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Looking for a statistic tool

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near Paris, France
 
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Nicolas11's Avatar
 
Posts: 1,071 since Aug 2011
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Hi,

I think that it depends how far you want to go in the analysis.

If you want to process only the trades (delete outliers, filter according to time in the day, etc...), it could be done with 3 lines of code with R. I guess that it is possible in Excel too.

Calculating MAE is another story, since you need to know how the price of the instrument has evolved during the trade.

Two not-so-difficult alternative ideas come to my mind. They both require some coding skills.

(1) import the trades list into your platform (through a study run on the chart displaying the price of the instrument), and process. It is possible with Sierra Chart (C++), and I guess that it is possible with Ninja Trader (C#) or MultiCharts .NET (C#)

(2) import the trades list and the price in R and process.

Nicolas


Last edited by Nicolas11; September 25th, 2013 at 02:24 AM.
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