Drill yourself quickly into pairs you prefer: Zig zag statistics

Hi

As you know, it takes much time to get oneself into the nature and behavior of currency pairs. Exporting your data into excel, making the analysis, endlessly rolling your charts back and forth and measuring swing with crosshair on multiple timeframes, etc......

Wouldnt it be nice to have a tool to quickly drill yourself deep into the insides of the pairs you prefer. I think I may have got some ideas of how to do this. BUT Im not a coder so I dont have a clue if it is possible to do this or not. Anyways I think it could make a really good tool to fast screening statistics & probabilities behind any currency pair.

Im very interested about other statistical indicators & tools for screening the statistics behind pairs so if you have some and are ready to share them, please attach them to the thread.

I also have a preliminary idea of a potential tool to do this in a more simple way. So if possible could someone please code an indicator, which shows the statistics behind zig zag swings. The normal zig zag indicator on MT4. Maybe we could also develop it in a cooperation.

I think at least the folowing features would be preferable

- adjustable amount of zz swing history.
- adjustable starting & ending date for the analysis
- adjustable times (so that you could analyse the historical swings on eg. a particular session)
- could be used in any timeframe
- how many swings on the average on an adjustable time (like on NY session)
- the average range of swings on pips (upswings & downswings separated)
- the midpoint (50%) of swings on pips (upswings & downswings separated)
- average time of swings (upswings & downswings separated)
- starting & ending times of swings in the form on a deviation (bell curve type of output)
- results to charts with adjustable place on a chart (like on which corner of the chart the results will be presented)
- adjustable indicator? (so that you could use eg. rsi swings instead of zig zag if you like)
- combined volume from candles in a swing (from the first to the last on a single zig zag swing up or down)

Update 28.6,2013: Heres a version of filewrite function which collects adjustable amount of data from your chart on a timeframe you prefer. Big thumbs up for Hayseed & others for the help

1. Put filewrite2 in your mt4/experts/scripts folder
2. Open the file in metaeditor.
3. Read the instructions in a script, adjust the amount of data you need and compile it.
4. Open MT4 chart on a pair & timeframe you desire and drag & drop the script into the chart.
5. Scipt produces a file named "ma" to the experts/scripts folder.
6. Open it on metaeditor, select all => copypaste to excel.....

Columns in the data are: Date, Time, Dayofweek (1=mo --> 6=su), Open, High, Low, Close, Volume, Zig Zag, Uptick Volume, Downtick volume, ATR 14 (average true range).

Excel is a spreadsheet, and it gets slow and demands a lot of disk space & calculating power if the amount of data is large. Max amount of data that can be exported into a single sheet is 1048576 rows. Many of the graphs & pivot table functions are limited after 32000 rows.

Update 13.7.2013 Here is the first version of the spreadsheet. It has some tables & statistics of ZZ swings as well as some others. Feel free to modify it as you like and present your findings here. It is not fully automated and you have to do some operations manually, but still it beats the hell out of measuring swing sizes with crosshair, etc. There is 500 rows of EJD1 data only for demo purposes as it is pretty much the max size of the file that can be acctached here. Because of the small sample size some of the tables seem awkward, but they should get better as you bring more data and update them according to instructions.

Use the enclosed filewrite script to import your data into it. It contains macros and they should be enabled for it to work properly. Pivot tables you have to update manually as the size of the source data have to be changed manually on each pivot table. There are instructions of how to do this on the first sheet of the ZZstats.xls. Read the other instructions also carefully!!!

With the pivot table tool you can analyse the data many ways by using filters and changing columns on the existing tables, etc so you should be able to use them in order to get the most out of this tool.

As there are many versions of MsExcel around and they all have their particular feaures & settings, I dont take any responsibility for the spreadsheet functioning. Feel free to develop the tool and/or make any comments, suggestions or development ideas though.

Here is something that I found. It uses zig zag and has some similarities with the ideas I presented in the previous post. However, it does not collect statistics and not having much options for the analysis.

This one comes close to what Im looking for. Doesnt have all features from the first post, but looks interesting. Looks like I have to study this one a little more. Maybe those features could be added to this one?

It seems that the info Im after can be collected from bits and pieces. Here´s couple indis, that show something. If only there could be a way to combine these into a single one. Its crap not to be able to code.......

Both the candle indi and statistics indi are pretty good, but unfortunately they are not adjustable date & timewise.....

Could someone add a cumulative volume per swing to the ZZiSTATS indi as well as these two here.

Phew....

I made extensive searches on the net and it seems that there isnt many statistics indicators around. At least not publicly available. So there is definitely a need to develop ones.

This one I found earlier. It seems to be based on some kind of a cumulative volume of zig zag swings. Works properly only on H1 and requires both indis to work? Maybe adjustable on other timeframes also with different settings?

This one seems to separate buyers & sellers vol. It may be beneficial to also separate buyers & sellers in swing volumes.

There is volume combined on zig zag swings on this one, but it shows the average volume on swings, not cumulative.

Hmmm. No answers....

Well maybe there is some other way to get into the same conclusion. Does anybody know if there is a way to export "indicator" data out from MT4 to eg. excel and do the statistics there. Like eg. combine zig zag swing points into MT4 history data and export this data into excel.

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hey whistlepips..... to export data use the filewrite function.... use the symbol name in the file name to keep values separate.....h

Hey Hayseed. Thx for the reply, but Im afraid it takes a little more advice for me to be able to do the filewrite

Im not very familiar with mql language and programming so its a bit of a needle on a haystack for me at the moment. I tried to find some instructions of it, but no success so far.

Do you know if there is some instructions of how to do it?

hey whistlepips.... below would be a brief code example of how to export values...
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your project listed in post 1 is worthwhile but quite ambitous.... only someone used to writing ea's/indicators that collect large amounts of data and display it would know just how difficult the code required would be.....h

Thx Hayseed. If I unerstood it right I can now

1. adjust the amount of history values on the code for what I like it to be
2. attach this piece of code into my indicator code (or several indicators) on metaeditor window (does it matter where in the code?)
3. compile it (them)
4. attach the indicator(s) into my chart
5. file => save as csv and this gives the csv spreadsheet

Which makes this pretty valuable piece of code to me. I think the first step of this project will be to get the tools to export the data required into spreadsheets and solve the problems (definitions) there first. I will try this now and hopefully am able to get the spreadsheet.

Last summer I was to trying to tackle EU statistics and I downloaded a huge load of tick data into my computer as well as mysql & xampp, but as a layman with them I quickly realised that it would require at least a years work to be able to do it properly.

Well it took about a year to get past that dissapointment (joke) Then I came up the idea on the 1st post which resulted from my thoughts around EURUSD NY session ranges on the year 2012, as they were pretty lame. (It has been better on 2013 as you know) => The point is that to my mind the statistics should be analysed related to the fundamental and/or technical longer term view (eg. to the average daily range), not to the entire history!!! And I hope there is a more simple way to do this than the tick data mysql way.

As I stated on the 1st post I think this could benefit many and maybe there are others also who see this as an important step to develop their trading and join this project. I know I will focus on this on the following days/weeks and lets see where it leads. Hopefully at least some common tools according to the ideas presented on the 1st post and maybe also something else that will be found during the journey....

If someone is into spreadsheets heres couple of sites loaded with them. Maybe these can be used so that you export your data into these and they make the calculations automatically (or with little adjustments) they are designed to do. Share yours also if you are willing

http://www.gummy-stuff.org/Excel/

http://www.exinfm.com/free_spreadsheets.html

Crap I couldnt use that code of yours. I dont understand how it should be connected into indicators.....

But instead I found the enclosed Output history script, which has custom indicator opportunity attached. Unfortunately Im not able to even do that so I was kinda hoping if someone could attach basic zigzag and tickseparatevolume indicators to it. You can find ticseparatevolume on my previous posts. It is pretty well documented and there are even some examples in the code. This would help a lot as I could then run some back tests in excel and maybe produce a first version of ZZ statistics excel sheet.

BTW If someone is interested to try this you can drag and drop the output history script into charts, it produces a file into MT4 experts/files folder which you can eg. copypaste to excel and then just use Excel text to columns tool to make a spreadsheet out of it.

hey whistlepips.... you really don't have to add the code above to anything..... it is a self contained function.....


if for some reason you might want to add it to a indicator, below is a simple moving average indicator with examples of data being exported......

explanation comments are in the code....

dashboard type indicators that return large amount of values can be boring.... try to use graphics as much as possible..... have the graphics change size and color on each tick to grab your attention in absolute-need-to-know situations.....

it is easy to go overboard to the point where you forget what each number, dot, line, wingding might be expressing..... to overcome this , include the discription in the objects name..... then when you place the mouse over the dot, it will tell you what it means.....

do not put too much on a single screen/page..... it can be overwhelming.... the same expert/indicator can have unlimited pages or layers.....

below are some good and bad examples...... think long and hard on your layout....h

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Thx Hayseed. I think I got it now. If you drag & drop the script into the chart. It produces a file into experts/file folder.

There may be two kinds of subprojects related to what Im thinking of achieving from this work.
1. To develop an indicator type solution (little bit like the ZZistats), which could bring the shorter term relevant statistics & info of a single pair into charts (like swing size, no of candles on swings, cumulative uptick&downtick volume on swings) while scalping. Actually ZZistats is really helpful already as such giving the swing sizes & no of candles from last swings.
2. To develop a spreadsheet (or a dashboard) for longer term statistical analysis of the pair like average swing size, vol & no of candles during different periods of time, probabilities on direction changes per minute, etc. Anyways a spreadsheet may be a necessary phase in doing that. For achieving this I need to be able to export ohlc data combined with data from those indicators.

Well I got the export stuff solved partially. There is some problems with time & date and this one shows only uptickvolumes. It should show also downtickvolume on a separate column. Im almost there with this one. Time & date produces 10 numbers of jargon with these settings. Could someone help a little please.



//+------------------------------------------------------------------+
//| script program start function |
//+------------------------------------------------------------------+
int start()
{
int counted_bars=IndicatorCounted();
//----
int handle;

handle=FileOpen("ma.csv", FILE_CSV|FILE_WRITE, ';');
if(handle>0)
{
for(int i=0;i<100;i++) //----- 5 determines the max number of values exported
FileWrite(handle, iTime (Symbol(),0,i), iOpen (Symbol(),0,i), iHigh (Symbol(),0,i), iLow (Symbol(),0,i), iClose (Symbol(),0,i), iVolume (Symbol(),0,i), iCustom(Symbol(),0,"ZigZag",12,5,3,0,i), iCustom(Symbol(),0,"TicksSeparateVolume",0,0,0,i));
FileClose(handle);
}

//----
return(0);
}
//+------------------------------------------------------------------+

I think I got this one solved now. Never would have imagined that I can do something with the code so big thumbs up to you Hayseed for pointing me the way.

I will get back with this laters as I have something else to do now.

Ok. If you drag&drop this into your chart, it produces a file into experts/scripts folder. I think it is originally made by Hanover. KISS version of exporting it to excel is to simply copypaste it. Then you can use excel text to columns to make a spreadsheet out of it. Dont know how the numbers behave in different excel versions. I had some problems with tickseparate volume column. It had to be defined as a numeric column during text to columns operation.

This version exports only uptick volume (as my coding skills are restricted), but you can do a downtick volume column on excel by simply subtracting uptick volume from the volume as a whole. Thats how its done on the TicksSeparateVolume indicator code also. Last 10 rows or so on zig zag data seems to be jargon. I think it is because of the backsteps on ZZ and it cant produce any values before it has enough data so just ignore them or cut them away from your imported data.

Feel free to post your stats if youre into this sh*t

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hey whistlepips...... ours were also once...... that changes with time......

regarding the uptick..... your using PRICE_CLOSE which by chance equals 0, which by chance equals the upticks buffer.... couple lines of code included below......

zigzag's value will be 0 the vast amount of time...... if you noticed in my example I had the line if(iCustom(Symbol(),0,"ZigZag",5,5,3,0,i) > 0.0) ....... that deletes all but the non 0 numbers.....h

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