Hot answers tagged technicals
The only "indicators" that I believe add value in academic research are time series smoothing functions. ( I don't call them indicators because they are all lagging thus do not indicate anything into the future). There is clear empirical evidence and a number of academic papers have been published that show that none of the common indicators (common ...
I think the answer to your question is very dependent on the respective indicators. It can be argued for example that moving averages not only smooth out time series but because they are a shifted version of the original series signals on crossovers make use of the momentum factor. In general you might want to check out the book Evidence Based Technical ...
I have played around with those a bit and my results were mixed. Bollinger bands essentially show you the price relative to rolling window volatility. One interpretation is that if the current price leaves the Bollinger bands, a trend or movement emerges (of course depending on your time frame as with all technical indicators) in that direction. The ...
John Bollinger, the developer of Bollinger Bands, provides descriptions of methods he suggests for using his bands on his website BBands.com. They can be found under Four Methods in the support area. Bollinger Bands are most effective when used with other indicators for confirmation, and are very powerful for mean reversion and for price breakouts. On the ...
Elher's website has a technical papers section wherein you can find a paper called "MAMA." At the end of this paper there is Easylanguage code to calculate the phase. You are right that the lead sine is just phase plus 45 degrees. Just take the sine of these calculated phases for the indicator.
Well pattern recognition and image processing is so developed these days. This is cutting edge in CS now and if we could identify cancer or brain tumor on a hazy image or a suspect face on an industry cam then recognizing head and shoulders on a chart is really really easy. Support Vector Machines or entropy come to mind but there is a myriad of ...
Regarding trading, it depends upon one's style and temperament. Don't rely solely on Aronson's book and his views and a phrase quoted by Andrew Lo in his study. The formula posted by Tal Fishman of Head and Shoulders as quoted by Lo, Mamaysky and Wang (2000) is not exhaustive. There is a lot of scope for further improvement. However, there are many studies ...
Renowned CXO Advisory Group have created a research compendium exclusively on momentum investing. This is the most exhaustive treatment of the topic I have ever seen: The Momentum Investing Research Compendium With $25 the price is reasonable.
Cliff Asness's PhD thesis was based on Momentum and Value. AQR has a lot of interesting research. http://www.aqrindex.com/AQR_Momentum_Indices/Momentum_Research/Content/default.fs http://aqr.com/Research/ByTopic.aspx Jegadeesh and Titman (Returns to Buying Winners...- first paper linked in the above answer ) seems to be the standard reference.
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