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3answers
65 views

Technical Indicators reference

I have been looking for a good reference where I can find how technical indicators of stock market analysis are calculated. I have a dataset (time series) which I want to extract these indicators to ...
0
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1answer
40 views

Online algorithm for selecting smoothing parameter?

In Online Algorithms in High-frequency Trading the authors demonstrate online, exponentially-weighted algorithms for mean, variance, and linear regression. The authors estimate their smoothing ...
0
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0answers
11 views

What's the link (or lack thereof) between 'Moving Average' and 'Moving Average Model'? [migrated]

... as described by these two wikipedia pages: http://en.wikipedia.org/wiki/Moving_average http://en.wikipedia.org/wiki/Moving-average_model In the former, the predicted value for the variable of ...
2
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1answer
136 views

Aren't Technical Indicators calculated on Adjusted Close Price?

I would assume that day to day movement in stock can be accurately compared with the Adjusted Close Price and not simply the Close Price, taking into account Stock Splits Dividends etc. ...
0
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0answers
20 views

How to calculate the standard deviation of a 'deviation from a moving average'?

Say I have a vector of daily price changes for an asset and calculate the standard deviation of returns in the usual way. Let's call this result A. Now assume that for the same asset I also have a ...
1
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0answers
229 views

How to fully replicate ADX + DI Indicators in Excel?

For black box testing, I was hoping that I could replicate the ADX + DI+ and DI- indicators that are provided in trading platforms such as ThinkOrSwim, ScottradeElite etc. However, I noticed that ...
1
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2answers
308 views

Calculating Bollinger Band Correctly

My bollinger band comes out like the below, which doesn't seem right. Any idea what is wrong with my code for calculating upper and lower bollinber bands? I obtained my data from here ...
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1answer
360 views

How to test the efficiency of Exponential Moving Averages as a trading startegy? [closed]

I would like to know how I can test the efficiency of Exponential Moving Averages when it comes to forex trading. Can i have any papers that point to the efficiency of this strategy? Thank you. :)
3
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1answer
263 views

How to use volatility to assess the accuracy of a stock market model?

Background: For a dissertation I have a multi-agent stock market model that I am using to assess different mechanisms for producing particular dynamic regimes. A key point is assessing how closely it ...
-7
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1answer
616 views

When people say calculate moving average for 30 days include weekends or not? [closed]

This is blowing my mind a little bit, when someone wants to calculate a 30-day moving average of a commodity, do they mean 30 business days, or 30 calendar days? I'm looking for the general ...
7
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5answers
895 views

Trading a stock (or other asset) based on Bollinger Bands.

One way investors analyze stocks is on a technical basis. Looking at Bollinger Banks (20 day moving average +- 2 standard deviations) is one of the most popular technical tools. Some stocks trade ...
12
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2answers
2k views

How to update an exponential moving average with missing values?

Say you have an Exponential Moving Average being continuously updated over a time series using 1-second-long time periods. What should happen if there is no value for the next second, e.g. there were ...
16
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2answers
1k views

Statistical properties of stochastic processes for moving average trading to work

Common wisdom holds it that a moving average approach is more successful than buy-and-hold. There is quantitative evidence for that across different asset classes (see e.g. this book, or this paper ...