Directional Changes 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
The summaries were provided by Shengnan Li.
This is part of the
Directional Change Project, which is part of the
High Frequency Finance Project
Edward Tsang; Created: 2016.12.15