Stack Exchange Network

Stack Exchange network consists of 174 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.

Visit Stack Exchange

Questions tagged [indicator]

The tag has no usage guidance.

0
votes
1answer
442 views

How do I calculate the zigzag indicator? [closed]

I find that surprising, but I could not find the calculation steps anywhere.
0
votes
1answer
56 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 ...
0
votes
1answer
551 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 ...
2
votes
1answer
146 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 ...
1
vote
0answers
43 views

Why is STO (Stochastic Oscillator) typically calculated over 14-periods (hour, day, week)?

I've seen the Stochastic Oscillator calculated over 14-periods everywhere. Whether in hours, days, weeks months. I'm not sure if it's obvious, but why is this?
0
votes
0answers
44 views

How to pick one stock in each asset class when Rebalancing

A little background, I'm using Python's PyAlgoTrade library to develop a trading strategy. I have access to each stock's Open, High, Low, Close (/Adj), and Volume for a given day. Currently, I ...
0
votes
0answers
90 views

are there quantitative tools to work with python pandas?

I have a code written in python and I have all my data in pandas dataframe. Are there quantitative tools to apply to these dataframes? For example, I want to calculate rsi, macd and other financial ...
0
votes
0answers
28 views

Analyising data at lower frequency

My first post here - hopefully I've come to the right place with this question. For the purpose of technical analysis, how to process price data at a lower frequency than the sample rate? e.g. If I'...
2
votes
1answer
58 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 ...
1
vote
0answers
45 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
0answers
47 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
1answer
101 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 ...
0
votes
1answer
22 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 ...
0
votes
1answer
317 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 ...
0
votes
2answers
121 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. ...
0
votes
1answer
256 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 ...
0
votes
1answer
107 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: ...
2
votes
2answers
392 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: ...
4
votes
0answers
623 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. ...
1
vote
2answers
994 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 =...
0
votes
2answers
76 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?
0
votes
2answers
157 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?
1
vote
0answers
62 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 (...
2
votes
0answers
319 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 ...
5
votes
2answers
3k 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.
3
votes
1answer
827 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:...
4
votes
3answers
423 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: <...
1
vote
2answers
287 views

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
vote
2answers
982 views

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
votes
1answer
2k views

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
1answer
176 views

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 ...
7
votes
1answer
782 views

Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians

I want to solve the following optimization problem: What is the optimal general trading strategy (in the sense of the highest Sharpe ratio) on a time series which is the result of a Hidden Markov ...
0
votes
1answer
214 views

Grokking Stochastic Oscillator for Stocks

In software, I'm trying to implement the Stochastic Oscillator (see here), and I'd like to figure out a few things. Let's say I use standard inputs 14, 3 and 3. If my 14 is for intraday ticks, what ...
10
votes
4answers
6k views

Library of basic indicators

I am looking to start developing a trend following strategy and have been looking to do something in either C# or Java and wondered if there was a library or framework out there that would make ...
8
votes
0answers
2k views

Volatility-Based Envelopes

I am following an article by Mohamed Elsaiid (MFTA) about Volatility-Based Envelopes - a quite new technical indicator he has introduced, that is being used by Bloomberg. My goal is to get a simple ...
13
votes
1answer
2k views

How to use macroeconomic indicators for long/short trading strategies?

I am trying to understand how to use macroeconomic data in my trading. I understand that using such data could be used to gauge an overall view of the market and how it's doing as a whole. I have been ...
3
votes
1answer
1k views

How does “time segmented volume” differ from on-balance volume?

Worden Brothers Inc. advertise a proprietary indicator called Time Segmented Volume. This gizmo seems closely to resemble On Balance Volume. Is there any reason to think that TSV might yield a more ...
8
votes
2answers
334 views

What do we really mean by put-call ratio and how should it be expressed?

I need to calculate the put-call ratio for an American option. But I'm a complete naïf: I don't know how. I think I'd use the put open interest and the call open interest. I can imagine two ways to ...
28
votes
6answers
31k views

How to identify technical analysis chart patterns algorithmically?

I'm working on a small application that will provide some charts and graphs to be used for technical analysis. I'm new to TA but I'm wondering if there is a way to algorithmically identify the ...
7
votes
5answers
964 views

Indicators and research for stress-based investment strategies

In reference to this paper: Can risk aversion indicators anticipate financial crises? and the investable UBS Risk Adjusted Dynamic Alpha Strategy: http://www.ibb.ubs.com/mc/strategyindices/ubsrada/...
13
votes
5answers
4k views

How can I quantitatively test the validity of momentum indicators?

I am learning about quantitative finance, and I am struck by how different it is from the techniques that make it into magazines and TV, particularly technical analysis. Specifically, if they say an ...
18
votes
3answers
3k views

How to incorporate technical indicators into neural networks?

I plan to develop a neural network to trade commodities futures, but while messing around with some code, a question came up. If I understand correctly, people use various technical indicators with ...
4
votes
3answers
4k views

Mean reverting Indicator

I'm looking for an indicator which tells me if it's a good time to use mean reverting type quantitative trading strategies. In order to do so I look at the market (the few hundred stocks I trade) and ...