# Questions tagged [indicator]

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### Supertrend Indicator

I'm trying to implement the Supertrend indicator. Unfortunately, I can't calculate the values ​​that my chart software generates. At the moment, I don't fully understand my problem. You can add the ...
• 101
46 views

### Can I add Sharpe Ratio with information ratio in convex way

Sharpe Ratio can be turned into a convex function. And information ratio as well. Supppose I add these ratios as follows: (SR + 3 IR ) / 2 Can this function transfer into convex? How should I do it?
• 1
40 views

### Chart Indicator: Why Does RSI (14, close) Vary with the Particular Time Chart I am Using?

This is probably an easy question for many of you: If I am viewing a Month chart and plot the RSI 14, it tells me the current day's RSI, which I think is the RSI of the last 14 days. But why, if I ...
187 views

### 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(...
• 21
55 views

### 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 ...
• 21
280 views

### 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 ...
• 111
192 views

### 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 ...
• 101
550 views

### 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 ...
• 131
43 views

### 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 ...
58 views

### 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 ...
716 views

### 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:...
• 151
82 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 ...
85 views

### 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 ...
• 101
128 views

### 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 ...
170 views

### 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 ...
• 101
178 views

### 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?
• 103
255 views

### 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 ...
• 195
1k views

### 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 ...
• 167
185 views

### 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 ...
• 209
1 vote
51 views

### 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 ...
• 215
614 views

### 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. ...
1k views

### 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?
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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 ...
• 223
101 views

### 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 ...
• 109
854 views

### 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 ...
• 215
303 views

### 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 ...
• 21
1 vote
5k views

### How do I calculate the zigzag indicator? [closed]

Zigzag indicator as defined here: https://www.investopedia.com/terms/z/zig_zag_indicator.asp
347 views

### 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 ...
• 103
16k views

### 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 ...
• 219
1k views

### 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 ...
439 views

### 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 ...
• 197
1 vote
173 views

### 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
77 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 ...
• 11
170 views

### 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 ...
27 views

### 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 ...
• 3,015
797 views

### 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 ...
301 views

### 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. ...
• 103
310 views

### 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 ...
• 113
307 views

### 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: ...
• 105
876 views

### 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: ...
• 123
665 views

### 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. ...
• 141
1 vote
2k views

### 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 =...
• 11
119 views

### 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?
• 103
1 vote
661 views

### 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?
• 113
1 vote
75 views

### 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 (...
552 views

### 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 ...
8k views

### 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.
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1k views

### 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:...
• 133
572 views

### 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: <...
• 133
1 vote