ability for intraday stat tools

Optuma Forums Optuma Feature Requests ability for intraday stat tools

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  • #66291
    Jeffrey A.
    • Topics: 44
    • Replies: 69
    • Posts: 113

    It would be great to be able to gather statistics on intraday bars. For instance, the S&P on Fridays (going back n periods): analyze the behavior/stats of the last hourly bar of the normal trading session. What is the % up or down, average gain/loss, standard devision, etc.  To be able to pinpoint intraday bars and to include/exclude particualr variables (ex: only use Octobers, or when daily S&P is above/below a certain MA, etc.).  Maybe ability to have something like this in the testers or future seasonality module would be cool..

    #66309
    Mathew
    • Topics: 40
    • Replies: 2,009
    • Posts: 2,049

    Hi Jeff,

    This is a Bayesian approach to market stats and something that I have been looking into a lot. The new testers (on which work has finally started) will have this ability.

    All the best

    Mathew

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