Some (Interesting/Useless) stats on the SPI

Trembling Hand · 19 March 2010

skyQuake said:
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..

Yep on third thoughts its not really the way to go. If it doesn't trade for 1 min you are going to have bars 11 min or greater and then everything is going to be out of whack. Only real way to go is via running queries in a database I reckon.

skyQuake · 19 March 2010

Trembling Hand said:
Yep on third thoughts its not really the way to go. If it doesn't trade for 1 min you are going to have bars 11 min or greater and then everything is going to be out of whack. Only real way to go is via running queries in a database I reckon.

There are a few ways even if minute bars are missing, mostly vlookup and stuff.
Havent used ninjatrader for a while, but surely you can export 10min data?

ThingyMajiggy · 19 March 2010

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

This formula would say if there were 2 lower closes in a row wouldn't it? if e3 is less than e2 and e2 is less than e1, so 2 lower closes?

So for 3 consecutive lower closes, it would be =if(and(e4<e3,e3<e2,e2<e1),TRUE,FALSE) yes?

So, if I'm correct, then looking at the 1 minute data from March so far, there is only a 9% chance that we will get 3 lower closes in a row on a 1m chart? I must have this wrong? Doesn't sound right.

It must be because I'm dragging it down over each row, so each 1 minute, so is e4<e3,<e3<e2,e2<e1 that is right, but then I'm just dragging it down over all of them so then it would do that same calculation on the 2nd row, so e5<e4,e4<3,e3<e2, where as it should be from 4th row to be accurate?

Fark, my head hurts

ThingyMajiggy · 19 March 2010

Trembling Hand said:
Yep on third thoughts its not really the way to go. If it doesn't trade for 1 min you are going to have bars 11 min or greater and then everything is going to be out of whack. Only real way to go is via running queries in a database I reckon.

Yeah that's what was happening with me when I tried it, it got all skewed and offset.

skyQuake said:
There are a few ways even if minute bars are missing, mostly vlookup and stuff.
Havent used ninjatrader for a while, but surely you can export 10min data?

As far as I know you can't? It's only got day, minute or tick. I most definitely would have chosen the 10 minute option if so, rather than trying to do it off 1 min data.

skyQuake · 19 March 2010

ThingyMajiggy said:
This formula would say if there were 2 lower closes in a row wouldn't it? if e3 is less than e2 and e2 is less than e1, so 2 lower closes?

So for 3 consecutive lower closes, it would be =if(and(e4<e3,e3<e2,e2<e1),TRUE,FALSE) yes?

So, if I'm correct, then looking at the 1 minute data from March so far, there is only a 9% chance that we will get 3 lower closes in a row on a 1m chart? I must have this wrong? Doesn't sound right.

It must be because I'm dragging it down over each row, so each 1 minute, so is e4<e3,<e3<e2,e2<e1 that is right, but then I'm just dragging it down over all of them so then it would do that same calculation on the 2nd row, so e5<e4,e4<3,e3<e2, where as it should be from 4th row to be accurate?

Fark, my head hurts

Looks right to me; You may also be discounting the lower or equal closes. The 1min bar on spi spikes around a bit so it sounds about right.

ThingyMajiggy · 19 March 2010

skyQuake said:
Looks right to me; You may also be discounting the lower or equal closes. The 1min bar on spi spikes around a bit so it sounds about right.

I'm talking HSI.

skyQuake · 19 March 2010

ThingyMajiggy said:
I'm talking HSI.

lol probably more so for the HSI, the spread alone can be 2x range when it gets crazy

Can you check with the HSI data (or spi), if theres no vol in that minute does it still print a bar in excel or skips it?

ThingyMajiggy · 19 March 2010

skyQuake said:
lol probably more so for the HSI, the spread alone can be 2x range when it gets crazy

Can you check with the HSI data (or spi), if theres no vol in that minute does it still print a bar in excel or skips it?

As far as I can see, there are no bars with 0 volume, and it hasn't skipped any.

Trembling Hand · 19 March 2010

ThingyMajiggy said:
What are some important stats one should be looking for?

As for this question.

Whatever helps you make sense of moves. For example.

Its an up week(SPI/XJO) , its Friday, we have just made the weekly high. Now where have I seen such info??

Naked shorts · 21 March 2010

you should have added a poll so we can vote whether these stats are useless/interesting

nomore4s · 31 March 2010

Some more useless SPI stats.

Not a huge data sample - only based on this month. While I try to keep larger samples like TH, I also like to break things down into weekly & monthly data to see if I can catch onto any patterns that may only last while the market is in a certain phase.

Unfortunately I've had computer issues and have lost some data hence the blacked out bit but you can still get the gist of how the market has been moving in March. I've also had to split the data where the contracts rolled over. All stats are based on the open of the SPI @ 9:50am to 4:30pm close Sydney time

Most of these stats are nothing new and TH in particular has covered a lot of this before but thought someone may find it interesting.

This month the XJO has put on around 280 points but on the SPI pretty much all of the gains have come overnight.
Also the first hour of trading on the SPI price generally moves in the opposite direction to the overnight move.
The other interesting one is that it's not uncommon for the second half of the day to move in the opposite direction to the first half of the day.

Trembling Hand · 31 March 2010

The gain in overnight gaps is always an interesting move. Makes day traders look like idiots doesn't it.

nomore4s · 31 March 2010

Trembling Hand said:
The gain in overnight gaps is always an interesting move. Makes day traders look like idiots doesn't it.

hahaha yeah it does. When the markets are moving up I've noticed that's haw they tend to make all their gains though.

Amazing how so few understand how the market actually moves.

sleepy · 31 March 2010

Reminds of a post you did a while back T/H about most gains in bull market when trading equities was made via overnight gaps (which funnily enough arent tradable). Although couldnt find it anywhere.

sleepy

With respect to Futures do you have any stats looking at gap open reversals (i.e, market gaps open then reverses in first 10-15m ?

Trembling Hand · 31 March 2010

This one,

http://tremblinghandtrader.typepad.com/trembling_hand_trader/2007/07/spi.html

Some (Interesting/Useless) stats on the SPI

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