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Inter-market Analysis

Posted By alpha23 7 Years Ago
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Posted Thursday July 01 2010
Is there an easy way to to do market analysis between international markets and the US market? For example, I would like to back test US market open trade decisions based on the closing prices of international indices. For example, basing a trade decision at NASDAQ's market open based on the previous increase/decrease in the NIKKEI 225.

The TSE will be closed before the NASDAQ opens but in back testing both will be aligned as if they occurred at the same time during the day. That is, the back test will not allow access to the NIKKEI close in order to determine the trade decision for at the NASDAQ open for the same day. Unless, I'm mistaken.

Please let me know your thoughts.

Thanks, Duane
Posted Friday July 02 2010
There are two ways to go about it. If you're just interested in the closing prices, you might just create a function that grabs the closing prices from the data provider, text file or database (wherever you have it stored). The other option is to put these symbols as part of your watchlist. A couple of caveats with that approach, first, you won't be getting data for those symbols, so the latest bar will come through as "empty". Second, you'll probably have to load lead bars on your live system to get far enough back to the closing bar for the other markets. Basically, it means doing some synchronization on your part. I think the first choice is the easiest of the two.

dwebber (7/1/2010)
Is there an easy way to to do market analysis between international markets and the US market? For example, I would like to back test US market open trade decisions based on the closing prices of international indices. For example, basing a trade decision at NASDAQ's market open based on the previous increase/decrease in the NIKKEI 225.

The TSE will be closed before the NASDAQ opens but in back testing both will be aligned as if they occurred at the same time during the day. That is, the back test will not allow access to the NIKKEI close in order to determine the trade decision for at the NASDAQ open for the same day. Unless, I'm mistaken.

Please let me know your thoughts.

Thanks, Duane


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