Best way to research this?

F

filter_sweep

Consider the following question:

“Within a given time period, how many times has instrument abc moved x points/percent on an intraday basis before a retracement of y percent?”

Can anyone share some insight on the best software (for a reasonable price) for running these queries? Are there any quant-related websites out there that have data you can query against? I’ve done some rudimentary programming in MT4 and NinjaTrader in the past, but never to test questions like the above. If any backtesting program will do, and you just have to program the test correctly, then it’s probably a little above my current programming skill level. (The piece that initially trips me up is how to get the code to recognize price swings the same way I do when I trade discretionary) If that’s the answer, then fine, I’ll improve my programming skills. I’m just looking to see if the wheel has already been invented.
 
Seems to probably be best to have a function that tracks every move greater than a certain value - say 1 stdev.

IF Price Move is greater than or less than +- 1 stdev,

Then add 1 to the counter.

Else keep searching through the data.


Amibroker does this fairly easy - almost a javascript pseudocode.

keep adding to the count until all the data has been searched through.

then you can get whatever statistic from the data or build a strategy from the counts.

I have found it diffucult to build strategies from this sort of counting process, so it could be a dead end.
 
psytrade is right with the general concept. (although vari is a better variable name than stdev :).

if you're looking for pre-built stuff you might also try these posts :

http://www.forex-tsd.com/137070-post1.html

http://www.forexfactory.com/showthread.php?t=32627

http://www.mjbraun.net/Forex/Mark/Mark.html

the main issue if you're looking for stocks that have a given criteria is finding the data to search through... tradestation or maybe MT4 might be the best just because they give you so much intraday data.

still it will be time consuming to search stocks even if you use bars rather than ticks.

a faster way if you're trying to find good stocks might be to take a step back... you might get an approximate starting result from a standard stock screener search like "ATR increasing over 20 days" combined with "price>10% over 20 days", and then apply your retracement filter to this smaller pre-screened basket.
 
I should also mention that if you are already trading this stuff, you can run these types of systems using tradelink, which is free and open source and supports IB, assent and any Sterling broker.

You can record tick data for any stock you wish, and design strategies to walk the data either live, simulation or historically (using recorded data).

http://tradelink.googlecode.com
 
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