Differenet types of traders with varying investment time-horizons often forget to consider the range of the bars for the market under analysis.
For technical analysis focused traders, many are familiar with average true range first introduced by Wells Wilder. The range is simply the size of a bar. The (High-Low) provides a simple arithmetic range measurement for any symbol, any asset-class. Range measurement may be undertaken by aggregating the market data and measuring. However, do remember that tick data has no range as it is the smallest increment that the underlying can trade in. But as soon as tick bars, second bars, 1 minute bars or longer are under consideration, measurements of the size of the price movement may be undertaken.
Don't forget to analyze the range because it is a simple way for you to possibly improve your trading, system, or trading model. How?
One way to go about this is to search within the library of indicators on the trading platform, and locate the range indicator or the ATR. Overlay the indicator on a chart to learn the average size of the bar under analysis. There's usually some look back period or smoothing performed. Quite often, the ATR will be 14 periods, with a variable input so that you may alter the look-back length. Gallwas just posted a very nice article on this here. Analyzing Dollar Range.
If you are a quantitatve analyst you may want to aggregate some market data into 15 minute VWAP highs and lows while looking at equities, and measure the size of the interval and then take a trimmed mean.
I run one algorithm that trades the S&P 500, where I datamine a focused range size for use in order placement. I accumulate the range size but only for the bars that the trading strategy has a long signal. This result allows placement of an initial order bracket a) outside the window of results for the downside stop b) just inside the window of results for an upside profit target.
This is a rolling window and dynamically changes as volatility or range size increases or decreases. Of course, my model may have other exit criteria, but for an initial OCO bracket order, it allows me to relax because I know that I have protection at the right location and a possible profit target that has a high probability of gettting hit if the market moves my way very quickly with some good vertical thrust, prior to my other conditions being met.
Knowing first that your model has real signal and moves in the direction of your position over time, is key. But adding the vertical dimension is also important especially when moves do not mature horizontally as expected, but moves vertically instead.