Directional Change Data Repository
This page contains Directional Change data to facilitate research by fellow researchers.
Limited by resources, external support is not available.
Directional Change Summaries - Data and Trading Exercise
This page is created to support Directional Change (DC) research.
It contains data files which show how (DC) summaries look like.
- These DC summaries are generated from minute-by-minute data
from 2nd May 2016 00:01 to: 26th October 2016 19:02
(184599 data points)
- Three currency pairs were summarized using a threshold 0.05%:
- Format of the above DC summaries:
- Header - self-explanatory
- Body - each row records one trend:
- T_DCCP: Time at which the DC confirmation point takes place
- CCP: Price at the DC confirmation point
- T_DCEP: Time at which extreme point takes place
- DCEP: Price at extreme point
-
Trading exercise on EURGBP
Acknowledgement
The summaries above were provided by Shengnan Li
TMV and MBM frequency distributions
These frequencies were calculated on EURUSD.
MBM will be reported in Martin's PhD thesis.
Acknowledgement
The Frequencies above were provided by Martin Ma.
This is part of the
Directional Change Project
Maintained by:
Edward Tsang; Created: 2016.12.15; last update 2020.07.15
Threshold 0.0032