Where does one find Forex data and indicators?

Good morning all

I'm a statistician and a colleague and I are keen to experiment with some predictive models (and just for fun, he will use neural networks and I will use structural equation modelling).

Can anyone please recommend a good source of both exchange rates and the indicators allegedly associated with them?

Thanks and regards

Max

You haven't said if you are willing to pay for the information required ?


Paul

Data

Hi there

Well, if it's available for free, then I probably wouldn't pay. If it's only available at a price, it depends what that price is.

Max

You can try two sources:
http://www.dukascopy.com/swiss/english/data_feed/csv_data_export/ - data of very good quality, the only drawback - a limitation of 10,000 samples of any given period, so to get a history in 1 min format since 2001 you should do some manual work. But it's worth it (remember it's free).
Then you may want to give Forexite a try - it's a nice broker and a data provider, their data are of almost the same quality as that of eSignal. Here - http://forexite.org/free_forex_quotes/forex_history.html - you can find 1-min archives for each day since January 1, 2007. Download data in MetaStock format, they are simply ASCII files. And here - http://forexite.org/free_forex_quotes/forex_history_daily.html - are archives of daily and hourly data since 2001.

All other sources of better data are paid as far as I know.

MaxB said:

Good morning all

I'm a statistician and a colleague and I are keen to experiment with some predictive models (and just for fun, he will use neural networks and I will use structural equation modelling).

Can anyone please recommend a good source of both exchange rates and the indicators allegedly associated with them?

Thanks and regards

Max

Click to expand...

Good to hear..I'm also buildling a predictive model NN trading system. I'm modeling it in Excel and it is almost finish..I just have to implement a new algorithm. I use metatrader 4 downloaded from http://www.interbankfx.com/. Once in the platform you will have to go to Tools and then History Center and chose the currency pair that you want. You will be able to download data as far back as it will allow you. Hope this helps .

Many thanks

Thank you to you both. I'm learning that exchange rate data is easier to come by than the fundamental indicators that might lead to that data.

For the mathematically inclined, technical analysis seems to rely only on previous time periods to predict future exchange rates (R):

R(t+1) = f(R(t), R(t-1)...R(t-n))

Fundamental analysis is based on indicators like GDP, interest rates, balance of payments (BOP), and so on, but it does not use time to the same extent as technical analysis:

R(t+1) = f(GDP(t)) + g(BOP(t) + ...)

Our aim is to create a comprehensive time-series model (neural or structural equation modelling) combining both approaches:

R(t+1) = f(R(t), R(t-1)...) + g(GDP(t), GDP(t-1)...) + h(BOP(t), BOP(t-1)...) + ...

If anyone knows of work like this, I'd be grateful to learn about it.

Best wishes

Max

if you know hungarian, i can help yuo, otherwise sorry, PORTFOLIO.HU - Online gazdasági újság

There are a lot of pictures of MT4 indicators here:

http://www.cnwh.com/mt4/indicator_image.html