Symbol Range, Part 2

For those that use NinjaTrader and are data geeks like me, I thought I'd share the indicator I made that you can use to pretty quickly analyze any chart data (see Sat. post).  You can download it here
(EDIT: - after selecting download link you will see a couple files. You don't want either of those but the ".zip" file.  At the top of page you'll see "File Edit View Help" menus.  Select File, then download to get the .zip file.)  and then in Ninja, "File - Utilities - Import NinjaScript..." and it should appear in your indicator list as SymbolRange.

It prints data to the Output Window in Ninja so be sure you have that open.  You can save that data as a .csv file and then open in Excel if you want to analyze further. I purposely put commas between the labels and the data just so I could import to Excel.  If you use a super fast chart (like a 1-tick) it will make your CPU crawl so be careful not to have too many days of data on your chart.  For a 1-tick chart, less than 15 days isn't bad!  For minute data, years is very quick.

Output examples looking at range for first two hours on 11/20:
11/20/2013 10:30:00 AM, 83000 to 103000, NQ, Total$Range=,385, TotalTickRange=,77, TickRangeEachBarSummed=,7827, (1 Tick chart), Ratio=,101.65

11/20/2013 10:30:00 AM, 83000 to 103000, TF, Total$Range=,890, TotalTickRange=,89, TickRangeEachBarSummed=,6769, (1 Tick chart), Ratio=,76.06

11/20/2013 10:30:00 AM, 83000 to 103000, YM, Total$Range=,340, TotalTickRange=,68, TickRangeEachBarSummed=,5606, (1 Tick chart), Ratio=,82.44

11/20/2013 10:30:00 AM, 83000 to 103000, ES, Total$Range=,425, TotalTickRange=,34, TickRangeEachBarSummed=,7348, (1 Tick chart), Ratio=,216.12

You can compare the range of any symbol against others or compare various time intervals of a day within the same symbol.

Another example looking at past 42 trading days, and averaging data in Excel, proves quantitatively what we all know, that the middle period of day (lunch time) is much less volatile.

"TickRangeEachBarSummed" for a 1-tick chart represents the total "travel" of every wiggle in price.  This is of course dependent on your data provider and may vary depending on if they filter the data you are charting.  "TickRangeEachBarSummed" for any other chart type is the addition of every bar's High minus its Low.