Need Sorted PipCount Range per Rolling x Number of Candles

[garyfritz]

Yes, 5-day average would be easy. I wasn't sure if you wanted a constant measurement standard or an adaptive standard.

The percentages in the table above ARE calculated as you say. E.g. in the 50-60% category (between 0.50 * 300 and 0.60 * 300 pips) the value is 14.7%. That means 147 out of the last 1000 bars had a range between .5*300 = 150 pips and .6*300 = 180 pips.

[rebeljedi]

Thanks for pointing out I mistook your reply.

Will you have some time to translate this into mql?

[garyfritz]

Not soon. MQL indicators have a crazy execution logic that gives me headaches. The indicator that took me 10 minutes to create in TS would probably take me days to get working properly in MQL. I gave up on the last indicator I attempted, though it was far more complex than this.

How about if I dump some charts of your choosing into spreadsheets, and you can analyze that to see if your strategy would work?

[rebeljedi]

Thanks, that will be great!

Let's work on Range Trading EURUSDM15 first:
M15 data based on 1700GMT-0800GMT (London close - Asian Open). That will be about 28 M15 candles.
Will you be able to gather about 30 days of these candles within this timing?
I will need the raw data to check (I noticed Cowboy IBFX has some M15 data that reads 23:48, 23:33, 23:18 ...).

[garyfritz]

1700-0800 is 15 hours. That will be 60 M15 candles, not 28.

Do you want ONLY the 1700-0800 candles counted and included in the spreadsheet? Currently I count the last N candles, not caring when they are, and all candles go into the spreadsheet.

How many candles do you want included in the count? Currently it's 1000, which would cover about 17 days of 1700-0800 M15 candles.

How do you want the ranges scaled? What should I use as "100%" ? You mentioned using the 5-day average. Do you want me to calculate the average M15 range over the last 5 days and use that as 100%? (Actually the average range should be about 50-60%, otherwise 40-50% of the bars will be in the >100% bucket.) Maybe I should take the average range over the same period that I count -- so if I count 1000 candles, use the average range of the last 1000 candles as the 50% value?

The spreadsheet contains the raw OHLC data and timestamp. BTW the timestamp will be US MDT = GMT-6, and Tradestation labels a bar by the time at the END of the bar, not the start like Empty4. Easy enough to convert in the spreadsheet to your desired timezone.

[rebeljedi]

1700-0800 is 15 hours. That will be 60 M15 candles, not 28.

My apologies, I got distracted.

Do you want ONLY the 1700-0800 candles counted and included in the spreadsheet? Currently I count the last N candles, not caring when they are, and all candles go into the spreadsheet.

Yes, only 1700-0800GMT candles are counted and included in the spreadsheet.

How many candles do you want included in the count? Currently it's 1000, which would cover about 17 days of 1700-0800 M15 candles.

Yes, let's work on 17 days.

How do you want the ranges scaled? What should I use as "100%" ? You mentioned using the 5-day average. Do you want me to calculate the average M15 range over the last 5 days and use that as 100%? (Actually the average range should be about 50-60%, otherwise 40-50% of the bars will be in the >100% bucket.) Maybe I should take the average range over the same period that I count -- so if I count 1000 candles, use the average range of the last 1000 candles as the 50% value?

Can we work on the pip ranges like what I described in post1?
http://www.stevehopwoodforex.com/phpBB3 ... 646#p16786
We won't work on the ATR at the moment; it may get messy with the time filter.

The spreadsheet contains the raw OHLC data and timestamp. BTW the timestamp will be US MDT = GMT-6, and Tradestation labels a bar by the time at the END of the bar, not the start like Empty4. Easy enough to convert in the spreadsheet to your desired timezone.

It should be ok.

[garyfritz]

Can we work on the pip ranges like what I described in post1?
http://www.stevehopwoodforex.com/phpBB3 ... 646#p16786
We won't work on the ATR at the moment; it may get messy with the time filter.

You want *fixed* pip ranges like you described there? That won't work very well, since 90% of the M15 candles have < 20 pips.

Here is a spreadsheet of M15 EURUSD, including only 1700-0800 GMT (0100-1600 NY time, 2300-1400 local time, GMT-6), counting 1000 bars, including only the bars in the 1700-0800 GMT range. I'm still using the 0-20%, 20-30%, etc buckets, but I've set the 100% value to 20 pips. So the 0-20% range is 0-4 pips, etc. That gives you good resolution across the different buckets. Each bucket shows the % of hits in that range.

See if that works for what you need.

[rebeljedi]

Give me the weekend to look at the file. Thanks!

[mobthehop]

rebeljedi,

tinkered with an indicator written by TRO on distribution of candle wicks - you can set the tf ,the candle body and the number of candles to evaluate.... You can not specify the evaluation interval start / stop time as this is beyond my capabilities at the moment....

Give it a whirl and let me know whether it works for you

Mop

[rebeljedi]

rebeljedi,

tinkered with an indicator written by TRO on distribution of candle wicks - you can set the tf ,the candle body and the number of candles to evaluate.... You can not specify the evaluation interval start / stop time as this is beyond my capabilities at the moment....

Give it a whirl and let me know whether it works for you

Mop

Mop, thanks a lot for the tweaked indi. This is really close to what I am looking for!
The current indi only measures the wick, so in my limited MQL knowledge (I am no coder), I have tweaked it to measure high-low of each candle. Any coder would have made this better.

What remains missing now are the time range filter and ATR, if any coder can spare the time.