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biggest round trip move each day, descriptive statistics.

  #6 (permalink)

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


thanks but no. a standard deviation is the normalized average distance around an arithmetic average, the statistic i would like to measure is the biggest round trip movement inside every trading day.

i got some pointers from other sources and maybe i could be able to put together an indicator for ninjatrader that derived the information i'm looking for.

i was told i had to create a custom class for the difference in price for each one minute period from end to beginning for every single session. then, i would have to create a list for this type of class to hold all the values by session, rank all these observations in descending order and i would be pretty much be done at this point. i could then create several different outputs for this information: i could have the platform print out the largest positive number and most negative negative number for each session, or print out the 5 largest positives and 5 most negative negatives, or print out just the minimum between the absolute values of the largest positive number and most negative negative number which can then be used for other calculations.

i would be grateful if anyone could point me to some educational materials so that i could learn how to create custom classes, lists, and how to create a command so that the difference between all closing prices from 17:00 back to 18:00 the previous day (and then 16:59 - 18:00, 16:58 - 18:00, etc). i'm thinking custom classes and lists must be c# programming, as i understand that's the language ninjatrader runs on.

cool, thanks, regards.

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