Sunday, January 18, 2009

Intraday Cycle Duration 01/18/09

On my 5 minute charts, I include a 2-Period SMA of the $TICK (H+L+C)/3 pivot (yellow line) to help illustrate the multiple up and down cycles of the intraday market. However, how long does a typical cycle last?
I took a statistical sample of up and down cycles (77 up and 73 down cycles) to help answer that question. The above chart shows the percentage of cycles that last only 5, 10, 15 and so on minutes. I found that 82% of up cycles and 86% of down cycles last 10 minutes or longer. 60% of up cycles and 52% of down cycles last 15 minutes or longer. This also means that a full up to down cycle typically lasts 20 to 30 minutes.

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