Statistics

[DutchDandy 10]

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

[MightyMouse 12]

If your partner is good at algorithmic trading, then why are you trying to reinvent the wheel?

[DutchDandy 10]

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.

[SIUYA 11]

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.

[DutchDandy 10]

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.

[DutchDandy 10]

I have had two reactions, but no answers to my question...

[Savant 10]

I would help, but cant...

[SIUYA 11]

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.

[OFA_trader 10]

@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