StockFetcher Forums · General Discussion · how to get Median / Market Profile info?<< >>Post Follow-up
mhome
12 posts
msg #103676
Ignore mhome
12/8/2011 4:51:34 AM

Hi guys,

is there some way to get the most frequent closing value for some timeframe (for example 1 month) ? If there was a MEDIAN function that would solve one part of this problem, but I haven't been able to found it.
Also I would like to be able to get this most frequent value based on volume as in Market Profile concept.

The usecase could be (in case of median) some option neutral strategy, such as Iron Condor.

Thanks for any hint.

03bsbme
20 posts
msg #103693
Ignore 03bsbme
modified
12/9/2011 12:36:11 AM

You could use the count function to see how many times it closed within a certain range. That will give you the frequency which you can get the median from. Of course this would require you to know what the closing price for each stock was. There may be a way to normalize that though.

Fetcher[
symlist(spy)
set{range1, count(close below 115, 100)}
set{range2, count(close between 115 and 120, 100)}
set{range3, count(close between 120 and 125, 100)}
set{range4, count(close between 125 and 130, 100)}
set{range5, count(close between 130 and 150, 100)}
set{range6, count(close above 150, 100)}
add column range1
add column range2
add column range3
add column range4
add column range5
add column range6
]



StockFetcher Forums · General Discussion · how to get Median / Market Profile info?<< >>Post Follow-up

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