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Which intraday bars are used in a formula near the Open
I trade intraday momentum stocks from $1 to $150 and look for breakouts at the open. In my EasyScans, I am using Dollar Volume on 1 minute candles to filter for adequate liquidity, so it does not matter what the price is. For trial values, I am trying:
1 minute dollar volume > 50000
5 minute dollar voume > 250000
I only want to use completed candles because as a candle opens, it's volume restarts near zero. I want to use a 5 bar average.
For 1 minute timeframe, 5 bar average, ending on the previous bar:
My question is this. If I run my scan at 3 minutes into the open, which bars are getting used in this formula? I know premarket is not used (oh, I wish). The Averages are calculated on 5 bars, ending 1 bar ago. But only 2 bars have formed today so far. Does the formula use the last 3 bars of yesterday and 2 from today? On breakout stocks, the volume could be puny the day before, which would mess up my intended results.
I suppose 3 bars would be enough average, instead of 5. Heck, maybe 1 bar is enough, then my question does not matter.
The formula would in fact be using 3 bars from yesterday and 2 bars from today. There is no way to make it not overlap into the previous trading day besides shortening the period.
Ok, thanks. That's what I suspected.