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Or for that matter a [n]-day low? (As it relates to market data/trading).

When does a [n]-day low get disrupted and you have to begin tallying again?

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It is the lowest price recorded in previous n days, as of last (yesterday's) close. So it in fact does not get disrupted, it is rolling with the dates.

Say 3 day low (over weekend and Monday) would be the lowest recorded price between Wednesday, Thursday and Friday. On Tuesday it would be Thursday, Friday and Monday 1 Aug.

But I would make sure to check how my source computed it in the documentation or FAQ section. They might consider only close prices for longer windows - say 52 weeks high/low etc.

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  • $\begingroup$ lets say in the case of a 10 day low, it wouldn't matter that days 4, 5 and 6 spiked so long as the 10th day was lower than the last 10 days? $\endgroup$ – farinspace Jul 30 '16 at 21:41
  • $\begingroup$ Yh it would give you the lowest value that it reached in the last 10 days regardless if its first, second of 10th day. If you consider a closed set of prices then there always will be a maximum and minimum. $\endgroup$ – Jan Sila Jul 30 '16 at 21:47
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How should an n-day low be defined?

Let's start with the simplest case: a 1 day low. We say that today is a 1 day low if the close of today is lower than the close of yesterday: $c_t<c_{t-1}$. This is the same as a Down Day.

Generalizing, today is a 2-day low if $c_t<c_{t-1} \wedge c_t<c_{t-2} $. In words: today's close is below both yesterday's close and the day before close.

An n-day low is defined by n comparison operations: today's close is below n previous days: $c_t<c_{t-1} \wedge c_t<c_{t-2} \wedge \cdots \wedge c_t<c_{t-n}$

Note that this definition differs from the definition given by Jan Sila: what he calls a 3 day low I consider a 2 day low. Both definitions are used, so it is best to check how an author defines it. To distinguish the two definitions we could refer to the definition given here as a "n comparison low" (since it makes n "less than" comparisons), while the definition Jan Sila gave is a "n datapoint low" (since it uses the data of the last n datapoints).

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  • $\begingroup$ I guess it is all dependent on the verbiage .. I assume then, that "n-day low" is a non standard term and may ultimately mean what ever the author defines it as? Or what is it typically defined as? $\endgroup$ – farinspace Jul 31 '16 at 5:51
  • $\begingroup$ Agreed! It is always necessary to check how its computed, or I think even better is to do it yourself :) $\endgroup$ – Jan Sila Jul 31 '16 at 9:43

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