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Quantifying Unusual Price Action in Stock Index Futures with Easylanguage Code

Often times we notice that market behavior has changed or is different than what we normally see. We noticed that most of the time in June, the trend occurred at night or most of the price action was at night.

In this video we write an indicator to quantify this by measure the average range of the day session divided by the average range of the overnight session. Historically, this indicator moves back and forth. It isn't unusual most of the trend to be at night but it is unusual in recent years for it to happen for most of the month.

We show the tight range of the indicator representing how the markets average range during the day session just stayed near or below its average range of the 24 hour session.

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