Data

FOREX_chfsgd-hour-High

active
ARFF
Publicly available Visibility: public Uploaded 04-06-2019 by Jan van Rijn

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Source: Dukascopy Historical Data Feed https://www.dukascopy.com/swiss/english/marketwatch/historical/
Edited by: Fabian Schut
# Data Description
This is the historical price data of the FOREX CHF/SGD from Dukascopy.
One instance (row) is one candlestick of one hour.
The whole dataset has the data range from 1-1-2018 to 13-12-2018 and does not include the weekends, since the FOREX is not traded in the weekend.
The timezone of the feature Timestamp is Europe/Amsterdam.
The class attribute is the direction of the mean of the High_Bid and the High_Ask of the following hour,
relative to the High_Bid and High_Ask mean of the current minute.
This means the class attribute is True when the mean High price is going up the following hour,
and the class attribute is False when the mean High price is going down (or stays the same) the following hour.
Note that this is a hypothetical task, meant for scientific purposes only. Realistic trade strategies can only be applied to predictions on 'Close'-attributes (also available).
# Attributes
`Timestamp`: The time of the current data point (Europe/Amsterdam)
`Bid_Open`: The bid price at the start of this time interval
`Bid_High`: The highest bid price during this time interval
`Bid_Low`: The lowest bid price during this time interval
`Bid_Close`: The bid price at the end of this time interval
`Bid_Volume`: The number of times the Bid Price changed within this time interval
`Ask_Open`: The ask price at the start of this time interval
`Ask_High`: The highest ask price during this time interval
`Ask_Low`: The lowest ask price during this time interval
`Ask_Close`: The ask price at the end of this time interval
`Ask_Volume`: The number of times the Ask Price changed within this time interval
`Class`: Whether the average price will go up during the next interval

Class (target) | nominal | 2 unique values 0 missing | |

Timestamp | date | 43825 unique values 0 missing | |

Bid_Open | numeric | 15126 unique values 0 missing | |

Bid_High | numeric | 15075 unique values 0 missing | |

Bid_Low | numeric | 15003 unique values 0 missing | |

Bid_Close | numeric | 15052 unique values 0 missing | |

Bid_Volume | numeric | 40004 unique values 0 missing | |

Ask_Open | numeric | 15108 unique values 0 missing | |

Ask_High | numeric | 15066 unique values 0 missing | |

Ask_Low | numeric | 14971 unique values 0 missing | |

Ask_Close | numeric | 15082 unique values 0 missing | |

Ask_Volume | numeric | 39836 unique values 0 missing |

2

Average number of distinct values among the attributes of the nominal type.

0.2

Second quartile (Median) of kurtosis among attributes of the numeric type.

1.38

Second quartile (Median) of means among attributes of the numeric type.

Number of attributes needed to optimally describe the class (under the assumption of independence among attributes). Equals ClassEntropy divided by MeanMutualInformation.

Second quartile (Median) of mutual information between the nominal attributes and the target attribute.

-0.17

Second quartile (Median) of skewness among attributes of the numeric type.

0.04

Second quartile (Median) of standard deviation of attributes of the numeric type.

Minimal mutual information between the nominal attributes and the target attribute.

0.26

Third quartile of kurtosis among attributes of the numeric type.

2

The minimal number of distinct values among attributes of the nominal type.

Maximum mutual information between the nominal attributes and the target attribute.

Third quartile of mutual information between the nominal attributes and the target attribute.

2

The maximum number of distinct values among attributes of the nominal type.

0.15

First quartile of kurtosis among attributes of the numeric type.

1132.97

Third quartile of standard deviation of attributes of the numeric type.

0

Standard deviation of the number of distinct values among attributes of the nominal type.

First quartile of mutual information between the nominal attributes and the target attribute.

-0.18

First quartile of skewness among attributes of the numeric type.

Average mutual information between the nominal attributes and the target attribute.

0.04

First quartile of standard deviation of attributes of the numeric type.

An estimate of the amount of irrelevant information in the attributes regarding the class. Equals (MeanAttributeEntropy - MeanMutualInformation) divided by MeanMutualInformation.