Datamining Market Statistics

[cleon 10]

Hello,

 

I am currently a TS user and trying to develop code to pull out statistics on when the highs and lows of the day occurred, and to play with some Market Profile studies such as the IB, the range for the day, and how it relates to the IB, etc. You get the idea. My question is...is it possible to mine this data from TS, or is the data already out there somewhere and accessible, or is another tool preferable to do this kind of research??

 

Thanks in advance for any input!

[MidKnight 12]

Hello,

 

I do this type of simple data mining with Neoticker and R.

[darthtrader3.0beta 10]

https://www.tradestation.com/support/webinars/archived_seminars.aspx

Click on market analysis tab

"Archived Seminar Statistical Analysis and Data Mining

TradeStation is much more that just a historical charting tool. With the integration of EasyLanguage, historical charts become a historical database of market action that can be mined for statistical information. We will use custom indicators to pull statistical information out of the chart based on any trading idea or concept.

 

Download Seminar Materials: DataMining.zip"

[cleon 10]

I've gone through that presentation and it seems to basically just describe the canned strategies you can use in TS. Unless it's just my limited knowledge of EL that's keeping me from seeing something else in there.

[darthtrader3.0beta 10]

Ahh, I'm not a TS user, I just remembered that tutorial from awhile back.

I've tried to do some stuff like this in ninjatrader with spitting things to the ouput window then copying into excel but it is quite tedious.

Neoticker as mentioned above has a time distribution indicator, I guess you could take some hints from it and try doing something like it in easy language.

http://newsletter.neoticker.com/2006/03/06/an-introduction-to-time-distribution-analysis/

[cleon 10]

Yeah, I know it's possible in TS but was hoping for a simpler solution than spending three days trying to write code. Seems like it should be easier than it was when I attempted to code it last time. Anyway, thanks for the input, I have a feeling I'm going to have to just slug through the coding again. Sad thing is, I received more responses here than I did in the TS forums! Anyway, thanks again for the replies. I'll post a follow up if I can get it to work.

[MidKnight 12]

cleon,

 

As DT v3b stated above, Neo has time dist indicator (and distribution plot). While it is useful, I instead knocked up a simple tool with flexibility to mine whatever I want and allow the data to be easily exportable so I can pull it into R. You will always have to code stuff stuff like this because few people find a need for it, as most still want your MACDs and Stochs.....

 

Best of luck,

MK

[cleon 10]

Ok, thanks guys. I appreciate the feedback. At least I know I'm not overlooking something simple so I guess it's time to dust off the old EL manual. Thanks again.

[UrmaBlume 10]

Hello,

 

I am currently a TS user and trying to develop code to pull out statistics on when the highs and lows of the day occurred, and to play with some Market Profile studies such as the IB, the range for the day, and how it relates to the IB, etc. You get the idea. My question is...is it possible to mine this data from TS, or is the data already out there somewhere and accessible, or is another tool preferable to do this kind of research??

 

Thanks in advance for any input!

 

With a simple dll and some easy language you can export anything from TS. We create arrays so that we can not only export inputs but offset price differences which serve as targets to models. The dll allows us to export any data in any format to any sql compatable db including MSAccess.

 

We also use similar dlls and easy language to support applications such as our Market Heads-Up Display shown below. This data is exported tick by tick in real time.

 

 

[darthtrader3.0beta 10]

cleon,

 

As DT v3b stated above, Neo has time dist indicator (and distribution plot). While it is useful, I instead knocked up a simple tool with flexibility to mine whatever I want and allow the data to be easily exportable so I can pull it into R. You will always have to code stuff stuff like this because few people find a need for it, as most still want your MACDs and Stochs.....

 

Best of luck,

MK

 

Midnight, could you describe your neoticker tool a bit more? I was just going to try to see if I could do something like in that neoticker blog with a ninja strategy but the problem is your basically making a new strategy for each thing you want to mine. Are you doing anything more than just spitting out bar data in a form that R likes?

[cleon 10]

Just to have some closure on this topic, I found that it was much easier than I could of possibly imagined.

 

1 - open chart with desired timeframe and set amount of data to view

2 - open Data Window

3 - save

 

End of story. Open with Excel or another other favorite data massaging program and enjoy.