Scripts that aren't indicators or strategies
Hi
I've recently imported around 20 years of historical intraday Forex data for 34 currency pairs, but I can't figure out a sensible way to run a statistical analysis of this data using NinjaTrader.
For each currency pair, I need to loop through every bar, calculate some statistics and write the results to a text file for analysis in another application. This then needs to be repeated for 8 different time frames.
I've already written some custom indicators for doing the calculations, but it's not obvious to me how I can use these in another script that is neither an indicator nor a strategy. From the NT documentation, it seems that I might be able to do what I need with a strategy, but only if I manually run it 34 x 8 times. Also, I can't figure out how to "page" through the historical data without loading it all at once, which I probably don't have enough Ram to handle. So, I would probably end up having to run the script several thousand times, then repeat this whenever I make a change!
The obvious solution would be to use a script that does something like this:
I've already done this using Sharescope, but was limited by the fact that it doesn't allow you to import intraday history (and I'd rather not wait 20 years to accumulate enough data!), so I decided to switch to NT instead. So far, I've been very impressed and found it much more well suited to experienced software developers, but I'm beginning to worry that it lacks this simple feature. Please can someone tell me otherwise?
Thanks
Marcus
I've recently imported around 20 years of historical intraday Forex data for 34 currency pairs, but I can't figure out a sensible way to run a statistical analysis of this data using NinjaTrader.
For each currency pair, I need to loop through every bar, calculate some statistics and write the results to a text file for analysis in another application. This then needs to be repeated for 8 different time frames.
I've already written some custom indicators for doing the calculations, but it's not obvious to me how I can use these in another script that is neither an indicator nor a strategy. From the NT documentation, it seems that I might be able to do what I need with a strategy, but only if I manually run it 34 x 8 times. Also, I can't figure out how to "page" through the historical data without loading it all at once, which I probably don't have enough Ram to handle. So, I would probably end up having to run the script several thousand times, then repeat this whenever I make a change!
The obvious solution would be to use a script that does something like this:
Code:
- loop through instruments
- loop though time frames
- loop through data with x bars loaded in memory at any one time
- do calculations
- save data to text file
Thanks
Marcus
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