I am a high frequency prop trader so please forgive me with this technical analysis question. A quantitative friend of mine was showing me a software program one day where you can analyze for example if you purchased a security at say 10:00am and sold at 10:14am showing the results over the past year what the overall loss or gain would be. So for example if I wanted to purchased GS everyday at 9:45 and sell at 9:48 this program is able to break down an analyze for the past year what the results would be gain or loss and from this observation you would be able to determine if this is profitable on the long or short side from the data available for the past year. Thanks
databased data, and SQL would do this for you. If/Else statement would be appropriate to return what you want. But I'm sure that as a high-frequency trader, you already knew that.
Great I appreciate it, would happen to know the url for both sites can't seem to bring them up doing a google search. Thanks
Even Metastock RT v8+ can do this. You just put in the date range (and have the 1 minute data available, of course) and buy at Hr(9)+Min(45) and sell at Hr(9)+Min(48) every day. I'm sure you could run a performance test like this with most major charting packages.
Yes thanks it was actually Metastock now that you said it. Does anyone have any experience in this, does the overall results work in real-time? any input would be appreciated as I have a decent strategy for this I plan to start back-testing on.