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Direct MessagesDate/Time: Mon, 20 May 2024 14:53:48 +0000
[User Discussion] - Anything similar to a dynamic rotation study ??
View Count: 6071
| [2015-03-17 01:07:03] |
| Acro - Posts: 436 |
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I think SC is the most customisable tool around and I love it. Just wondering if there are any studies around (or planned) similar to the dynamic rotation study being released by IRT. Basically, it's great for statistical risk analysis - eg it shows for the last X days what the 1 and 2 sigma up and down rotations have been for a particular chosen symbol. I've attached FT71's pic explaining it better than I could. I have searched in the user studies but I haven't found anything like this yet |
 FuturesTrader71_2015-Mar-17.png / V - Attached On 2015-03-17 01:04:57 UTC - Size: 427.96 KB - 2511 views |
| [2015-03-17 07:25:11] |
| ganz - Posts: 1048 |
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Acro use Spreadsheet Study http://www.sierrachart.com/index.php?page=doc/doc_SpreadsheetFunctions.html ask for f(x) in case it isn't in the list |
| [2015-03-17 07:43:15] |
| Acro - Posts: 436 |
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I'll look into it. Not sure I fully understand but guess if you have the power of excel you can determine the rotation range and average it out |
| [2015-03-19 18:47:40] |
| ganz - Posts: 1048 |
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Acro What is the formula you need to plot? Provide it here and let's try to do the job using ACSIL. |
| [2015-03-20 01:43:02] |
| Acro - Posts: 436 |
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Thanks Ganz. I'm sure once I really get into the spreadsheet functionality, I'll appreciate it so thanks in advance for your help here. What I'm trying to do is take a symbol, say ES, and look at say the last 100 cash sessions see what the average rotation was using eg: - a 2 tick renko with a zigzag applied to it (say defining a reversal as $0.75 or three ticks) Then once I have the data in a spreadsheet form, find for the rotation data: - the mean - the mode (point of control) - one standard deviation - two standard deviation In essence, very basic analysis of how that market has been acting over the last few months and what to expect in terms of ticks before a reversal Once I understand this spreadsheet functionality in Sierra I'm happy to help others. I've done a fair bit of easylanguage stuff and I'm reasonably proficient at excel models so I'm hoping I get the power of Sierra sooner or later Cheers |
| [2015-03-20 09:42:26] |
| crazybears - Posts: 314 |
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some time ago, i tried to develop a study that maybe is like it. using flex renko bar and zigzag study ,i summed the number of bars for each swing, with the total i calculate the mean. I tried it on CL with flex renko settigs: 5-4-1 . |
| [2015-03-21 01:27:11] |
| Acro - Posts: 436 |
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Thanks for the reply crazybears. I think I just need to learn about spreadsheet functions and whether this is best achieved in SC or Excel. SC has so much to offer in terms of statistical analysis it is a bit overwhelming for a new user. I also need to get to grips with the programming language |
| [2015-03-21 20:25:06] |
| QnReally - Posts: 181 |
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SC would have to extend the Volume By Price study to allow other inputs for drawing the histogram. At the moment, it uses the Price and Volume-At-Price as inputs. There are other inputs it takes from the Main Graph but those can be ignored for this discussion. SC would have to allow any two subgraphs of a study (one in place of the Price data, the other in place of the Volume-At-Price numbers) to be used as the inputs to the Volume By Price or a similar SC created study. Then any user who is willing to use ACSIL to create the subgraph data would be able to create the study in the picture above. You would also need a way to ignore any prices that have zero volume so that the histogram would not have any empty bars (horizontal volume at price bars) in the histogram. This would require SC's help so that the whole setup can be done in an efficient manner. This would also allow enough flexibility to plot pretty much any data in real-time, not just the rotations data. Just a thought. |
| [2015-03-24 04:25:43] |
| Acro - Posts: 436 |
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Thanks QnReally I really hope SC does that. I take it other than that it is a question of exporting to excel or access and running some statistical analysis there |
| [2015-03-24 07:55:11] |
| crazybears - Posts: 314 |
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Hi Acro did you export months of intraday data to excel or access with indicators ? |
| [2015-03-25 02:57:25] |
| QnReally - Posts: 181 |
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Acro, If you are familiar with ACSIL, you can write a study that writes SCID files with the indicator data using the standard SCID format. For example, if you wanted to create a Range study for NQ, your study would write to a file like NQ_Range.scid. http://www.sierrachart.com/index.php?page=doc/doc_IntradayDataFileFormat.html Then you can open a chart for that indicator data by just loading the SCID file into the chart. From there, you can use the Volume By Profile study to graph what you are looking for. As long as you continuously update the SCID file in real time which is controlled by your ACSIL study, I assume the Profile on your Indicator data would update in real-time. I can't think of another way at the moment. Please see: IsCustomChart = 1 For me, this is too many hoops to jump through. So, I leave it up to SC if they want to entertain it when they get time. |
| [2015-03-25 03:20:06] |
| Acro - Posts: 436 |
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Thanks QnReally, Great lateral thinking there. It does not have to be real time. I'm thinking this is more for statistical homework than real time analysis, which would distract me from my trade setups. Sounds like I need to learn a bit more ACSIL, then export my rotations as an intraday price file and then load it up that way. |
| [2015-10-17 02:35:53] |
| Acro - Posts: 436 |
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Hi, wonder if QnReally is around. I want to explore what you said so I am going to start learning about how to create that SCID file from intraday data. I might have to do it several steps until I fully learn how to write a study to automate it. I might extract the swing high/low data to a spreadsheet, clean it up and put it in the date, close format and then load it in as an scid file and apply the volume by price study on it Would that work ? |
| [2015-10-17 03:44:59] |
| QnReally - Posts: 181 |
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This requires a little bit of experimentation. Here is what I would do: 1) Add the Zig Zag study to a chart and set Additional Output for Spreadsheets = Yes. This will give present additional subgraphs in the study. One of them would be Zig Zag Line Length. 2) Write a study to access the Zig Zag Line Length subgraph. Remember, all zero values in this subgraph can be ignored. Then figure out a way to write the SCID file from all the non-zero Zig Zag legnths. Here are some pointers: a) Open an SCID file for writing. For example, to open an SCID file for reading I used: datafile = fopen(Filename.c_str(), "rb");. For writing, the syntax will be a small variation. b) Write the s_IntradayHeader record into the file. This is only done once. I have not written SCID files before so you may have to do some research on this. c) Fill in the s_IntradayRecord structure (check http://www.sierrachart.com/index.php?page=doc/doc_IntradayDataFileFormat.html for the format) and write the s_IntradayRecord to the SCID file (you would be doing these steps once for each non-zero length rotation). The field values can be set as follows and see what works: DateTime = sc.BaseDateTimeIn[barindex] Open = RotationSize -- set High, Low, Close to the same value NumTrades=1 TotalVolume=1 BidVolume=1 -- It doesn't matter if you set BidVolume or AskVolume AskVolume=0 d) Close the SCID file * See http://www.sierrachart.com/index.php?page=doc/doc_IntradayDataFileFormat.html#FeedSierraChartData for help on creating SCID files. 3) Create a new chart and open the SCID file you created above. Then try the VolumeByPrice study on it to see if it works. Hope that helps. |
| [2015-10-17 03:46:59] |
| Acro - Posts: 436 |
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Thanks I'll test that out this week. It would be really great if Sierra allowed the draw volume profile study to access other study data and then it would more than match what IRT does on that front |
| [2015-10-17 15:04:42] |
| QnReally - Posts: 181 |
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If you don't need the whole thing to update automatically and you don't want to write the SCID files yourself in real-time, here is another simpler approach. 1) Create a text file using a format of Date, Time, Close, Volume. See: http://www.sierrachart.com/index.php?page=doc/doc_TextCSVDataFormat.html#Formats 2) Create a new symbol (see http://www.sierrachart.com/index.php?page=doc/doc_IntradayDataFileFormat.html#FeedSierraChartData) and open a chart with that symbol 3) Import intraday data using: http://www.sierrachart.com/index.php?page=doc/doc_ImportExport.html#import |
| [2015-10-18 03:52:34] |
| Acro - Posts: 436 |
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Thanks QnReally. Once I realised you could do a spreadsheet study based on any other study then I didn't need to create a new data file. I've nailed the process for the statistics I was trying to compile so thank you |
| [2018-10-05 18:10:06] |
| sjk - Posts: 43 |
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Acro, any chance you could post what you have? Thanks |
| [2018-10-23 21:52:27] |
| User935626 - Posts: 7 |
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Hi, I am trying to export ZigZag data to look at the rotation, but when it is exported it doesn't show the tick difference. Appreciate ya all's help.
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