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.


×
×
  • Create New...

Important Information

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