Some (Interesting/Useless) stats on the SPI

[Trembling Hand]

Thought I might post some stats that I play around with for fun (Whoopee!! )

 

[jersey10]

Thought I might post some stats that I play around with for fun (Whoopee!! )

so does this mean you are more likely to get your outlier moves early in the day and late in the day?

Empirically speaking, do you find that you take more points out of the spi during the times when the range is greater?

 

[Trembling Hand]

No great surprise in these stats. But you need to know what to expect. Both for possible profit and for possible losses and therefore MM/position sizing.

No point having a 30 point profit target if you hold for 10 min. the Averages are not in your fav. Especially outside the open & close.

 

[AzzaB80]

Thanks very much for this TH.

Do you have any stats on how often one extreme of the day is set in the first hour?

Also, is it possible to export historical data out of IB and into Excel & do you know how?

Cheers
AB

 

[Trembling Hand]

Thanks very much for this TH.

Do you have any stats on how often one extreme of the day is set in the first hour?

Also, is it possible to export historical data out of IB and into Excel & do you know how?

Cheers
AB

Down load Ninja trader connect it to IB then use the "Export Historical Data" function.

Can probably do a test on that but not sure what you would do with such info.

 

[Trembling Hand]

These stats are for the XJO but interesting and applicable to trading the SPI in any case,

Chances of the daily High or Low also being the weekly High or Low,

Bit more about it on my last blog post.

 

[brty]

Thanks for the stats TH, they are indeed important...

They mean....






























Start lunch early and have a long one...

brty

 

[Trembling Hand]

Start lunch early and have a long one...

brty

Yeah, especially if your Monday trade has not been stopped out yet. lunch can go right up to Friday arvo.

 

[brty]

Sorry, didn't look at the last stats.

Let's just add a mid week break, to recover from Mondays long lunch..

brty

 

[ThingyMajiggy]

Nice stats TH

I have been trying to do some for the HSI. Got the 10 Minute Range here from todays morning and afternoon sessions, probably doesn't mean much, is there some easy fast way of doing this over the whole month or something?

For this I just exported todays minute data and did it all manually and went down each column, so column D1-D10, D11-D21 etc for both sessions on the high and low, could I do the drag down thing after entering it into 1 column? That way I could import the whole months minute data and find the X minute range way easier, would take ages doing it this way!

Also, to actually use stats like this, you would say that for eg. you would be pushin it hoping for a 50-60 point target in the middle of the session if you held for 10 mins?? Targets of 20 points are much more realistic?

Cheers

 

[ThingyMajiggy]

Oh also, does anyone know how to calculate if a cell is less than the 2 cells above it? I want to see how many times we get X lower closes in a row, but not sure of formula eg. I want to know if cell E3 is less than cell E2 AND E1.

I've tried:

=E3<E2,E1
=E3<E2+E1
=E3<E2ANDE1

No success yet

 

[Trembling Hand]

lol Sam. You have to learn how to use the drag down auto fill in thingo. For god sake!!!

Here is the formula you are looking for,

=IF( E2<E1,IF(E3<E2, TRUE, FALSE))

 

[skyQuake]

Or you can also use the 'and' function, it'll save you some effort; not the mention the logical nightmare when there are too many 'ifs' in a more complex code.

=if(and(e3<e2,e2<e1),"True","False")

 

[ThingyMajiggy]

lol Sam. You have to learn how to use the drag down auto fill in thingo. For god sake!!!

Here is the formula you are looking for,

=IF( E2<E1,IF(E3<E2, TRUE, FALSE))

Yeah I know, how would I use the drag feature for working out the 10 minute range over the whole month then? If I get just 1 days minute data and put in =max(C1:C10) thats going to give me the highest high in the first 10 minutes of trading. But if I drag that down thats not right is it? Because I want to start the next measurement from C11, I tried just copying and paste that formula into cell 11, but it yelled REF! at me, calling for the ref, it's obviously against the rules

Thanks for the formula So....if I'm getting this right, from all the minute data in March, there is an 80% chance that we WON'T get 3 lower closes, this is on a 1 minute basis.

Also, the average 1 minute range is currently around 13 ticks, based on March 's 1minute data...I think

This is interesting this stuff

 

[Trembling Hand]

Sam when I need to make 1 min data into 10 min for example I use Access. Thats a whole different game again. You can do 1000 mill more things with a database.

But of course 10000000 mill more things to learn to be able to do it.

Maybe SkyQ has an excel solution?

 

[Trembling Hand]

Yeah I know, how would I use the drag feature for working out the 10 minute range over the whole month then? If I get just 1 days minute data and put in =max(C1:C10) thats going to give me the highest high in the first 10 minutes of trading. But if I drag that down thats not right is it? Because I want to start the next measurement from C11, I tried just copying and paste that formula into cell 11, but it yelled REF! at me, calling for the ref, it's obviously against the rules

On second thoughts you can do it but its messy. If you start at cell I10, type in your =max(C1:C10) then select I1 to I10 and drag you get the max formula for every 10 lines, see pic.

 

[ThingyMajiggy]

On second thoughts you can do it but its messy. If you start at cell I10, type in your =max(C1:C10) then select I1 to I10 and drag you get the max formula for every 10 lines, see pic.

Alright, cheers for that.

What are some important stats one should be looking for?

 

[AzzaB80]

I've got some Excel macros that I've made which will work out and graph:

Average Volume per 30 Minute Period
Range Between Preset Times
Average Daily Range
Average Range per 30 Minute Period

All you need to is paste the data in from Ninja and hit run. Oh and you will need to change the times as these are all based on european market hours. I'm thinking of puting dialog box prompt in so it can be adjusted on the fly.

Happy to give anyone a copy as long as they don't pick on my code ;-)

 

[sleepy]

Nice work T/H. For those interested heres some general stats on the SPI and Hang Seng that get updated daily.

http://www.mypivots.com/dn/?symbol=254
http://www.mypivots.com/dn/?symbol=299

Most of the main US/UK futures contracts can also be found here.

http://www.mypivots.com/DailyNotes

sleepy

 

[skyQuake]

On second thoughts you can do it but its messy. If you start at cell I10, type in your =max(C1:C10) then select I1 to I10 and drag you get the max formula for every 10 lines, see pic.

its certainly the easiest Messy? But it works! If you want to display it all nice (without the 10line gaps) then thats gonna be a bit of work.
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Just thinking now if it would be actually better to drag it down instead of for every 10lines. That way you get a more 'representative' 10min range rather than for the arbitary time scales... you smooth the range a bit and it also misses end of period bar painting..