EURUSD Statistical Data Mining Discussion

[Techguy]

This is a TRO inspired, personal exercise.

Moderators - if this is somehow stepping on someones toes, let me know and I will drop it.

This is an invitation to receive a copy of a Excel SS with 61,000+ bars of H1 data. That is about 10 years worth of data. 2009.01.02 to 2019.03.27. Source Metaquotes, with the more recent data sourced by OANDA.

I cannot upload .xlsm or .xlsx files, plus currently it is 10.2Mb, so you will have to request it via PM.
I will have to share it via Dropbox in the future. So you will need Dropbox.

My intent is to data mine the *fertilizer* out of the data and draw a few tasty trading ideas out of it.

I will update the "Golden Copy" of the spreadsheet (SS) as time permits and as group input is received and performed.

If your idea is "Top Secret" I will be glad to keep it confidential, but personally I would love to hear it, and crunch it.

The first interesting thing I learned was that 79.7% of the time a one hour bar will have a high of 1.27 pips, on average, and 2.55 pips 69% of the time.

]High-Open EURUSD 01_03_2009-03_27_2019

High-Open EURUSD 01_03_2009-03_27_2019.PNG (44.18 KiB) Viewed 4642 times

This bin out of 61688 bars shows that 1 pip is hit the most frequently, but 3 pips is usually achievable. The rub is that ~ 2 pips gets gobbled up in spread.

Useful Link to generate Histograms: https://youtu.be/Giewd9yH4q0

Your questions, comments, and input is requested. Please post public data mining ideas here in this thread.

[LeMercenaire]

This is a TRO inspired, personal exercise.

Moderators - if this is somehow stepping on someones toes, let me know and I will drop it.

This is an invitation to receive a copy of a Excel SS with 61,000+ bars of H1 data. That is about 10 years worth of data. 2009.01.02 to 2019.03.27. Source Metaquotes, with the more recent data sourced by OANDA.

I cannot upload .xlsm or .xlsx files, plus currently it is 10.2Mb, so you will have to request it via PM.
I will have to share it via Dropbox in the future. So you will need Dropbox.

My intent is to data mine the *fertilizer* out of the data and draw a few tasty trading ideas out of it.

I will update the "Golden Copy" of the spreadsheet (SS) as time permits and as group input is received and performed.

If your idea is "Top Secret" I will be glad to keep it confidential, but personally I would love to hear it, and crunch it.

The first interesting thing I learned was that 79.7% of the time a one hour bar will have a high of 1.27 pips, on average, and 2.55 pips 69% of the time.
High-Open EURUSD 01_03_2009-03_27_2019.PNG

This bin out of 61688 bars shows that 1 pip is hit the most frequently, but 3 pips is usually achievable. The rub is that ~ 2 pips gets gobbled up in spread.

Useful Link to generate Histograms: https://youtu.be/Giewd9yH4q0

Your questions, comments, and input is requested. Please post public data mining ideas here in this thread.

I don't see how it would be stepping on anyone's toes. If you are interested in and willing to crunch numbers like this, then more power to you.

[Techguy]

Currently cataloging a list of ideas to research and crunch.

I did a keyword search on 5 minute bar frequency distributions I came across this video:
https://www.linnsoft.com/videos/time-day-session-highlow

His data set was 1975 days worth of 1 minute bars of the ES Mini S&P 500 Futures Contract. The data showed empirically that there was a statistically significant chance that the high would occur in the very first minute (7.6%) of the session, 18% of the time in the first 15 minutes, and 23% in the first 30 minutes. 5.9% of the time the high occurred during the last 3 minutes of the session. 4.6% of the time the high of the day was in the very last minute of trading.

This will be an interesting data crunch: Forex session vs day of week.
I'm speculating that Forex high and low of the day is variable due to the fact that Forex instruments are largely news driven.

One big take away was to develop an indicator that will mark the last high of the session, and the last low. Easy enough to do.

... more on this later...

[jeffpeters]

Thank you!

[TheRumpledOne]

Currently cataloging a list of ideas to research and crunch.

I did a keyword search on 5 minute bar frequency distributions I came across this video:
https://www.linnsoft.com/videos/time-day-session-highlow

His data set was 1975 days worth of 1 minute bars of the ES Mini S&P 500 Futures Contract. The data showed empirically that there was a statistically significant chance that the high would occur in the very first minute (7.6%) of the session, 18% of the time in the first 15 minutes, and 23% in the first 30 minutes. 5.9% of the time the high occurred during the last 3 minutes of the session. 4.6% of the time the high of the day was in the very last minute of trading.

This will be an interesting data crunch: Forex session vs day of week.
I'm speculating that Forex high and low of the day is variable due to the fact that Forex instruments are largely news driven.

One big take away was to develop an indicator that will mark the last high of the session, and the last low. Easy enough to do.

... more on this later...

I wrote a frequency distribution to show this.

[jimganderton]

79.7% of the time a one hour bar will have a high of 1.27 pips, on average, and 2.55 pips 69% of the time.

[TheRumpledOne]

This is a TRO inspired, personal exercise.

Moderators - if this is somehow stepping on someones toes, let me know and I will drop it.

This is an invitation to receive a copy of a Excel SS with 61,000+ bars of H1 data. That is about 10 years worth of data. 2009.01.02 to 2019.03.27. Source Metaquotes, with the more recent data sourced by OANDA.

I cannot upload .xlsm or .xlsx files, plus currently it is 10.2Mb, so you will have to request it via PM.
I will have to share it via Dropbox in the future. So you will need Dropbox.

My intent is to data mine the *fertilizer* out of the data and draw a few tasty trading ideas out of it.

I will update the "Golden Copy" of the spreadsheet (SS) as time permits and as group input is received and performed.

If your idea is "Top Secret" I will be glad to keep it confidential, but personally I would love to hear it, and crunch it.

The first interesting thing I learned was that 79.7% of the time a one hour bar will have a high of 1.27 pips, on average, and 2.55 pips 69% of the time.
High-Open EURUSD 01_03_2009-03_27_2019.PNG

This bin out of 61688 bars shows that 1 pip is hit the most frequently, but 3 pips is usually achievable. The rub is that ~ 2 pips gets gobbled up in spread.

Useful Link to generate Histograms: https://youtu.be/Giewd9yH4q0

Your questions, comments, and input is requested. Please post public data mining ideas here in this thread.

Not at all. Carry on!!

[drakelu21]

This is a TRO inspired, personal exercise.

Moderators - if this is somehow stepping on someones toes, let me know and I will drop it.

This is an invitation to receive a copy of a Excel SS with 61,000+ bars of H1 data. That is about 10 years worth of data. 2009.01.02 to 2019.03.27. Source Metaquotes, with the more recent data sourced by OANDA.

I cannot upload .xlsm or .xlsx files, plus currently it is 10.2Mb, so you will have to request it via PM.
I will have to share it via Dropbox in the future. So you will need Dropbox.

My intent is to data mine the *fertilizer* out of the data and draw a few tasty trading ideas out of it.

I will update the "Golden Copy" of the spreadsheet (SS) as time permits and as group input is received and performed.

If your idea is "Top Secret" I will be glad to keep it confidential, but personally I would love to hear it, and crunch it.

The first interesting thing I learned was that 79.7% of the time a one hour bar will have a high of 1.27 pips, on average, and 2.55 pips 69% of the time.
High-Open EURUSD 01_03_2009-03_27_2019.PNG

This bin out of 61688 bars shows that 1 pip is hit the most frequently, but 3 pips is usually achievable. The rub is that ~ 2 pips gets gobbled up in spread.

Useful Link to generate Histograms: https://youtu.be/Giewd9yH4q0

Your questions, comments, and input is requested. Please post public data mining ideas here in this thread.

octordle nerdle