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Looking for a statistic tool
Started:September 24th, 2013 (02:05 PM) by tbmuc Views / Replies:314 / 2
Last Reply:September 24th, 2013 (04:07 PM) Attachments:0

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Looking for a statistic tool

Old September 24th, 2013, 02:05 PM   #1 (permalink)
Elite Member
Munich, Germany
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Platform: NinjaTrader
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Looking for a statistic tool

Does anybody know a statisctic tool which is able to import a trade list as csv (e.g. from amibroker), filter the trades and create stats from the filtered trades?

Thereby it should be possible to get stats for a specific time periode without retest and to remove trades with unusual high profits. Another nice feature would be to estimate the effect of sucequently introducing initial stops by aim of the MAE.

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Old September 24th, 2013, 02:05 PM   #2 (permalink)
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Old September 24th, 2013, 04:07 PM   #3 (permalink)
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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.


Last edited by Nicolas11; September 25th, 2013 at 01:24 AM.
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