If you use Stoc, do you know its distribution?

Quantum

Based on StocK derived from 1-min bar.

大山猫

不太懂，老大详细讲讲？

elecgene

nnd, 咋跟我想的一摸一样啊

elecgene

我以前拿这个做了个adaptive/dynamic 的distribution (1 min, 5 min) 然后拿那两个大波作entry, exit point !

Quantum

辅助你决策多少是overbought/oversold。做成时间的函数，就可以adapt to market.

Quantum

3# 大 中 小 发表于 2008-8-14 23:53 只看该作者
nnd, 咋跟我想的一摸一样啊

呵呵，我猜BrainTeaser肯定也知道。

lisa

原帖由 Quantum 于 2008-8-14 23:57 发表 呵呵，我猜BrainTeaser肯定也知道。

能不能问一下你的 x-axis and y-axis 都是什么？thanks.

live111

请赐教！

Quantum

x-axis is the value of Stoch, ranging from 0 to 100, whereas y-axis is the histogram distribution.

原帖由 lisa 于 2008-8-15 00:05 发表 能不能问一下你的 x-axis and y-axis 都是什么？thanks.

大山猫

elecgene

quantum 兄，可以试试+ volume weighted ,similar to volume at price !

ppteam

yes, cool! Do you have codes for any software? thnx

Quantum

That's a good point!

原帖由 elecgene 于 2008-8-15 00:24 发表 quantum 兄，可以试试+ volume weighted ,similar to volume at price !

Quantum

very easy matlab code. But as i wrote it a long while ago, there might be some glitches even thou i've proofread it before posting.


***********************************************************************
clear all;

pick=3;
dir='DataFiles\';
datafile={'QQQQ', 'DIA', 'SPY'};

load([dir datafile{pick}]);

d=[Date HH MM SS Open High Low Close Volume];
idx=find((d(:,2)==9 & d(:,3) > 30) | (d(:,2)>=10 & d(:,2)<=15) | (d(:,2)==16 & d(:,3)==0))';

STO_N=20;
K=zeros(length(idx),1); D=K;

data=[High(idx) Low(idx) Open(idx) Close(idx)];

for k=STO_N:length(idx)
    data1=data(k-STO_N+1:k, :);
    idxHn=find(data1(:,1)==max(data1(:,1)));
    idxLn=find(data1(:,2)==min(data1(:,2)));

    Hn=data1(idxHn(1),1); Ln=data1(idxLn(1),2);
    K(k)=(data(k,4)-Ln)/(Hn-Ln)*100;
end

N2=10;
[D(STO_N+N2-1:end), dummy]=movavg(K(STO_N:end), N2, N2, 'e');

dx=0.04;
x=100*([0:dx:1-dx]+dx/2);
figure;hist(D(STO_N+N2-1:end), x);
title(sprintf('Distribution of StocFull K for %s', datafile{pick}));
[ 本帖最后由 Quantum 于 2008-8-15 00:38 编辑 ]

ppteam

thnx!

Dahutu

Nice study. Admire you guys excellent in programming. Have a question for you guys: Is it easy to code a program to get real time data feed from Esignal or some other source and then analyze the data flow and route orders to IB account for execution? Thanks...

Quantum

I'm not familiar with either eSignal or IB's API, but i guess it can be done. I have an impression that IB's API is a COM object, so you can write your own code to get streaming quotes, place order, etc. Not sure about eSignal thou.


I'm working on your stuff right now; will get back to you next week!
[ 本帖最后由 Quantum 于 2008-8-15 01:04 编辑 ]

Dahutu

Thanks, Brother. For indicator based system on 1min or 5 min chart, real time update rate and execution speed is not such a big issue. I did some thorough study of some real time data I purchased from CME. I believe there is a better way to get a much higher profitability, at least for the data I have, it showed very promising results. MMs have an edge over us because they have a full view over the data flow. My goal is to have a system to get a relative level field to play with MMs. Based on the real time data we can get, MMs probably still have a slight edge because they can see stop orders..., but we have much smaller size capital and can get out of position in a much quick way...
IB's snapshot real time data flow is not good enough...
[ 本帖最后由 Dahutu 于 2008-8-15 01:41 编辑 ]

jmchen

wavelets

easy or not depends on the experience. It is doable. Based on all the API then you could build your own autotrading tool.

原帖由 Dahutu 于 2008-8-15 00:54 发表 Nice study. Admire you guys excellent in programming. Have a question for you guys: Is it easy to code a program to get real time data feed from Esignal or some other source and then analyze the da ...