Dazed and Confused

How can one take a minute to minute or second to second data same of prices and discern something that could be of use?? The answer is to use smoothing techniques and to discern the "early" stages of an intra-day market move.

Let's say that a data series sample has multiple highs and lows over an increment.
We can standardize this series by converting to an annualized volatility. And we can measure how often an optimized level of volatilty reflects a "breakout" on an intraday basis.

How to convert to an annualized volatility ??

Briefly, 262 trading days is:

1440 minutes of trading per day x 262 Days per year, this means that we are concerned with 377,288 trading periods. From this me measure the LOG(i) of each price change of the previous period and do a summation. TLOGS=SIGMA(LOG(i)-LOG(i-1)).

Now calculate the average over N observations of TLOGS. (TLOGS/n). n is the observed period. Then calculate the sum of the squares of these differences.

Finally the Historical Volatility is calculated as follows:

HV = SQR((SST/(n-1)) * SQR(TP)
In the $/EUR trade you will find the predictive threshold to be 7% on one minute data.