Session Statistical Levels

The Session Statistical Levels indicator is a comprehensive tool that calculates and plots historical price distributions for specific trading sessions directly onto your chart. It allows traders to visualize where current price action sits relative to historical norms (percentiles) for Asia, London, New York, and custom timeframes.

Usage

This indicator helps traders establish probabilistic context at the start of and during a trading session. By plotting symmetric range levels and directional excursions (MFE/MAE), it identifies when a session is behaving normally or exhibiting unusual volatility.

• Target Setting: Use the MFE (Maximum Favorable Excursion) levels as profit targets. For example, the P75 MFE represents a target reached by 75% of historical sessions of that type.
• Stop Placement: Use MAE (Maximum Adverse Excursion) levels to gauge historical "heat." If the median adverse dip is 40 points, a tighter stop may be prematurely triggered by standard intraday noise.
• Volatilty Analysis: If price exceeds the P90 level, the session is officially in the top 10% of historical range expansions, signaling a high-volatility environment.
• Custom Windows: Use the custom session feature to isolate specific periods, such as the "Opening Drive" or the "London Close" overlap.

Details

The script derives all data from the visible chart history. At the open of a session, it analyzes a user-defined lookback window of previous sessions to calculate the distribution of ranges and excursions.

Key statistical concepts used include:

• Symmetric Ranges: Calculated from the session open to determine the total expected move in either direction.
• MAE/MFE: Tracks how far price moved in favor of (MFE) or against (MAE) the session's eventual close direction (Bull/Bear).
• Non-Parametric Percentiles: Unlike standard deviation, percentiles like P25, P50 (Median), and P75 do not assume a normal distribution, making them more accurate for skewed financial data.

Settings

Global Settings

• Lookback Sessions: The number of completed historical sessions used to build the statistics.
• Label Size: Adjusts the text size for level labels.
• Show Stats Table: Toggles the numerical summary table on the chart.

Sessions

• Asia/London/NY Morning/NY Afternoon: Toggle individual major sessions and customize their display colors.
• Custom Session: Define a specific start/end time and a unique label for personalized tracking.

Levels to Show

• Median (P50): Displays the middle point of historical ranges.
• IQR Band (P25 / P75): Shows the interquartile range where 50% of sessions typically reside.
• P10 / P90: Identifies the outer boundaries of the standard session distribution.
• MFE / MAE: Toggles the directional excursion levels.
• Split Bull / Bear: When enabled, separates historical data based on whether sessions closed higher or lower than they opened.

FAQ

How do I interpret the P75 level? The P75 level indicates that in 75% of historical sessions within your lookback period, the session high (or low) was contained within this distance from the opening price.

Why are the levels not appearing on my chart? The indicator requires a minimum of 2 completed sessions in the history to start drawing, though 30–50 sessions are recommended for statistical significance. Ensure your chart has enough historical data loaded for the selected timeframe.

How can I access Session Statistical Levels? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.