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--- In amibroker@xxxxxxxxxxxxxxx, "bilbo0211" <bilbod@xxx> wrote:
>
>
> I will give some examples of what I would like to be able to do.
>
> 1. http://www.topgunsoftware.com/ has some interesting trading
tools.
> One thing it does is make statistical range projections (i,e., next
> bar's high and low with confidence levels). I would like to do
> something similar with Amibroker.
>
I have had a quick look at that site and yes, there are one or two
interesting things there e.g. the idea that buyers/sellers taking the
offer are agressive, cf passive traders who set a limit, and
therefore they are influencing the market in a way that allows
prediction is one of them. It's beyond the capabilities of most
traders to test that type of thing though - you have to be able to
acquire, manage and analyse vast amounts of data 'on the fly' (unless
you are willing to test their idea out with real money).
(Now that I have said that someone will probably jump up and say that
you can do it in AB).
I use a lot of basic stats in my work so I am interested in your
comments - I describe myself as a naive mathematician though.
Re statistical ranges with assigned probability levels (like a
probability cone?).
I think you need to be absolutely clear what it is you are asking for
before you can consider if it can be done e.g. they talk about
something called "statistical range projections" and somewhere else
the "average bar range and vol" (they don't say how many bars the
average is calculated over) - are they related to each other or
separate?
Whether or not you can model your ideas depends on how complex the
model is that you envisage.
My model might be entirely different to yours so wouldn't we first
have to agree on the model?
Anyway AB definitely doesn't do frequency distributions and/or plot
them.
> 2. I would like to do a statistical analysis of how often Pivot
Point
> S/R levels hold and see if there is any correlation to ATR.
>
I guess by Pivots that you mean the (H+L+C)/3 version?
Once again you would need to clarify exactly what you want to do.
Possibly you are mixing two ideas together there.
In Howard's book,Quantitative Trading Systems, he uses a 'hold for x
days' stategy to benchmark entries, which is a fair enough method.
Volatility band crosses e.g. ATR bands is another method that I have
used.
Pivot S/R lines I would consider more as an exit method so I would
test the efficiency of them as an exit strategy (stop loss and profit
stop) in a different way (from memory Howard also gives example
methods for doing that).
I have done similar things using very simple, albeit rather tedious
methods, within AB (it is a good place to do it because I get the
visuals with the charts and also the Reports from Explorer to back up
the study). I start with the simplist logic that I can boil it all
down to and then see if I can do it in AB - if I can't, and it is
important, then it is time to go to another program - so far I
haven't found the need to use Matlab or similar.
Not to dissuade you though - often our own ideas (hunches) lead us to
the best outcomes, or 'learnings', when we follow them - I am just
suggesting you power up the ideas.
> 3. I would like to do a statistical analysis to see if there is any
> bias as to when (time of day) the high and low occur.
>
Kaufman provides a nice intro to this type of analysis in his
book "New Trading Systems and Methods" e.g. for S&P futures the H/L
near the opening or close are significant.
Pretty easy in AB if you have the data and the patience.
> Does Amibroker have any built in functionality that makes these kind
> of calculations easy?
>
> Bill
>
Apparently it does!
So far I seldom use any of the stats functions and I have done
everything I wanted to do using simple methods.
I do work a lot in my head though - so that the 'lab tests' are well
organised,, and meaningful, by the time I get to do them (I analyse
to prove, or disprove, the hypothesis not to find one).
I do use Excel a lot because I am familiar with it (at an average
level of competency) - why scratch around trying to do stats analysis
in AB, or another maths program, when I can have the job over and
done in Excel - it is actually only two clicks away from AB (from the
users point of view what difference would it make if YTomasz built-in
stats analysis - it would still be two clicks away at any given time -
I doubt if Tomasz will ever build the functionality of Excel into AB
anyway- after all Excel is a powerhouse in its own right so why
reinvent the wheel - it's just as easy to export to a specialist
maths/stats/graph program if you need it.
FYI
I did spend 100's or 1000's of hours in Excel studying the 'null
hypothesis' - the 'random walk' - otherwise known as an RNG (not a
super-dooper one I know but good enough for my purposes).
"Sometimes the best way find out 'what is' is to get a handle
on 'what isn't', especially if the little bugger is proving a bit
slippery to get a hold on.
Here's to lots more stats fun in the future!
brian_z
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