Data Converter to Convert OHLC Data to a larger timeframe.

If you have ever wanted to take your existing Open High Low Close historical trading data and convert it into larger time frame, the following Excel VBA based data converter I wrote may do the trick.

DataConverter

DataConverter.xls allows you to configure the Number of OHLC bars that should be condensed down into a single bar. You also can list the file name, sheet, and columns where your data is located.  The data will almost instantly be transformed into the higher time frame you have requested.

Instructions:

  1. Download DataConverter.xls (*last updated 1/1/2011)
  2. Open DataConverter.xls. (Quickstart!: Skip the directions below. Just Open file and press "Convert" to see how it works with default settings.
  3. If you have OHLC Data in a workbook, open that file (you can also just use the default sample data that is contained on the sample data sheet in DataConverter.xls)
  4. Enter the Column letter for each type of data (Time/date, Open, High, Low, Close, Volume)
  5. Enter the Name of the WorkBook and worksheet that contain the data. For example, to convert 1 Minute bars to 4 minute bars, simply enter 4. To convert 3 minute bars to 15 minute bars enter 5 (5*3=15) etc etc.
  6. Finally press the "Convert" Button.  The converted data will appear in a new workbook. Save as desired.

Constant Volume Charts added

I have added the option of constant volume  bar charts (as alternative to time based) for the Excel/VBA based automated trading platform

The constant volume bar option, updates a new bar after a certain amount of volume has completed. This amount should be entered into D3 of the “Live” sheet. Checks are in place to prompt if the values are not entered and the constant volume is set to override the default time based bars.

Below is an example of Constant volume bar charting. You will notice that each bar contains roughly the same amount of volume.

CV

Added new file for Live trading with Interactive Brokers

In addition to the free files located under “Instructions and Downloads”, there is now a new file under “Products and Services” for live trading via Interactive Brokers. This Excel VBA based file is an all in one solution for testing, trading and charting.

This is very similar to a version I have been using for my personal trading for years. However this is a much improved version so I am pretty excited to have it completed and am in the process of converting my personal system over to this version. I hope that others find if useful.

The Youtube video below shows both live trading mode and backtesting mode.

 
 
 
 


 
 
 
 

atsdemotrade2

Quick test of The ETF effect in the last trading hour.

A recent WSJ article suggests that leveraged ETF funds are affecting trading action in the final hour due to having to rebalance their positions near end of day.  A “cascading” effect is said to occur on days the market is significantly up or down in the final hour.

To test this idea, I ran a quick test on the last year of ES futures data using the following rules:

1. If a new high(low) is reached for the day an and there is one hour or less remaining enter Long(short).

2. Sell one minute before market close.

The results are below.

*Final profit of $6371.

*Highest profit  was 11,671

*The strategy has not made money in 2009 but still profitable overall and may be worth running additional tests.

etftest