[davewolfs]

Hey everyone,

Quick question for you pros. Is there any software out there that will allow me to back test how the market reacted after a specific event occurred over the course of a specific time period.

Say for example, the market hit a 20 day low and I wanted to know how many times the market bounced when hitting a 20 day low since 2000 and what the average return after the bounce was vs the average S&P gain over a two day period without previously hitting a 20 day low.

I'm sure some sort of tool/package exists to compute these types of statistics, could this easily be done with tradestation? Any recommendations would be appreciated.

Thank you,

Dave

[Blaiserboy]

I am sure you can code this in TS or any of the other packages.

[Charlton]

To achieve the type of report you require would need a system that had a programming language. Certainly TS could do that. Amibroker could as well.

The most important thing with any kind of report/strategy like this is to "convert" your ideas into a series of well-defined steps, which can be easily converted into program logic.

So in the example you gave you would need to specify how to calculate "average return after the bounce" precisely. For example the average return would be over what period. I assume that you mean 2 days because you mention later that you want to compare it to S&P over 2 days.

One way to get into this mindset would be to download prices into, for example, excel and then attempt to create some calculation cells that illustrate how you would go about this. Once it is done manually/semi-manually in excel you have a good example that could be coded up via tradestation Easylanguage for example.

Charlton

[Tams]

Originally Posted by davewolfs »

Hey everyone,

Quick question for you pros. Is there any software out there that will allow me to back test how the market reacted after a specific event occurred over the course of a specific time period.

Say for example, the market hit a 20 day low and I wanted to know how many times the market bounced when hitting a 20 day low since 2000 and what the average return after the bounce was vs the average S&P gain over a two day period without previously hitting a 20 day low.

I'm sure some sort of tool/package exists to compute these types of statistics, could this easily be done with tradestation? Any recommendations would be appreciated.

Thank you,

Dave

you can see this for sample:

How many times does the mini S&P future touch or exceed the R3 or S3 range on pivot points?
http://www.traderslaboratory.com/for...ysis-6420.html
see post #3 for code and sample output.



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