XBTUSD TRUE RANGE UTC TIME DIST 201809-201905 (%)

XBTUSD TRUE RANGE UTC TIME DIST 201709-201905 (%)

ETHUSD TRUE RANGE UTC TIME DIST 201809-201905 (%)

$$PCT_{hour} = \frac {\sum_{i=0}^{n/24}(TrueHigh_{24*i+hour} -TrueLow_{24*i+hour})} {\sum_{i=0}^n(TrueHigh_i - TrueLow_i)}$$

计算使用Bar的CloseTime, 所以算到中国+8时间, 早上04:00-05:00 早上8:00-9:00, 晚上12:00-01:00, 最容易变盘

在中国+8时间,活跃交易段在早上04:00 - 9:000, 晚上08:00 - 12:00

true-range-time-distribution.xlsx