Stocks & Commodities V. 9:3 (109-109): Time Of Daily High And Low by Arthur A. Merill, C.M.T.

Time Of Daily High And Low

by Arthur A. Merill, C.M.T.

D oes the time of the high for the day and the time of the low give a clue to the performance of the
market on the next day?
For example, suppose that the Dow Jones Industrial Average (DJIA) high point was at the opening and
the low at noon, followed by a rally in the afternoon. What are the prospects for the next day?
The answer can be found by consulting the record of market highs and lows. For classification, the hours
of the day could be represented by a digit. (See Figure 1.)
Using a two-digit classification, the first digit could locate the high for the day and the second digit the
low. For example, on a day with pattern type 26, the high was at 11 a.m. and the low was at 3 p.m.
The computer was asked to compare the record of high and low patterns to the daily DJIA. My hourly
data bank begins with 1971, so 19 years were reviewed. The results are in Figure 2.
The results aren't startling. Two of the pattern types were predictable: 17 and 71. Pattern 17 showed a
strong bearish record — that is, the next day's average was down — while pattern 71 was bullish. The
confidence levels were tested for all the pattern types with chi square, and significance is indicated on the
table.
Judging from the results, the location of the high and low for the day does appear to be useful!
Arthur Merrill is a Chartered Market Technician and the author of many reports and books, including
Behavior of Prices on Wall Street and Filtered Waves, Basic Theory.

Figures Copyright (c) Technical Analysis Inc. 1

Stocks & Commodities V. 9:3 (109-109): Time Of Daily High And Low by Arthur A. Merill, C.M.T.

FIGURE 1: To test for patterns of market highs and lows, hours the day are represented by a single
digit.

Figures Copyright (c) Technical Analysis Inc. 2

Stocks & Commodities V. 9:3 (109-109): Time Of Daily High And Low by Arthur A. Merill, C.M.T.

FIGURE 2: Examining 19 years of hourly data for high and low patterns and the direction of the market
on the following day shows that some patterns of daily highs and lows may be indicative of the direction
of the market the following day.

Figures Copyright (c) Technical Analysis Inc. 3