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biggest round trip move each day, descriptive statistics.

  #4 (permalink)

quintana roo, méxico
 
 
Posts: 79 since Mar 2013
Thanks: 222 given, 38 received

SMCJB,



thanks.



i would like to generate these daily statistics for a 10 - 15 year period on a number of instruments.


what i think could work would be to take all the closing price data for 1 minute intervals and then from the last minute of the day (let's say 17:00 et for nymex instruments), subtract the price for all earlier values that day (16:59 on the same day and back to 18:00 the previous day), then take the next to last period (16:59) and once again calculate its difference against all previous periods (16:58 to 18:00) and so on until the first two observations of the day (18:01 and 18:00).


once all these subtractions have been calculated for all the 1 minute intervals in a same day, i would just need all these values to be ranked from the biggest positive value to the most negative negative value and the smallest of these two extreme subtractions in absolute value would be the statistic i'm looking for: the biggest round trip move that particular day.


i think i can deal with the mathematical and statistical concepts to obtain this information, but this analysis is way beyond my coding capabilities right now. i don't know whether it could be possible to create an indicator that performed these operations on ninjatrader or tradestation. and in case the price data could be exported to spreadsheet or database analysis programs i wouldn't know how to get the program to differentiate each separate session, perform these calculations over and over for each one of them and then present a final tabulation by date.


this is an important statistic for me because i have been putting together strategies for 60 minute and larger bar charts and the assumptions that are made for this data (just what you mentioned, the ohlc or olhc assumptions) ignore all the price action inside the bars and make historical data completely different and unreliable when compared to live tick by tick data.


this analysis deals with very basic operations and processes (subtractions, rankings, absolute values, minimums), so i don't think it would be too difficult for experienced, accomplished programmers to put it into code. i will also try to find other forums about programming and coding and see if i can get help with this. thanks.

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