there is a connection between the ON ranges and the RTH ranges. I’ll also want to look at the first few hours prior to the open to see if there is a correlation there as this ON study will capture any gaps that happen overnight.