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What is a good "system" for data analysis ?
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What is a good "system" for data analysis ?

  #1 (permalink)
The Narrow Road
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What is a good "system" for data analysis ?

I asked a question in the "Homework and Statistics" thread and thought I would bump it to the front page.

Here is the Question !

I'm looking for opinions on the best stuff available now to do statistical studies that combine

- price
- volume
- other market indicators ..

p

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I like just excel. Simple filtering, conditional formatting, pivot tables and nested if functions can give you good answers. However I must admit that setting up the data is sometimes painful and timeconsuming. I use NT to export data, but I think I read somewhere that some platforms offer good data exporting to excel possibilities.

One of my worst enemies are my own false assumptions

Last edited by Zwaen; September 22nd, 2014 at 03:37 AM. Reason: typos....too early in the morning
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Zwaen View Post
I like just excel. Simple filtering, conditional formatting, pivot tables and nested if functions can give you good answers. However I must admit that setting up the data is sometimes painful and timeconsuming. I use NT to export data, but I think I read somewhere that some platforms offer good data exporting to excel possibilities.


Many thanks for your reply !! So .. how precisely would I export data from NT to include things like

Open
High
Close
VWAP
ADR
Opening Range

etc ...

p

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Hi Podski,

I use the exportdata indicator from bmt, couldn't find it quickly, but it should be in the downloads section.
You can export minute ( or larger) data and you have to set up the data in a uniform way.

If you set this up correctly, some of the things you name are easily calculated, like
OHLC data , ADR is found by using formulae MIN and MAX over your predefined time period, and vwap for example just google how to calculate it in excel or even look on youtube.
In my experience setting up the data in a structured way is the though part.

One of my worst enemies are my own false assumptions
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I use SQL, specifically, Microsoft SQL Server, mainly for portfolio analysis, non-existent in Ninjatrader. Big Mike uses MySQL / MariaDB. SQL is a powerful and flexible querying language. Lots of people use R as well.

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shodson View Post
I use SQL, specifically, Microsoft SQL Server, mainly for portfolio analysis, non-existent in Ninjatrader. Big Mike uses MySQL / MariaDB. SQL is a powerful and flexible querying language. Lots of people use R as well.

Hi @shodson,

Sure - SQL is powerful but have you designed any sort of DB for it or just dumped into a single table.

Do you hold price and volume data separately ? How about other attributes ... like opening range ... or anything else that you use. The opening range is for instance fixed for the day but invalid before the end of the 1st hour (using my rules). How do you store this sort of info ?

I'm looking at @MXASJ s strategy for exporting - it can be nicely modified to include other indicators ... I guess ... but the DB design will be the enabler ...

I have no experience of any sort of OLAP DB ... or tools such as Matlab or R. They seem like the sorts of tools that are hugely powerful. I watched @IlyaKipnis webinar ...and have downloaded R but there is a huge work/programming gap.

Like many of us I have everything I need in Ninja ... but just need it in a more flexible format.

It's a bit of a puzzle ... seems like a mammoth task.

p

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podski View Post
Hi @shodson,

Sure - SQL is powerful but have you designed any sort of DB for it or just dumped into a single table.

Do you hold price and volume data separately ? How about other attributes ... like opening range ... or anything else that you use. The opening range is for instance fixed for the day but invalid before the end of the 1st hour (using my rules). How do you store this sort of info ?

I have a table for OHLC and volume, and another table for "metrics", say the SMA200 value of that instrument on that day, ATR, Range, whatever metrics I want to track. Then I can backtest using SQL statements based on my metrics. I only analyze daily bars, end of day, so intra-day moves are not my concern.


podski View Post
It's a bit of a puzzle ... seems like a mammoth task.

p

It's part of the work of trading, and I enjoy it. I've been working with SQL for 20 years so it's second nature to me for solving problems with large data sets.

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shodson View Post
I use SQL, specifically, Microsoft SQL Server, mainly for portfolio analysis, non-existent in Ninjatrader. Big Mike uses MySQL / MariaDB. SQL is a powerful and flexible querying language. Lots of people use R as well.

Like Shodson, I suggest saving data to a MySQL database or SQL database then using one of the following:

Matlab
R
Python

My personal choice is Python because it can do so much more that Matlab and R and plays very nicely with Databases. Check out the site : http://http://www.quantstart.com/ They have extensive free Python code for doing just what you are looking for. You will also need to research Ninatrader (C#) to SQL or MySQL.

Cheers,
Sody

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It all depends on your time frame too.

I am reminded by the Berklee DB book i have on my shelf from trying to build a tick database that was doomed from the start.

For me, the power of daily data is a tradeoff between the granularity of higher frequency data vs the power of the full breadth of global instruments, exchange rates, everything at your fingertips with someone else doing all the storage and updating for free.

My analysis is largely pulling in data from quandl, yahoo or google and then scribbling my ideas down in an ipython notebook. Someday I can see myself having a giant pytable or pytables of pandas dataframes but the time spent on keeping things updated gives me pause right now.

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