[R-SIG-Finance] Estimating volume at price for backtest data bars?

Mark Knecht markknecht at gmail.com
Wed Apr 7 02:21:19 CEST 2010

   I wonder if anyone has seen anything written publicly about
estimating volume at price within backtest bars where you don't have
any data other than up/down volume for the bar? For instance, when
looking at 1 minute ES bars they are, on average maybe 6-8 price ticks
tall. How might one estimate where the volume was in the bar for
upticks and downticks? Clearly there's no was to be completely
accurate, but maybe it's better than doing nothing.

  I'm playing with using sort of a skewed normal distribution which is
interesting, but it doesn't take open and close into account. When I
look at real data there's often a bit more up volume near the top when
the price is trending strongly up, and more to the downside when the
price is trending down. I could use other indicators for simple
estimates of trend, and then do something based on that.

   Anyway, I'm just interested in reading something on the subject, if
there's anything out there, before messing with R code.


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