Stupid question but so CONFUSED

Alright, this may not be the correct board for this and I apologize if it isn't.

But is there a source someone can point me to for how xx-minute bars are defined?

That is, suppose we are looking at 60 minute bars.

They go (traditionally) 9:30-10:30, 10:30-11:30,.....then what 3:30 to 4, and then start all over again the next day at 9:30?

So if we say apply a SMA to 60 minute bars at the close aren't always using 60 minutes since the last bar of the day is 30 minutes.

Now if its 9:30 in the morning and I want to reference the previous 60 minute bar, that would be 3-4? Correct. So its really not the last 60 minute bar of yesterday, since that would be 3:30-4.

Hopefully this is making sense and some kind soul can either clear this up, or point me to a reference.

Basically, I want to answerr the question, if its say 10:37, what is the definition of the last 60 minute bar, or if its 9:35 what is the defn of the last 60 minute bar, etccc.....

Thanks in advance for any assistance!!!

Do your markets open at 9:30 there in USA? If so 1 hour bars will go 930-1030, 1030 - 1130, 1130 - 1230, 1230 - 130, 130 - 230, 230 - 330, 330 and if your markets close at 4 the last one will be 330 - 4 so just half an hour. A simple moving average is the close of each bar added together and divided by the amount of bars (period of moving average). So if you have a 5 SMA, the close of that last 5 bars will all be added together and then divided by 5. The figure will be plotted on the chart. Its pretty simple or have I missed something in your question?

Sam.

Thanks for your reply -it is probably simple and i think i am making it more complicated-i have been known to get stuck on things.

here is my issue, and yes, markets open at 9:30 and i am assuming no aftermarket activity.

my computer tells me is 11:25 pm right now. So 10 minutes ago it was 11:15, and 20 minutes ago it was 11:05 and 30 minutes ago it was 10:55. The amazing power of subtraction. I am thinking of time as this line where if we are X and want the close 60 minutes ago, we ask the computer, what was the close at X-60?

Now on to your 5 period moving average example....

Suppose its Monday April 6 and we are looking at hourly bars and I want a 5 period moving average of the close.

If its 2:30, I would average the close at 2:30, 1:30, 12:30, 11:30 and 10:30

If its 1:30 I would average the close at 1:30, 12:30, 11:30, 10:30 9:30

If its 12:30 I would average the close at 12:30, 11:30, 10:30, 9:30 and the prev 3:30 close.

hmmm time is defn NOT continuous. In my mind, if we were dealing with time as a continuous scale, I would say I am at time X, and want the close at time X-60. But that doesn't happen when we deal with the usual 60 min bars.

I am stuck on the notion that it should be 12:30, 12:30-60mins, 12:30-2*60mins and so on. Why isn't it?

And moving on, what if its 9:31 and I want the average of the last 60 minute bars. What are they? Ideally, time is continuous so it is averaging the closes at 9:31,9:31-60mins, 9:31-2*60mins, 9:31-3*60mins, and so on.That makes sense to me. But yet when we are at 9:30 and want to average the last 5 60 minute bars, we are averaging the close at 9:30, prev 3:30, prev 2:30, prev 1:30, prev 12:30. These are NOT 9:30-60mins, 9:30-2*60mins, etc..... Is this making any sense??

Thanks!

megamuel said:

Do your markets open at 9:30 there in USA? If so 1 hour bars will go 930-1030, 1030 - 1130, 1130 - 1230, 1230 - 130, 130 - 230, 230 - 330, 330 and if your markets close at 4 the last one will be 330 - 4 so just half an hour. A simple moving average is the close of each bar added together and divided by the amount of bars (period of moving average). So if you have a 5 SMA, the close of that last 5 bars will all be added together and then divided by 5. The figure will be plotted on the chart. Its pretty simple or have I missed something in your question?

Sam.

Click to expand...

Nah man, you've definately lost me there! Whatever it is you are saying, I think your definately complicating this! If its 9:31 and your using a 5 hour SMA with 1 hour bars, you'll have 29 minutes until that bar closes, the SMA will just keep adjusting itself until the hour is up. Anyway, its nearly 5 am here so I am going to bed, I'll read your post again tomorrow and see if it makes more sense!

Sam.

Can't you check it against a lower TF chart, ie a minute? Much easier and quicker than asking us.

Well, yes, possibly I can. Well, I did and got confused. :|

But maybe my logic was wrong....a SMA applied to 10 daily bars, is similar to a SMA applied to 65 hourly bars (6.5 hours in each USA trading day). So I thought that with similar logic, a SMA applied to say 10 hourly bars wouldd be equivalent to a 60*10 SMA applied to 1 minute bars (in the USA 1 there are 60 minutes to an hour). But I am not sure if this is the case, and if we stat talking about EMA's not sure if it also holds.

So Splitlink, were you thinkng that I should compare a 5 period MA on hourly bars to a 300 period MA on minute bars?

BUT a Tap HIT goes to megamuel for giving me a facepalm and having a light go off. THANKS megamuel.

If I interpret megamuel correctly, and this idea wasn't in my brain, was as follows:

Say its 9:31 am and I want a 5 period MA of the 60 minute bars at the close. The computer would calculate this SMA using the following formula

(close at 1:30 + close at 2:30 +close at 3:30 + close at 4 + Close at 9:31)/5

and at 9:37 this would be

(close at 1:30 + close at 2:30 +close at 3:30 + close at 4 + Close at 9:37)/5

and this would eventually converge to what it should

(close at 1:30 + close at 2:30 +close at 3:30 + close at 4 + Close at 10:30)/5

I think I get it now.

Thanks!

But I am still interested in reproducing a MA on 60 minute bars using 1 minute bars.

Splitlink said:

Can't you check it against a lower TF chart, ie a minute? Much easier and quicker than asking us.

Click to expand...

It's number crunching but possible. You'd have to ask yourself whether it was worth your while to do it. It will be different but more accurate. How much more accurate, though?

There is quite a lot of activity before the open. I think I'd use the bar from the open plus the previous 30 minutes and keep the previous day out of it.

I can see that you are a keen student of TA.

Split

What period MA do you want? If you want a 1 hour moving average on a 1 min chart you need a 60 SMA. If you want a 10 hour SMA on a 1 min chart you need a 600 SMA. Am I getting close to answering your question yet???

Sam.