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The relation between volume and the price dynamics (via volatility and jumps), has been explored by various academic papers. Just cite this one and its contained references: Wang, T., & Huang, Z. (2012). The relationship between volatility and trading Volume in the Chinese Stock Market: A volatility decomposition perspective. Annals of Economics and ...


I answered @Anilca's question in SO (and the answer was accepted) I summarize my answer with the working solution: public class Aroon : IndicatorCalculatorBase { public override List<OhlcSample> OhlcList { get; set; } private readonly int _period; public int Period { get { return _period; } } public Aroon(int ...


AROON Indicator is a built-in function in TA-lib, you should try it first rather than implement it yourself.


public class Aroon { public bool AroonDown { get; set; } public double Period { get; set; } public Aroon() { } public Aroon(double period) { Period = period; } public IList<double> ...


Yes, you can and this is what you have to do. It will smooth the equity curve and will offer you a better risk-adjusted returns. Of course this is in case you have really different strategies. We are using software called Rightedgesystems for backtesting as it is just great and offers the ability to test multiple trading systems in one.

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