Hi Nate , i am processing the raw data in excel , usually i am using the natural log changes in prices etc , statistical inputs , then changing to a CSV format ,
Then i group the data by various search levels, eg , i want all the data that is around the same volatility as the last line of data i am using ( the current bar) , you can sort the data by whichever criteria you think will work for you. I also use the ABS value of the search , so that i get positive and negative results , eg , if you used the percentage change daily . if you do not use the ABS , you would only get a sort from say low to high , I don´t think that is a good way to get balanced data
On the percentage trades , i am looking at a barrier trading idea , I have an 80% chance that the outcome will be below a level or above the level but the problem is how to get into the trade at the right level as i was trying to avoid having too do intraday trading , only wanted to trade at the end of the day or the open .
IN the NSDT getting training 82.57 and 80.46 and out of sample 81.72 and 77.42 respectively based on change in open.
