Intraday Price Path Signature - London New York Tokyo Windows

Overview

Intraday Price Path Signature is a time-window price-action study for traders who want to examine how price movement develops inside selected intraday focus periods, including windows commonly monitored around the Tokyo/Asia, London and New York opens.

A conventional session highlighter mainly answers when a regional session is active. This indicator addresses a different question: how was price travel distributed and directed inside the selected window?

Each enabled window is divided into four equal clock-time phases, P1 through P4. The script measures the amount, direction and efficiency of price travel in each phase, classifies the completed sequence, and compares its phase concentration with prior occurrences of the same named window.

The result is a compact price-path signature rather than a broad session background, a set of session levels, or a buy/sell signal. It can be used to research London, New York, Tokyo/Asia or custom focus windows sometimes described by traders as kill zones, without assuming that any time window guarantees a particular outcome.

What makes this different

Most session tools focus on time identification through background shading, open/close markers, session ranges or active-session status. This script focuses on the internal formation of price movement inside a narrower research window.

Its main analytical differences are:

- Four-phase decomposition of every enabled window.
- True-range-style gross price travel that includes gaps between consecutive sampled bars.
- Directional-efficiency filtering so a phase is not called upward or downward merely because it finishes slightly above or below its start.
- A deterministic completed-window classification based on path efficiency, direction alignment, phase concentration and direction changes.
- Independent rolling comparisons for each named window and each matching phase.
- A completed phase strip that states the full P1-P4 sequence directly on the chart.
- A fixed panel that keeps live analytical context away from the candle area.

Core calculation

For each bar inside a focus window, gross bar travel is calculated as:

Gross bar travel = max(high - low, abs(high - previous sampled close), abs(low - previous sampled close))

The first sampled bar uses its own high-low range. This is a bar-based, true-range-style approximation of movement. It includes gaps, but it does not reconstruct the exact tick-by-tick path inside a candle.

The accumulated travel is divided among four equal clock-time phases:

Phase share = phase gross travel / completed-window gross travel

A phase share identifies which quarter of the configured time window contained the greatest portion of measured price travel. It is not a volume measure.

Phase direction is filtered by directional efficiency:

Phase directional efficiency = abs(phase close - phase open) / phase gross travel

When efficiency reaches the configurable threshold, the phase is classified as upward or downward according to its net displacement. When it does not, the phase is classified as rotational. This distinguishes an efficient directional move from a phase that travels extensively but finishes near its starting point.

The completed window also receives a path-efficiency value:

Window path efficiency = abs(window close - window open) / completed-window gross travel

Completed path classifications

A completed window is assigned one descriptive classification. When more than one condition is true, the first matching classification in the following priority order is used:

- Persistent rise or Persistent fall: sufficient window path efficiency and enough phase travel aligned with the completed direction.
- Rotational path: the phase sequence contains the configured number of directional changes and does not qualify as persistent.
- Front-loaded rise or Front-loaded fall: the first two phases contain the configured share of total travel.
- Late acceleration up or Late acceleration down: the final two phases contain the configured share of total travel.
- Phase concentration: one phase contains the configured dominant share of total travel.
- Evenly distributed: the difference between the largest and smallest phase shares remains within the configured tolerance.
- Mixed path: no earlier classification is satisfied.

These labels describe the completed structure under the selected thresholds. They are not forecasts, probabilities or trade recommendations.

Reading the completed phase strip

The default chart annotation is a two-line phase strip for each completed focus window. An example is:

● ASIA P1↑ P2↔ P3↓ P4↑
Front-loaded rise · Peak P2 35.8%

The first line shows the phase sequence:

- P1 through P4 identify the four equal clock-time phases.
- ↑ means the phase completed with sufficient upward directional efficiency.
- ↓ means the phase completed with sufficient downward directional efficiency.
- ↔ means the phase was rotational or did not meet the directional-efficiency threshold.
- · means the phase was not sufficiently observed.

The second line states the completed path classification and identifies the phase containing the largest share of gross price travel. The strip color identifies the configured window. By default, Asia is cyan, London is amber and New York is pink.

Completed strips are anchored to the final bar of their own window and rendered in front of the price chart. Their bodies extend to the left of the anchor so later bars to the right are less likely to pass underneath a historical strip.

The default Auto opposite close placement puts an upward-closing window below its protected price envelope and a downward-closing window above it. Automatic clearance considers the completed-window range, twelve preceding bars, opening and closing gaps, sampled internal gaps, the first bar after completion, local bar range, ATR and a small window-specific lane offset.

This system is designed to reduce candle overlap during normal chart use, including gap conditions. Because labels have a fixed screen-space size while chart scale and zoom remain user-controlled, extreme chart compression can still change the apparent distance between a label and nearby bars. Additional clearance is available in the settings.

Reading the fixed panel

The default bottom-left panel displays only enabled windows and keeps live detail away from the candles.

FOCUS shows the window icon, short code and configured local hours.

STATUS shows whether the window is live, closed or waiting. A live row also shows current completion progress.

PATH identifies the current phase and developing direction sequence while a window is live. After completion, it shows the most recent path classification.

PULSE shows four activity blocks representing the relative gross-price-travel share of P1 through P4. Taller block characters indicate a larger share. PULSE is a price-travel distribution, not volume or order flow.

CTX shows the developing price range during a live window. After completion, it shows the peak phase, its share and, when available, its empirical percentile. A diamond followed by a number is the percentile rank of that peak phase against the same phase of earlier occurrences of the same named window.

Independent historical comparison

Asia P1 is compared only with earlier Asia P1 observations. London P3 is compared only with earlier London P3 observations. New York, London Close and Custom maintain their own independent histories. Data from different named windows or different phase positions is not mixed.

The default rolling baseline contains 24 eligible completed windows and requires at least six prior samples before displaying percentiles. The current completed observation is ranked before it is added to its own history, so it does not inflate its own percentile. Tied values use a mid-rank treatment.

These percentiles are descriptive empirical ranks from the available rolling sample. They are not probabilities of future direction, continuation or reversal.

The following observations are excluded from the rolling baseline:

- A window first encountered after its configured start time because chart history began partway through it.
- A completed window with fewer than the required number of observed phases.
- A window with no measurable gross price travel.
- A window sampled on a chart environment that does not meet the selected timeframe or chart-type requirements.

Default focus windows

Asia Open: 09:00-10:00, Asia/Tokyo, enabled.
London Open: 08:00-10:00, Europe/London, enabled.
New York Open: 09:30-11:00, America/New_York, enabled.
London Close: 15:00-16:30, Europe/London, disabled by default.
Custom Focus: 12:00-13:00, Etc/UTC, disabled by default.

The default day mask is Monday through Friday. Each window has its own IANA timezone, so London and New York follow their selected local daylight-saving rules. These times are configurable research references, not universal exchange, broker or instrument schedules.

Display modes and customization

Phase strip is the publication default. It shows completed phase strips and the fixed panel without broad session shading.

Phase strip + adaptive lens adds a very light live background lens whose hue and transparency respond to the current phase direction and concentration.

Research detail enables optional legacy pulse blocks, block captions and larger research summaries.

Panel only removes bar-anchored chart annotations and leaves the fixed panel.

Users can adjust window names, codes, icons, hours, days, timezones, colors, panel placement, strip clearance, retention limits, analytical thresholds, historical lookback, minimum sample count, visual modes and alerts.

Suggested use

This indicator is intended for intraday research. Five-minute charts generally provide the clearest balance between phase detail and readability. The default maximum timeframe is 15 minutes and can be changed by the user.

Possible research questions include:

- Did most movement occur early or late in the selected window?
- Was the path persistent, rotational, evenly distributed or dominated by one phase?
- Did the largest phase have an ordinary or unusual share relative to recent matching windows?
- Do different instruments show different path signatures around the same local open?
- Does a custom focus period behave differently from the standard Asia, London or New York defaults?

The study can be applied to liquid intraday markets where time-of-day behavior is relevant, including FX, index products, futures, equities and cryptocurrencies. Users should adapt the configured times to the instrument and data feed being studied.

Alerts

Optional informational alerts are available for focus-window start, focus-window completion and unusually high phase concentration relative to the selected historical percentile threshold. Alerts describe an observed state. They are not entry or exit signals.

Limitations and data behavior

- The calculation uses chart bars, not tick data, and cannot reconstruct the exact intrabar route taken by price.
- PULSE measures price travel, not traded volume, liquidity or order flow.
- Historical percentiles depend on the amount and quality of chart history currently available.
- Missing bars, illiquid periods and data-feed differences can change phase sampling.
- Holidays, early closes, exchange-specific breaks and broker-specific schedules are not detected automatically.
- Live panel values develop as new bars arrive and are not final until the window completes.
- Completed phase strips are created from information available when the window ends. The script does not use future bars or lookahead data.
- No higher-timeframe price request is used; calculations are based on the current chart bars and configured local times.
- A standard chart type is required by default. Transformed chart types can alter measured paths and are therefore disabled unless the user overrides the requirement.
- Classification results depend on the selected thresholds. Changing inputs recalculates historical results under the new configuration.
- Automatic label clearance reduces overlap but cannot control every possible screen layout, zoom level or manual chart-scale compression.

What this indicator does not do

- It does not generate buy or sell signals.
- It does not provide entries, exits, targets, stops or position sizing.
- It does not predict the next phase or the next session.
- It does not claim a win rate, accuracy rate or profitability improvement.
- It is not a strategy or a backtest system.
- It is not financial advice.

Use the output as descriptive context alongside independent analysis and risk management.