A synthetic price tracker that separates daily price movements into intraday and overnight components, allowing traders to analyze specific session return behaviors.
Explore complementary indicator rolesHow it works
The indicator creates a synthetic price series by compounding either intraday or overnight returns on a daily timeframe. In intraday mode, it calculates returns from market open to close by dividing the closing price by the opening price. In overnight mode, it calculates returns from the previous day's close to the current day's open by dividing the current open price by the previous close.
The synthetic price line starts from the second bar and compounds forward bar-by-bar using the selected return type. Users can switch between modes using a dropdown input, allowing for a comparative analysis of price dynamics across different trading sessions.
Why it may be useful
Understanding the contribution of intraday and overnight returns can provide traders with valuable insights into market behavior and potential trading strategies. By isolating these components, traders can identify whether price movements are predominantly driven by daytime trading activity or overnight market sentiment.
This analysis can help traders develop more nuanced trading approaches, potentially revealing session-based anomalies or biases that might not be apparent when looking at aggregate daily returns. It offers a deeper understanding of market dynamics and can inform decision-making in various trading timeframes.
When to explore it
This indicator is most effective when used on daily charts to analyze long-term price behavior and session-specific return patterns. Traders can benefit from this tool when investigating market characteristics such as overnight gap behaviors, intraday momentum, or comparing return distributions across different market conditions.
It is particularly useful for developing and testing trading strategies that aim to exploit session-specific market inefficiencies or for researchers studying market microstructure and return characteristics. Traders interested in understanding the underlying components of daily price movements will find this indicator valuable for comprehensive market analysis.
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What we’ve verified
Access, alerts and repainting behaviour have not been independently verified for this indicator. Check the creator’s current publication and settings.
General descriptions and classifications are recovered research. Verified details above identify the specific checks we have completed. Check the creator’s current publication for later changes.
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