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#3 (permalink)
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near Paris, France
Experience: Beginner
Platform: -
Trading: -
Posts: 1,071 since Aug 2011
Thanks: 2,232 given,
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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
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