Questions tagged [indicator]
The indicator tag has no usage guidance.
62
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What is the official name for this indicator?
I distinctly remember that this type of indicator was named after a person. With reference to a particular period e.g. a week or month, it is computed as:
$$Ratio1(t) = \frac{Close(t) - Low(t)}{ High(...
2
votes
0
answers
54
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Black's formula derivation: expectation of a indicator times a random variable
In this derivation of Black's formula for puts, we have that $\mathbb{E}[e^X 1_{e^X \leq K/S_0}]$ somehow equals $S_0 e^{\mu + 0.5 \sigma^2} N$ (as above in the formula).
I tried breaking apart the ...
0
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1
answer
208
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How to use Ta-Lib to calculate the ewmstd?
I am trying speed up below code for faster speed,
df = df.ewm(span=lookback).std()
I wrote a numba version but it is very slow in large dataset
...
0
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0
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97
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Duncan Leading Indicator definition & source of origin
What is the official definition of the Duncan Leading Indicator? I've looked at all links page after page on google but can't seem to find any official source of origin and therefore official ...
3
votes
2
answers
474
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Python: detecting measured moves of candlestick data
Goal:
I'm looking to see if it's possible to programatically detect "measured moves" on candlestick data. The price data I am using is successfully retrieved from the TD Ameritrade platform ...
0
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0
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40
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How does truncating data deal with long right tails of data? Why is a long right tail bad?
For reference, my coworker graphed the unemployment rate with an HP Filter on. He told me he truncated the data to 95% to deal with this issue but I'm not 100% sure what this means and why its ...
0
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1
answer
53
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Open Interest on Stocks
According to the first bullet point in this explanation, "In the stock market, open interest is the number of buy orders submitted before the market opens. When the open interest is high, people ...
3
votes
1
answer
674
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TradingView STC vs any python STC
I am trying to use in a trading strategy the STC indicator, but I can not find out why its not working properly.
The chart that I am using is BTC/USDT on UTC as a timeframe.
Chart time: 01 Feb 22 - 16:...
0
votes
1
answer
79
views
Variation of the trading range
Example: The trading range (in points) for each of the last 5 trading days for asset A is: 5,21,2,15,32 and for asset B is: 5,6,5,5,5. Is there an indicator that ranks assets based on variation of ...
0
votes
0
answers
82
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Why do I randomly see a significant difference in my RSI and that of Trading View
Now I realise my own RSI values will never be exactly the same as those from Trading View (TV), as I don’t have the same data for the first 14 periods. However I would expect the two to converge, and ...
0
votes
2
answers
109
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Indicators parameters for weekly chart/data: to scale or not to scale, that is the question
Beginner here, so apologies for the rather naïve question, I try to find answers elsewhere but mostly I found opinions (often contradicting and rarely with an explanantion). Maybe I'm using the wrong ...
0
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1
answer
168
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indicators that move asset prices
Wondering which economic indicators move tradable asset (like equities or bonds) prices substantially (more then 0.5%) when they are published.
For example the weekly unemployment rate update usually ...
0
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4
answers
167
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Where can I find a current tail risk indicator?
The definition of tail risk (risk of 3-standard deviations movement) seems to imply there would be a current market indicator for this.
Is there such an indicator available somewhere?
0
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1
answer
234
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The quality of an trading algorithm
Good day. I am currently writing a term paper on the creation of trading algorithms in the foreign exchange market (by an algorithm I mean the one that follows the alpha model, for example, signals ...
2
votes
1
answer
1k
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VIX lagging or leading indicator
Could somebody help me understand if the VIX is a leading or lagging indicator.
From the CBOE whitePaper ( https://www.cboe.com/micro/vix/vixwhite.pdf). I've understood that the VIX tries to ...
0
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0
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172
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How to calculate technical indicator using tick data cross the night?
The tick data shortly before the close in yesterday have different statistics and charasterices compared to the tick data shortly after the open in today. Then, how I calculate the indicators using ...
1
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0
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48
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What variables are used for the Institutional Activity Index (IAI)?
I've been looking for various ways to get more information about institutional trade action. Although weekly COT report is available, it's already outdated by 1 week at the time the report come out ...
2
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0
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591
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Hourly RSI calculation to match Daily RSI
I implemented the RSI calculation based on the ta4j implementation that you can find here: https://github.com/ta4j/ta4j/blob/master/ta4j-core/src/main/java/org/ta4j/core/indicators/RSIIndicator.java.
...
2
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1
answer
1k
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Definition of „getting picked off“ [closed]
Is there a precise definition of what getting picked off means. In particular I want to check whether I have been picked off. How can I measure this quantitatively?
2
votes
2
answers
124
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Parameters used by brokers when executing large institutional orders?
When an institutional trader wants to enter or exit a large position, the broker has to process the trade in smaller chunks to keep market impact at a minimum. So the broker would say that they can ...
0
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0
answers
100
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Can I make the simple moving average less lagging by this method?
I have (T+3) predicted prices for a stock. Let us assume that the predicted prices are going to be very close to the actual prices. can I alter the formula of simple moving average for 20 days like ...
5
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4
answers
821
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The VIX Flip Indicator
I came across this article discussing how the VIX Flip Indicator tracks the fear of investors. It seems to be an interesting tool, which I would like to investigate. The calculation of this indicator ...
2
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1
answer
297
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Stateful Technical Analysis Indicator Libray For Python
I an looking for a TA indicator library in python, that offers indicators you can update with ticks, in contrast to indicators that perform calculations on an entire data set.
For example, an RSI ...
1
vote
1
answer
4k
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How do I calculate the zigzag indicator? [closed]
Zigzag indicator as defined here: https://www.investopedia.com/terms/z/zig_zag_indicator.asp
0
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1
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325
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How to calculate RSI while considering market close and holidays?
I was trying to calculate RSI over hourly OHLC bars for a symbol (AAPL as an example) and got stock, first how should I handle closing hours? (does it make sense to ignore them all together and assume ...
11
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3
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Programmatically detect RSI divergence
How can I programmatically detect bullish and bearish RSI divergences?
A bullish divergence occurs when the underlying security makes a lower low and RSI forms a higher low. RSI does not confirm the ...
2
votes
1
answer
895
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Why there is a Deviation on my RSI indicator in comparison from one of the other Trading Markets
Hello all, and sorry for this stupid question. I am using my custom RSI indicator to which I created programmatically. I follow the equation type from here. My problem is when I compare it with the ...
2
votes
1
answer
425
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Why does MACD not use log normalization
Today I wondered why the MACD oscillator uses the differences of two averages instead of the log of their quotient just like it's done for volatility estimation.
With this kind of log normalization ...
1
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0
answers
166
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Equivalent of Force Indicator Within Ta-lib
Is there any equivalent of the Force indicator (http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:force_index) within the talib library? (...
1
vote
0
answers
76
views
Name of an indicator based on price change and volume
If a(t) is the price of an asset and v(t) is the transaction volume of that asset against say USD, one can look at the integral over a time period of v(t) a'(t).
In words, this is the cumulative ...
0
votes
1
answer
165
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Comparing values of indicator between different stocks
I would like to ask whether there is a good way of analysing stock indicators that have no value limitations. For indicators like RSI we have a closed range ( 0 - 100 ) but in case of indicators like ...
0
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1
answer
26
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Possible correlations to institutional allocations versus market capitalization
I seem to remember someone telling me a while back that a good indicator of future equity performance was how "institutionally under-owned" a given equity is versus its weight in a given broad market ...
0
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1
answer
784
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How do you calculate the initial prior SAR value in a Parabolic SAR over FX market data
So I am attempting to calculate the Parabolic SAR over FX market data. I understand that the SAR equation is:
SARt = SARt-1 + * [EPt-1 - SARt-1]
with EPt-1 ...
0
votes
2
answers
254
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Indicator for sudden movement of price
I tried to find a method to recognize a sudden movement, e.g. climb, of a stock price. The method should realize that the price suddenly changes in value very fast, after having a long calm period. ...
0
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1
answer
306
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Boeing's Debt-to-Equity Ratio
Background
I was quickly investigating Boeing's (BA) Debt-to-Equity ratio and received a very high number. I looked around online and have confirmed that BA has recently taken on a lot of debt, but ...
0
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1
answer
296
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How to normalize various indicators into one column?
I've seen this video which talks about how to compress different indicators into a sin
https://www.youtube.com/watch?v=sDu6CudKa0Q
I tried to do the same by this way:
...
2
votes
2
answers
852
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Computing multiple indicators in tidyquant
I am trying to get multiple indicator values such as RSI and EMA for equities using the package tidyquant in R. I tried the example from the vignette which is:
...
3
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0
answers
664
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Replacement for Moodys BAA and AAA series
Along with many other people, I have been using Moody's seasoned BAA and AAA corporate bond yield series for my research for some time. I use them primarily to compute and analyze the quality spread. ...
1
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2
answers
2k
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R RSI Calculation (TTR package)
I'm using the default RSI calculation in the TTR package as follows:
result = RSI(data,14).
The function also allows the user to specify the averaging method:
result = RSI(data,14,"SMA"),
result =...
0
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2
answers
119
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What kind of indicators would you look in the market preceding a recession/crisis?
What kind of indicators may have predicted the upcoming financial crisis in the 2000 or 2008?
1
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2
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643
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What is the definition of a 10-day low? [closed]
Or for that matter a [n]-day low? (As it relates to market data/trading).
When does a [n]-day low get disrupted and you have to begin tallying again?
1
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0
answers
75
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Testing out ADX calculator [closed]
I'm trying to program an ADX calculator in python, however I don't know if it is correct since I'm still a bit shaky on the financial side of things. I haven't found an ADX calculator online (...
2
votes
0
answers
539
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Can you tell me what this RBloomberg formula means?
I've been asked to re-create a spreadsheet that used RBloomberg using a different data source. But I'm having trouble figuring out exactly what one of the spreadsheet's formulas does. Can anyone tell ...
6
votes
2
answers
8k
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List of momentum indicators
Is there a definite list of momentum indicators? A quick search on Google did not yield much, so I thought to ask this here.
3
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1
answer
1k
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OBV indicator calculation in R
Here is a few references about OBV calculations:
http://ta.mql4.com/indicators/volumes/on_balance_volume
http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:...
4
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3
answers
568
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Technical analysis - Calculating Aroon Indicator Serie
I'm trying to build a class to create Aroon series. But it seems I don't understand the steps well. I'm not sure about what purpose I have to use the period parameter.
Here is my first attempt:
<...
1
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2
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592
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Cheapness indicator for Convertibles Bonds
What indicator (or combination of those) could be used to roughly estimate the cheapness of a convertible bonds ?
Like the price/earning ratio for equities.
Thanks,
Max.
1
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2
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1k
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Using Technical Indicators for forecasting Financial time series using Machine learning models
Hi I am trying to use financial technical Indicators for forecasting, using machine learning models. The usual approach in time series cross validation is to use a moving window or growing window. ...
2
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1
answer
2k
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How to fully replicate ADX + DI Indicators in Excel? [closed]
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 ...
2
votes
1
answer
211
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Economic indicators leading the yield curve
There is a lot of research on how the government yield curve can be used to predict the economy. The government yield curve is often seen as a leading indicator. But for which variables is the curve a ...