how would i calculate the length of this plot for a trading day? i am using
ibrokers data for stocks in 3 min. bars
library(quantmod)
load("~/R/UVXY") #3 min xts stock data
reg10 <- rollSFM(Cl(pricedata),seq(nrow(pricedata)),10)
rma10 <- reg10$alpha + reg10$beta*seq(nrow(pricedata))
i am looking for the length of the rma10 plot for one trading day (ie. if it
were a piece of string, the measurement once straightened out) . i would
like to compare this measurement to the same measurement for previous days
(regular trading hours 9:30am-4:00pm).
sorry for the non-technical language. Bill
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Length of a curve?
3 messages · wlblount, R. Michael Weylandt
On Wed, Apr 24, 2013 at 12:26 PM, wlblount <bill at easterngrain.com> wrote:
how would i calculate the length of this plot for a trading day? i am using
ibrokers data for stocks in 3 min. bars
library(quantmod)
load("~/R/UVXY") #3 min xts stock data
reg10 <- rollSFM(Cl(pricedata),seq(nrow(pricedata)),10)
rma10 <- reg10$alpha + reg10$beta*seq(nrow(pricedata))
i am looking for the length of the rma10 plot for one trading day (ie. if it
were a piece of string, the measurement once straightened out) . i would
like to compare this measurement to the same measurement for previous days
(regular trading hours 9:30am-4:00pm).
sorry for the non-technical language. Bill
I'd assume that, for regular data, you'd just add up the absolute values of the differences between observations. MW
On Wed, Apr 24, 2013 at 4:32 PM, R. Michael Weylandt
<michael.weylandt at gmail.com> wrote:
On Wed, Apr 24, 2013 at 12:26 PM, wlblount <bill at easterngrain.com> wrote:
how would i calculate the length of this plot for a trading day? i am using
ibrokers data for stocks in 3 min. bars
library(quantmod)
load("~/R/UVXY") #3 min xts stock data
reg10 <- rollSFM(Cl(pricedata),seq(nrow(pricedata)),10)
rma10 <- reg10$alpha + reg10$beta*seq(nrow(pricedata))
i am looking for the length of the rma10 plot for one trading day (ie. if it
were a piece of string, the measurement once straightened out) . i would
like to compare this measurement to the same measurement for previous days
(regular trading hours 9:30am-4:00pm).
sorry for the non-technical language. Bill
I'd assume that, for regular data, you'd just add up the absolute values of the differences between observations.
Sorry -- that's not quite correct. But the idea's right: to be the length of a curve, you just want to do sum(sqrt((dx)^2 + (dy)^2)) If your dx is constant, it's an easy enough calculation but you'll need to define a 'conversion' from 3 minutes to distance and from price differences to distance.
MW