I agree with @vivaldi2. i am learning this now and i used the same formula but applied to 1 minute and in ET timezone.
my understanding of dayLow is that it gets the yesterday's lowest price of the day and dayHigh gets the yesterdays highest price for the day.

The day high seems to be working properly. but the day low is not.

[Linked Image]

formula i used is as below
Code
function run()
{
	
	BarPeriod = 1;
	LookBack  = 0;
	
	
	asset("EUR/USD");
	

	
var session_high = dayHigh(ET,1); //
var session_low = dayLow(ET,1); // 
var session_pivot1 = dayPivot(ET,1); // 


plot("USUTC-1 Session High Price", session_high, MAIN, GREEN); 
plot("USUTC-2 Session Low Price", session_low, MAIN, GREEN); 
plot("USUTC-3 Session Pivot", session_pivot1, MAIN, YELLOW); 

}