Markets: A Rigorous Course

M04A · Problem 1 ★ Check

Aggregating bars and reading candles

A hypothetical stock has these daily bars (the previous Friday closed at 499):

Day Open High Low Close
Mon 500 512 497 510
Tue 511 515 503 505
Wed 504 507 494 496
Thu 497 499 488 498
Fri 509 521 506 519

(a) Write down the weekly bar. (b) For the weekly candle compute body/range and the close location (C−L)/(H−L)(C-L)/(H-L). (c) Which daily candles satisfy the doji and hammer-shape definitions of 4A.1? Comment on the overlap. (d) Compute each day's true range and their mean, and compare the weekly range with 5\sqrt5 times the mean daily true range. Which result of 4A.1 does the comparison illustrate?

Answers

Commas, ₹, % and 1e-3 notation are accepted.

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