I am trying to do a spreadsheet probability analysis using Weekly bar data (i.e. -- Open-Hi-Lo-Close for each week, over a 5-year period). I downloaded and pasted Yahoo Weekly data, but the Yahoo O-H-L-C data was for the Daily bar of the last day of each week; not for the entire week. Does anyone know of a source of data that shows O-H-L-C data for weekly bars?

Thanks.

Downloaded and pasted Yahoo data? Wealth-Lab already comes with integrated Yahoo EOD data support. Why not create a Yahoo EOD DataSet and switch to Weekly scale?

Hi, Eugene;

Unfortunately, I don't think I can use W-L to implement the strategy I am attempting.

I'm trying to implement a probability strategy described by Peter Pham in his book The Big Trade (reviewed in last month's ATMag). The book includes instructions regarding how to implement the strategy using historical data contained in a spreadsheet, and includes instructions regarding how to construct the spreadsheet; but I wouldn't have the remotest idea how to do this W-L. I'm not sure the strategy is even backtestable -- the strategy consists of calculating the probabilities that certain User-input price spreads will occur in the future based upon an analysis of historical data contained in the spreadsheet. The User then would make Buy or Sell decisions based upon the probabilities presented by the historical data.

Or am I missing the point of your comment -- are you saying that it is possible to convert W-L's Yahoo EOD DataSet to Weekly data; then download and paste that data into a spreadsheet?

Richard, could you help me understand what's a spreadsheet has to do with Wealth-Lab? I'm looking to evaluate if your probability strategy's rules are possible to implement in WL.

Hi, Eugene,

I didn't say that the spreadsheet had anything to do with W-L. I simply was looking for a source of weekly OHLC data, and posted here to see whether anyone could point me to a source.

If you'd like to play around with the strategy in W-L, that would be great. The strategy is not simple to describe (to be honest, I'm not sure I understand it correctly -- maybe you can help), but the gist of the strategy goes like this:

For weekly bars:

1. On Monday mornings, calculate what the author terms an "Opening Range" This is the prior day's (i.e. -- previous Friday's) HI minus Close. However, in another location, the author describes Opening Range as prior day's HI minus current day's (i.e. -- Monday's) Open, so I'm not sure.

2. The spreadsheet of historical weekly OHLC data has summary formulae that calculate the number of times that prices increase or decrease by certain amounts after having already risen or fallen by certain amounts (basically COUNT functions).

3. The author's position is that the market is not "predictive", it is "probabilistic". Accordingly, he rejects technical analysis and instead attempts to calculate probabilities. Basically, the strategy asks the question: "If during the current bar the price rises above the Opening Range, what are the odds (based upon analysis of historical data) that during the current bar the price will continue to rise to a Target Range. The spreadsheet calculates these odds based upon the User's input entry of the Opening Range and Target Range. The User then bases his Buy/Sell decision on the degree of probability -- if the spreadsheet calculates that the odds are 90% that if the price exceeds the Opening Range during the current bar, it also will exceed a certain Target Range during the current bar, that would be a good Buy signal; if the odds are only 30%, better to wait for a better setup. At the beginning of each new bar, apply the same analysis to determine whether to Hold or to Sell.

The strategy and the method of analyzing the probabilities obviously are more complex than the above brief description; and the book is difficult to understand (at least to me), and often seems to have conflicting statements and examples. However, if you can grasp the core concept of the strategy, perhaps you can come up with a much better implementation using W-L. In fact, you may come up with a better way to determine probabilities than did the author (who was not a programmer, I don't think).

Anyway, if it turns out that this strategy does not lend itself to W-L, I'd still appreciate a pointer to a source for downloadable weekly data.

Thanks.

Richard

QUOTE:
he rejects technical analysis and instead attempts to calculate probabilities.

Interesting take, since the whole basis of backtesting with technical (or fundamental) analysis is at the least implicitly probabilistic - and can certainly be explicit too.

Anyway, if you want to do it in Excel (because it's already set up there), just switch the Wealth-Lab Data control to Weekly and export the data to ASCII/CSV format, which Excel will open quite readily.

The first script in that link is what you need. You just have to create a directory at C:\Data\ASCII\ (or another location, but edit it in the script.) Click on the DataSet name and run a "backtest" to export all the DataSet's symbols in one action.

Thanks.

Hi Richard,

Did you make any progress with Peter Pham's stuff?

I like his ideas but his book doesn't explain the calculations very well at all in my opinion, I'm having some difficulty following his instructions.

Thanks