I would like to run some analysis/statistics data on a time series consisting of a column of dates and times, and several columns of price data for OHLC values. I'm looking for some conceptual ideas about how to program this to collect this data on various text files I point it to.
So some background on what I have so far.
I am exporting a text file consisting of the price information in the form of a file that looks like this originally:
Then I've been taking that and creating a fints object which contains all of these times with dates. Here you can see in my workspace the name of the object, "EU1Range." Created using the FTStool. Or equivalant command would be "EU1Range=ascii2fts('EU1Range.txt','t',[],1,1);" Also in this picture you can see this series created in the FTStool, along with a corresponding plot of what the graph looks like. Again this is using a 1tic range bar chart. Here is the picture of that:
Ok.... so with that out the way. The first set of statistics I want to measure is to pick a point, and measure the max distance price moves from that fixed point before returning to it.
Initially, I want to do this with say the price at the beginning of each hour. So as price turns to say 1:00am, I would like to take that price, and measure all the distances in that hour. Then take all these lengths, store them and plot distributions for them. I would like to keep stats for EITHER the ENTIRE data set, or being able to set a look-back period of a given number of hours to plot these distributions.
Here is a picture to help visualize this that I drew:
Here is what that would look like on the actual price chart itself:
Then finally I would like to display these excursions over some look-back period in a distribution.
Any ideas on how I could conceptually accomplish what i want?