Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

DutchDandy

Statistics

Recommended Posts

Hi all,

 

I have been busy crunching data for a while, because I have found a partner that does an excellent job with algorithmic trading. But I came to a hold, because statistics isn't my best skill. And I want to spot a correlation between, movement/volume etc. That is the easy part, thanks to Excel.

So what I now need is to have a tool to automaticly use the right sample size. Haven't found the function in Excel for that. When I have the right sample size, I want to have Excel tell me when a change in the stock is significant. (Change in volume and stock price).

 

The whole idea is very simple yet clever. I have set a criterium for the stocks, price range and public trade stock. You will be having a list over 500 stock, these stock tend to do nothing really. But when the algo spots a change in volume of stock price, I need to know if that move is significant enough.

 

:missy: Any Excel-wizard or statistic-geniuses around to help me out?

 

Cheers

Share this post


Link to post
Share on other sites

He is good at setting-up the rules. But you have a point....

 

My input is more analyzing my own trades and put them in to a rule. Since I don't trade like a robot, I need to set-up a couple of rules. I trade patterns and that is why I need to translate what I see as a significant increase of price and volume it to a rule. Because I want to test out a couple of statistical tests, I want to check my own historical trading data. :missy:

Having Excel calculating the sample size etc., would help me to see what I did good and wrong.

Share this post


Link to post
Share on other sites

first you had better work out what you want....it seems a bit confusing....

do you want a function, or data (as a sample size)......

 

"So what I now need is to have a tool to automaticly use the right sample size. Haven't found the function in Excel for that. When I have the right sample size, I want to have Excel tell me when a change in the stock is significant. (Change in volume and stock price). "

 

.............. I need to know if that move is significant enough."

 

OR do you want to analyse past trades?

 

"Because I want to test out a couple of statistical tests, I want to check my own historical trading data"

 

The best way to get frustrated asking for computer programming help is to not know what you want to do and be very clear about it.

Share this post


Link to post
Share on other sites
first you had better work out what you want....it seems a bit confusing....

do you want a function, or data (as a sample size)......

 

"So what I now need is to have a tool to automaticly use the right sample size. Haven't found the function in Excel for that. When I have the right sample size, I want to have Excel tell me when a change in the stock is significant. (Change in volume and stock price). "

 

.............. I need to know if that move is significant enough."

 

OR do you want to analyse past trades?

 

"Because I want to test out a couple of statistical tests, I want to check my own historical trading data"

 

The best way to get frustrated asking for computer programming help is to not know what you want to do and be very clear about it.

 

You are right, might not have been totally clear.

 

I want to project my past good trades, on a set of rules. When I look at the historical charts of the stocks I played, I see a significant change in the pattern of the price and volume. I need a set of rules that can tell me if a future change is significant. To do so I check my past trades and check how significant a change on the charts really was. That is why I need a function that automatically calculates the sample size (# of tick data) .

 

When you watch over 500 stock, you really need the right sample size to have a clear idea if the change is significant for that moment. With a too large sample size the variation is too large and with a too small sample size all the changes become significant.

 

I now use a static rule on the sample sizes. (5/10/20/60/260 days). I want to have it automatically.

 

By the way, for me a significant move is at least 2*SD.

Share this post


Link to post
Share on other sites

probably because it sounds like a rather large project....or its not being well described.

 

You would be best to write up what you are trying to achieve using an excel spreadsheet as en example on just a few stocks to show exactly what you are trying to get at. This way its clear to those who might wish to help.

If its relatively simple then some suggestion might be made....if its complex then you might need more professional help and they will require such a write up to bes tunderstand what you are trying to get at.

 

mainly as this still is hard to follow......

"I want to project my past good trades, on a set of rules. " What rules?

"When I look at the historical charts of the stocks I played, I see a significant change in the pattern of the price and volume. I need a set of rules that can tell me if a future change is significant. " ????? do you want someone else to provide rules?

 

"To do so I check my past trades and check how significant a change on the charts really was. That is why I need a function that automatically calculates the sample size (# of tick data) ."

 

/.....it might just be a language barrier, but for me an example is required from you to help people.....who might then be able to help you.

Share this post


Link to post
Share on other sites

@DutchDandy

So far what I have understood is that you are looking for a statistical algorithm which will scan all your data set and then come up with the relevant number like 30,000 is the change in volume and 2 is the change in price then most of the time that scrip rallied. It was just an example.

If that is what you're looking for or that kind of analysis then I will strongly recommend use proper statistical software like Revolution R or Matlab. Excel has lot of limitations, and best thing about these softwares is that they are capable to produce add on for Excel itself. So if any function is absent in Excel then Excel will use Matlab's functions in the form of that add-on.

Regards

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • AXON Enterprise stock, top of range breakout at https://stockconsultant.com/?AXON
    • FOUR Shift4 Payments stock with a solid breakout above 122.9, from Stocks to Watch at https://stockconsultant.com/?FOUR
    • EBS Emergent Biosolutions stock watch, pullback to 9.9 triple+ support area with bullish indicators at https://stockconsultant.com/?EBS
    • POAI Predictive Oncology stock with a bull flag breakout, target 2 area at https://stockconsultant.com/?POAI
    • Date: 18th February 2025.   UK Unemployment Rate Falls and The Pound Spikes Upwards.     The British Pound spikes upwards against all currencies as the UK releases its employment data. However, the latest employment data release does not give long-term confidence as the UK continues to see a higher possibility of economic stagnation in 2025. Can the GBP maintain momentum?   UK Releases Latest Employment Data! The UK employment data had its positive and negative points. The Monthly Unemployment Claims rose 22,000 which is at a 3 month high, and higher than analysts’ previous expectations. This is known to be negative for the British Pound. However, the UK also saw some positive data which investors are clinging onto. The UK Unemployment Rate fell for the first time since October 2024. The UK Unemployment Rate, to the surprise of analysts, fell from 4.5% to 4.4%. Lastly, the Average UK Salaries Index rose to 6.00%, the highest in 13 months and higher than previous expectations. This is the main reason why the GBP is increasing in value. That said, the Bank of England and economists continue to expect the UK to witness stagnation in 2025.     The British Pound The British Pound is now one of the best-performing currencies of the day so far. The US Dollar and Japanese Yen are also strongly increasing in value. The Governor of the Bank of England, Mr Bailey, is due to speak at 09:30 GMT and is likely to comment on the latest employment data.   Previously, Bailey described the UK’s economic growth as “static,” despite stronger-than-expected Q4 2024 data—0.1% growth instead of the forecasted –0.1% quarterly and 1.4% annually versus the expected 1.1%. Meanwhile, the BoE revised its 2025 GDP growth forecast down to 0.75% from 1.0% in November. Traders are also hoping Governor Bailey will comment on the possible future rate cuts.   Tomorrow at 09:00 (GMT+2), the UK will release January inflation data. Analysts expect the annual CPI to rise from 2.5% to 2.8%, while monthly prices may drop by 0.3% after a similar increase in December. The Core CPI is projected to climb from 3.2% to 3.6%.   When evaluating the GBP Index, the GBP is currently trading 0.95% higher in 2025. However, the upward price movement is largely due to last week’s Gross Domestic Product which beat expectations. The performance of the GBP will also depend on whether the US imposes tariffs. Additionally, pressure on the UK to increase defence spending could further strain the country's already scrutinized budget.   GBPUSD - Technical Analysis and Price Condition The GBPUSD is trading above the main moving averages on the 2-hour timeframe and is trading high on most oscillators. These factors indicate that the buyers are currently controlling momentum, but traders are concerned about two factors. The first is that the GBPUSD is struggling to break above the 1.26300 level and the fact that both the USD and GBP is simultaneously increasing in value. As both currencies are increasing in value, technical analysts view the price action as conflicting. On the 5-minute chart, the GBPUSD is trading at the 200-bar average price movement indicating a neutral signal. This also follows the concerns of traders that the price action is conflicting.     If the price breaks above 1.25918, the GBPUSD may witness sell signals materialize. However, if the price breaks above 1.26200, buy signals may arise which will also be in line with the indications on the 2-hour timeframe.   Key Takeaway Points: GBP rises as the UK employment data lifts GBP, but stagnation concerns remain. UK Salaries hit a 13-month high, boosting the Pound. The Bank of England Governor, Mr Bailey may hint at future rate cuts and advises the UK will witness economic stagnation. The key risks for the GBP remain inflation data, US tariffs, and UK defence spending pressure. Always trade with strict risk management. Your capital is the single most important aspect of your trading business.   Please note that times displayed based on local time zone and are from time of writing this report.   Click HERE to access the full HFM Economic calendar.   Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding of how markets work. Click HERE to register for FREE!   Click HERE to READ more Market news.   Michalis Efthymiou HFMarkets   Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in Leveraged Products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.