A major topic of the Daily Trading Coach book--the entire Chapter 10 is devoted to it--is using historical analysis with Excel to develop trading hypotheses.
If you look at my posts on using three-minute moves in TICK to anticipate the distribution of moves over the next three minutes and what happens after large upside opening gaps, you'll see a couple of examples of the kinds of explorations I conduct in Excel.
In Chapter 10 of the Daily Trading Coach book, I describe how to put together spreadsheets for exploration. Now, in his kind review of the book, Rob Hanna of Quantitative Edges has linked to an actual spreadsheet that he assembled from the book's chapter. The spreadsheet download is free; more will be coming from his download site. In fact, if there's interest, I will post a historical study to this blog and make the spreadsheet that I used available through Rob's site.
To my knowledge, the chapter in the new book is the only one I've seen that outlines the process of exploring historical market data for hypotheses using nothing more than data from your real time feed and Excel. Note that I emphasize that the purpose of the explorations is to generate hypotheses, not conclusions. We're using the data to see if there is a historical edge to a trading pattern, not to get locked into a fixed view of markets. Indeed, some very valuable trading information comes from occasions when the market is NOT following its usual historical path.
Drop a comment to this post if this is a topic you'd like to see discussed further, with spreadsheet examples from Rob's site. I find the historical looks a valuable part of preparation for the market day.
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10 comments:
Hello Sir,
As a newcomer to trading, I was wondering which of your books you would most recommend? Are there any that would be of particular use, or that you wish you could have had when you were starting?
Thanks
Eric
Brett
Yes definitely more please. I'm already a subscriber to Robs great site but I really would welcome any help on doing my own research.
Being a small private trader in the UK I don't have Tradestation and would like to be able to run some scenarios on the FTSE.
Oh yes and if it helps I have your book on order!
Gary
Dear Dr.
it will be great if you will post a historical study to this blog and make the spreadsheet that you used.
Thanks
Noam
Brett, I would LOVE to see more on your Excel work. I have your book being shipped, and should have it within the week hopefully. I think doing Excel hypothesis testing would be great work for my summer break!
Thanks!
Tyler
Dear Dr. Brett,
Please indeed do put in some more excel examples. It can be the single best thing in my kitty right now :D
I am using Amibroker, and its Exploration utility is a nifty little thing to explore such stuff. But I would love if this good work continues.
ClearAir, see if you can use interactive brokers in the UK. You can pair that with Ninjatrader (ninjatrader.com) to back test and build quant systems. i use ninja/IB here in the states
Hi Brett, yes more spreadsheet testing please.
Dr. Brett,
it would be great to see more historical studies.
Personally speaking, finding true edges to the market is the area where I struggle most.
Thank you for all your high quality work.
eToke
Hi Eric,
Thanks for the interest. Much depends on what a new trader is looking for. The new book (Daily Trading Coach) is a self help book focusing mostly on psychology. The Enhancing Trader Performance book is good for traders trying to accelerate their learning curves. The first book, Psychology of Trading, is designed to help traders understand why psychological factors affect their performance; it introduces solution focused approaches to change.
Brett
Thanks for the interest in the historical testing; I'll be pursuing more of those posts--
Brett
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