Algorithm to convert flawed 1min data > 5min data? | Forex Factory

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Algorithm to convert flawed 1min data > 5min data?

  • #1
  • First Post: Jan 3, 2013 4:42pm Jan 3, 2013 4:42pm
Hello,

I have 1min data that has some missing data, repetitive data, etc. The time value, in minutes, sometimes repeats, or doesn't exist, or goes backwards. Can anyone think of an algorithm that'll convert all this into 5min data as accurately as possible?

I thought about taking all the time values that end in 0 or 5 (5 minute data) and getting the highest and lowest values in between to get the high and low, but you must realize that some of these points are missing, and so the result would be heavily flawed.
  • #2
  • Jan 3, 2013 6:02pm Jan 3, 2013 6:02pm
Get better M1 data then. Here www.histdata.com
  • #3
  • Jan 4, 2013 12:35am Jan 4, 2013 12:35am
Actually thats where Im getting it from lol
  • #4
  • Jan 4, 2013 2:58am Jan 4, 2013 2:58am
Quoting Skyhr
Actually thats where Im getting it from lol
Alright...the most accurate way to backtest on mt4 is explained here...eareview.net.

One more thing if you used the histdata....you should delete every data you have first before importing it to your mt4..because it will get overlapped. So try it first..Delete all the data in your history folder then import.
  • #5
  • Jan 4, 2013 3:02am Jan 4, 2013 3:02am
Sorry but I'm not using MT for backtesting. I am using Matlab, which is why I need an actual algorithm for converting this 1min data into 5min data accurately. MT is good but I like the flexibility and power of Matlab.
  • #6
  • Jan 4, 2013 4:31am Jan 4, 2013 4:31am
Quoting Skyhr
Sorry but I'm not using MT for backtesting. I am using Matlab, which is why I need an actual algorithm for converting this 1min data into 5min data accurately. MT is good but I like the flexibility and power of Matlab.
Download some decent tick data and use CSV2FXT to convert it into all timeframes from M1 to MN1
20 pips a day isn't too much to ask . . .
  • #7
  • Jan 4, 2013 4:37am Jan 4, 2013 4:37am
Quoting RaptorUK
Download some decent tick data and use CSV2FXT to convert it into all timeframes from M1 to MN1

Hm, converting the tick data (not 1min) into 1min and subsequent 5min sounds pretty good. I will check out the tick data on histdata.com

Thanks!
  • #8
  • Jan 4, 2013 5:36am Jan 4, 2013 5:36am
Quoting Skyhr
Hm, converting the tick data (not 1min) into 1min and subsequent 5min sounds pretty good. I will check out the tick data on histdata.com

Thanks!
I wouldn't if I were you, from what I have read their data is not so good . . . there are better sources, Dukascopy, Pepperstone . . . more info here: http://eareview.net/tick-data/download-free-tick-data
20 pips a day isn't too much to ask . . .
  • #9
  • Jan 4, 2013 6:59am Jan 4, 2013 6:59am
Quoting RaptorUK
I wouldn't if I were you, from what I have read their data is not so good . . . there are better sources, Dukascopy, Pepperstone . . . more info here: http://eareview.net/tick-data/download-free-tick-data
Hm... that is kind of true. But I'm not too interested in real tick data from ECN brokers, since I'm only going to be using them to convert them into higher time frame, and the broker I use is Oanda. I'm sure I can somehow get tick data from a ECN broker, set it up as 5min, and proxy it as data from Oanda since backtests are not exact anyways. Too bad I need an account with $1000 with Oanda to get their tick data, and the end date of that data has to be 2 months back from the present.
  • #10
  • Last Post: Jan 4, 2013 8:48am Jan 4, 2013 8:48am
Quoting Skyhr
Hm... that is kind of true. But I'm not too interested in real tick data from ECN brokers, since I'm only going to be using them to convert them into higher time frame, and the broker I use is Oanda. I'm sure I can somehow get tick data from a ECN broker, set it up as 5min, and proxy it as data from Oanda since backtests are not exact anyways. Too bad I need an account with $1000 with Oanda to get their tick data, and the end date of that data has to be 2 months back from the present.
You can convert the data just like raptoruk said.
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