|06-17-2012, 06:32 AM||#1|
Join Date: Jan 2010
Thanked 4 times in 3 posts
High/Low since session start
I'm developing a multi-instrument stocks 5m intraday strategy on US session.
I want to find out for each instrument the High/Low points since the session start.
For example for stocks XYZ 2 hours from the start of the trading day(9:30EST) I want to know what was the High point and the low point.
I thought about using the Max/Min function and to give them the number of bars since the session started something like that:
max = MAX(Highs, BarsSinceSession);
What do you think is the best approach to solve this?
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