Frequency distribution guidance request - help !

June 18th, 2010, 12:25 PM

Frequency distribution , has anyone a way to accomplish this as per ---->

Backtesting is a waste of time.

Instead, calculate the statistics of the instrument.

Find the (daily/weekly/monthly) min, max, mean, mode and median for:

a) the wicks ( high - top and bottom - low)

b) net change ( high - open ) and ( open - low …

# 187

Ive searched our forum and thought we might have a tool to accomplish this , to no avail . If anyone has some guidance Id appreciate it , maybe some sort of template to follow ( for the computer illiterate to build a spreadsheet maybe ) or links for details .

June 18th, 2010, 12:29 PM

Is not something like the use of market profile?

Luke.

June 18th, 2010, 12:34 PM

Store each variable in a list object and then analyze the lists to get the frequency distributions.

June 18th, 2010, 12:40 PM

TRO2010_DW_COUNT_UI
aHelp[0] = "TRO2010_DW_COUNT_UI" ;
aHelp[1] = "Displays frequency distribution of" ;
aHelp[2] = "high minus open when daily open is" ;
aHelp[3] = "greater than or equal weekly open" ;
aHelp[4] = "or open minus low when daily open is" ;
aHelp[5] = "less than or equal weekly open" ;
aHelp[6] = " " ;
aHelp[7] = "User can enter the ranges via inputs" ;
aHelp[8] = " " ;
aHelp[9] = " " ;
aHelp[10] = "column 1 is number of occurrences" ;
aHelp[11] = "column 2 is % of total" ;
aHelp[12] = " " ;
aHelp[13] = "DWLong = TRUE: count daily (High - Open)" ;

aHelp[14] = "DWLong = FALSE: count daily (Open - Low)" ;

Something more like this , like backtesting . A way to describe variables and establish the frequency distribution . For forex I dont think MP will succeed due to the way volume is reported .

June 18th, 2010, 12:43 PM

Zondor

Store each variable in a list object and then analyze the lists to get the frequency distributions.

Thats closer I think , just need a little hand holding thanks . List objects = chinese ( I dont speak it sorry ) .

June 18th, 2010, 03:09 PM

this is a ordinary sample of a list and what you can do

Code

                            


List<double> myGenericDoubleList = new List<double>();


//do something on barupdate()

myGenericeDoubleList.Clear();

myGenericDoubleList.Add(High[1]);
myGenericDoubleList.Add(Low[1]);
myGenericDoubleList.Add(...);
myGenericDoubleList.Add(...);
myGenericDoubleList.Add(...);
myGenericDoubleList.Add(...);

Code

                            

private double getAverage(List<double> doubleList)
{
    double total = 0;
    foreach (double value in doubleList)
    {
        total += value;
    }
    double average = total / doubleList.Count;
    return average;
}

Code

                            

double finalAverage = getAverage(myGenericDoubleList);

June 18th, 2010, 04:05 PM

You can analyze your data in Excel and display it in a histogram (a column chart that displays frequency data) by using the Histogram tool of the Analysis ToolPak. This data analysis add-in (add-in: A supplemental program that adds custom commands or custom features to Microsoft Office.) is available when you install Microsoft Office Excel 2007, but it might not be loaded automatically.

Important If you don't see the Data Analysis button in the Analysis group on the Data tab, you must load the Analysis ToolPak add-in.

June 18th, 2010, 07:15 PM

If you want to trade off that idea, you would want to display support and resistance lines on your chart.

(a) Find the daily/weekly/monthly low, high, mean, mode etc.

-> Have a look at low, high, midline and volume weighted average price of prior month and current month, prior week, and curent week, prior day and today, all displayed via SessionPivots indicator (download section)

(b) net change (high - open)

-> you would want to code an indicator that loads the values for high-open and open-low for the last 14 days (or whatever you think appropriate), and then calculate a mean and a standard deviation

(c) range (high - low)

-> you would need to calculate an ATR(14) from daily bars and add that to the current low or substract it from the current hig

These indicators are not difficult to implement. It is very similar to the original idea behind floor pivots: You need a reference (typical price = high + low + close) and a measure for volatility, such as the range specified under (b) or (c).

If you look at floor pivots there is

- a reference -> the main pivot
- a first support level S1 -> pp + (pp-current high), which adds volatility to the reference in a way RO suggests under (b)
- a second support level S2 -> pp -range, adding volatility as suggested by RO under (c)

So this guy just stole the idea of pivots, replaced the main pivot with the open and then the range with a range distribution over x days. The pivot indicator just takes into account yesterday's range, while RO wants the average range of x days.

But we can do better than that:

Take a better reference, which would be VWAP of yesterday and than add Avg(prior day VWAP - currentLow) and subtract Avg(currentHigh - prior day VWAP), where the averages are calculated over x days. Note that we add downward volatility and substract upward volatility here.

This is a modernized floor pivot indicator in a way RO proposes.

You can also build a confidence interval for the average true range and replace support and resistance level with support and resistance zones.

An example how to trade these reaction or breakout points is The Reaction Trend System, published by Welles Wilder in 1978 (!) in his book "New Concepts in Technical Trading Systems", see Section VII.

June 19th, 2010, 10:30 AM

Fat Tails

If you want to trade off that idea, you would want to display support and resistance lines on your chart.

(a) Find the daily/weekly/monthly low, high, mean, mode etc.

-> Have a look at low, high, midline and volume weighted average price of prior month and current month, prior week, and curent week, prior day and today, all displayed via SessionPivots indicator (download section)

(b) net change (high - open)

-> you would want to code an indicator that loads the values for high-open and open-low for the last 14 days (or whatever you think appropriate), and then calculate a mean and a standard deviation

(c) range (high - low)

-> you would need to calculate an ATR(14) from daily bars and add that to the current low or substract it from the current hig

These indicators are not difficult to implement. It is very similar to the original idea behind floor pivots: You need a reference (typical price = high + low + close) and a measure for volatility, such as the range specified under (b) or (c).

If you look at floor pivots there is

- a reference -> the main pivot
- a first support level S1 -> pp + (pp-current high), which adds volatility to the reference in a way RO suggests under (b)
- a second support level S2 -> pp -range, adding volatility as suggested by RO under (c)

So this guy just stole the idea of pivots, replaced the main pivot with the open and then the range with a range distribution over x days. The pivot indicator just takes into account yesterday's range, while RO wants the average range of x days.

But we can do better than that:

Take a better reference, which would be VWAP of yesterday and than add Avg(prior day VWAP - currentLow) and subtract Avg(currentHigh - prior day VWAP), where the averages are calculated over x days. Note that we add downward volatility and substract upward volatility here.

This is a modernized floor pivot indicator in a way RO proposes.

You can also build a confidence interval for the average true range and replace support and resistance level with support and resistance zones.

An example how to trade these reaction or breakout points is The Reaction Trend System, published by Welles Wilder in 1978 (!) in his book "New Concepts in Technical Trading Systems", see Section VII.

Very enlightening , thanks for all the suggestions from everyone . What I aim to pin down is the most efficient bias' and targets within certain price " zones " that produce edges for forex , particularly for intraday . What TRO offers here is a tool to divine this info unfortunately its a metatrader EA . One thought is to just donate and use the TRO EA on a free demo I have access to and another is to build my own in ninja but Id need to find historical data . Id prefer to build my own so as to have full understanding and control . Again , thanks for the help .

Frequency distribution guidance request - help !

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Frequency distribution guidance request - help !