Constructing range overlap and bar-pattern filters from neighboring OHLC bars

Shared range from successive bars

Consecutive daily ranges overlap on more than 90% of sessions in some markets, so shared-range frequency can be constructed directly from successive OHLC bars. rangeOverlap is the length of price shared by two successive bars, built from their highs and lows. A non-positive result flags a session with no shared range.

In the 1993 Treasury bond futures sample, average daily overlap was almost 14 ticks and some overlap occurred on almost 97% of sessions. In the 1993 S&P 500 futures sample, average overlap was about 1.80 points and some overlap occurred on nearly 95% of sessions.

Yearly mean and a short overlap average

The yearly Treasury bond figure is a 253-day simple average, distinct from a 3-to-5-day moving average of the same overlap series. overlapMovingAverage is a short, defined-lookback average of constructed overlap or extension values, contrasted with a full-sample mean over a year of sessions.

Negative overlap values correspond to gap openings with zero shared range, so the same OHLC construction also counts how often a market fails to overlap the prior bar. gapOpening is a session whose range does not intersect the prior range, appearing as a negative overlap reading.

Prior-close coverage

priorCloseCoverage is a binary check of whether the previous bar's close trades again inside the current bar. In 1993 Treasury bonds, only 17 of 253 sessions failed to trade the prior close, more than 93% coverage. S&P 500 futures missed the prior close on 24 of 253 sessions. Five markets together averaged almost 90% prior-close availability, encoded as a binary filter.

Inside and outside days

An insideDay is a bar with a lower high and higher low, or with one extreme matching the prior bar while the other remains inside that bar. An outsideDay is a bar that both exceeds the prior high and breaks the prior low. Inside and outside days are counted as binary OHLC pattern flags rather than sized events.

Of 253 S&P 500 sessions in 1993, 35 were inside days and 35 were outside days, almost 28% combined. Other markets in the sample clustered near 20% to 25% combined, with copper just under 20%.

Range extension after a break of the prior extreme

rangeExtension is the amount a bar pushes beyond the prior high or prior low, recorded only on sessions that actually break that extreme. High-to-high and low-to-low formulas report a value only when the current bar actually exceeds the prior high or low. A short moving average of those nonzero extensions is constructed as a simple overbought/oversold baseline after dropping zero days from the average.

In 1993 Treasury bonds, 131 sessions made a higher high, including 29 outside days, with extensions from 1 to 45 ticks and a yearly average of 14 to 15 ticks. The average daily range was almost 28 ticks versus a bit under 14 ticks of overlap.