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Best Platform for ad hoc Simple Statistics
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Best Platform for ad hoc Simple Statistics

  #1 (permalink)
Trading Apprentice
New York, New York, USA
 
Futures Experience: Advanced
Platform: Tradovate & Investor R/T
Favorite Futures: Emini ES
 
Posts: 23 since Jun 2016
Thanks: 12 given, 20 received

Best Platform for ad hoc Simple Statistics

Consider:
- If the ES is down 3 days in a row, what has happened on the 4th day?
- What typically happens on the last day of the month? the quarter?
- What typically happens if the ES gaps up 10? up 20?

My question: What is the best platform for writing quickly a study to measure statistics like these? I'm thinking that as questions like the above occur to me during the day, is there a platform well-suited to doing a quick and dirty analysis in 15 minutes or so?

I'm assuming the contenders are EasyLanguage in Tradestation or Multicharts, Investor RT, and Sierra Chart.

I took a computer programming course in college and have some experience writing simple indicators in EasyLanguage, but I am by no means a developer.

All thoughts will be appreciated.

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  #2 (permalink)
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  #3 (permalink)
Elite Member
Sydney, NSW, Australia
 
Futures Experience: Beginner
Platform: Sierra Chart, Python, C#
Broker/Data: Interactive Brokers
Favorite Futures: MJNK, ASX, SPI
 
Posts: 98 since Jan 2014
Thanks: 70 given, 113 received


I use NinjaTrader C# to code up my stats queries, but get the strategy to output to a csv which I can then analyze in excel. This I have found to be the quickest (<30min) way to get an answer. I'm sure the same thing could be done in Easy Language via TradeStation or MultiCharts.

I focus on using the strategy code to calculate things which are annoying to do in excel, like multi-conditional events, i.e. break IB > return to Mid > make new High. But rather than just outputting a TRUE or FALSE, I output the minute it occurs or the bar it occurs. This way I find the data has more uses once in Excel and you can get more from the same data and dive a bit deeper.

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  #4 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,122 since Dec 2013
Thanks: 1,747 given, 3,349 received
Forum Reputation: Legendary

Very easy and fast to do in Morningstar's Commodity Data Addin or Commodity Query, but unfortunately not the cheapest software around.
 
Code
SHOW
1: 1 day change of ES
WHEN
Close of ES 1 day ago is less than Close of ES 2 days ago
AND
Close of ES 2 days ago is less than Close of ES 3 days ago
AND
Close of ES 3 days ago is less than Close of ES 4 days ago
I've just started using Tradestation but I know you can append a csv file so that should be relatively easy to do as well.

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  #5 (permalink)
 R.I.P. 1969-2016 
montreal quebec/canada
 
Futures Experience: Beginner
Platform: CQG/NT7
Broker/Data: IB/AMP/CQG
Favorite Futures: CL
 
Okina's Avatar
 
Posts: 2,149 since Sep 2015
Thanks: 758 given, 5,420 received


Laconic View Post
Consider:
- If the ES is down 3 days in a row, what has happened on the 4th day?
- What typically happens on the last day of the month? the quarter?
- What typically happens if the ES gaps up 10? up 20?

My question: What is the best platform for writing quickly a study to measure statistics like these? I'm thinking that as questions like the above occur to me during the day, is there a platform well-suited to doing a quick and dirty analysis in 15 minutes or so?

I'm assuming the contenders are EasyLanguage in Tradestation or Multicharts, Investor RT, and Sierra Chart.

I took a computer programming course in college and have some experience writing simple indicators in EasyLanguage, but I am by no means a developer.

All thoughts will be appreciated.

Mathlab is really cheap for personal use and will do all you want and the language is really easy to learn (nothing like C). Trading platform are not meant for that even if you can dothat but it will be limited and sometime complicated due to those limitations.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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