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In case you have access to a Bloomberg terminal you can download the historical index components and weights for each day and then derive the according constituent and weight changes.

batman, sorry i don't know, i even don't use windows, so i have to look whether i can run it using mono or otherwise have to organise a pc first.

svn is a version control system, different users can contribute their changes, new code etc., while all historical files and changes are maintained and are replicable. for a brief introduction: http://en.wikipedia.org/wiki/Subversion_(software) i haven't looked at tickzoom in detail...

btw, you need to install the svn stuff first, as described on the homepage. but you don't need the gui, you can manage it from the console window too, e.g. as the command above.

it worked with me without problems (you need to register first). go to the destination where you want to have the files, then: svn checkout https://wush.net/svn/tickzoom/trunk/TickZoom tickzoom (tickzoom is the name of the folder where the files will be located, so you could also give...

hi mbatrader, do you use matlab2ib? we've considered this interface too, but then decided to give twslink a try. what are your experiences in terms of speed, reliability etc...? what do you think are the problems / disadvantages of twslink? thx!

Hi Richard, I think I can answer your question in more detail. We use TWSLink ( http://www.trade-commander.org/twslink/twslink.htm ) for the connection to IB. We have just started with this project some days ago, so far the connection to IB works (receive market data, order placement, ...)...

hi travis, some time ago i analysed the frequency of swing high/lows during the trading day for the sp500 future. a swing high was defined as a high (5min bars) that is - higher than the previous 20 highs - higher than the following 20 highs and the opposite for swing lows notice that...

that was my thought too, so i lately started to define trendiness using intraday data. i did some initial work with the “efficiency ratio”, also called “fractal efficiency”. perry kaufman uses this concept in his adaptive moving average. sounds complicated, but actually it’s rather...

apex82, thanks for your comments. i’ve a question regarding the ATR EMA breakout suggestion: with “breakout above”, do you mean that the ATR of the last 10 days is higher than its 8EMA for an “above breakout”? so, when (ATR,10) > EMA((ATR,10),8) then expect high range and trendiness on...

yes, in my experience it's still rather elusive, but maybe different conditions - like the suggestions from apex82 - can help to produce better results. two other ideas that come to my mind: 1) include other time series / other markets. for instance, if today crude oil (or commodities in...

it would indeed be very interesting, whether there are stocks that are on average more trendy than others. a possible strategy would be in such a case to form 2 groups of stocks with equal size (10 or more stocks each). then apply only a breakout strategy (e.g. ORB) to the trendy group and only...

hi everybody, my first post here on ET. as i have done quite a bit of research regarding trendDays, range, etc., i’ll post some findings in the hope to provide a basis for further discussion, comments and research ideas. i analysed the sp500 future from 1990 to 2004 (so i have an...