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Questions tagged [normalization]

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2 answers
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using a normalized formula from a book but not getting the correct values

I'm attempting a normalization formula (seen in the picture) but I'm not getting the result of 0 and 1. Instead I'm getting values greater than 1 and less than 0 (seen in the other picture). I wrote ...
Jose Maldonado's user avatar
2 votes
1 answer
368 views

How to Normalize Weights When Weights don't sum to 100%

I'm working on a take-home assignment for a company. They want me to calculate the return of a portfolio of securities over time, given the returns of the securities over time and the initial ...
Python Developer's user avatar
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0 answers
45 views

Normalize positive distributed time series data without window parameters

I have a piece of daily volume and a piece of daily trades data, now I divide them and I get volume/trades as a factor. This factor has positive value and I want it to be normalized to predict the ...
atlantic0cean's user avatar
0 votes
1 answer
118 views

Normalise 5hr, 10hr, weekly, monthly returns using 1hr time bar

I have a question on normalisation of returns when working with high frequency bars, such as 10mins, 30mins or 1hr. Suppose I have a time series of 1hr bars. I'd like to compute 5hr, daily, weekly, ...
tinyneko's user avatar
1 vote
1 answer
1k views

Does it make any sense to normalize returns?

I have been going through a course for Time Series Analysis. First we learned to make returns from a time-series of stock index by (Xt - Xt-1)/Xt-1 . This makes the series stationary, which means we ...
Borut Flis's user avatar
0 votes
2 answers
735 views

Right way to standardize price based features across different stocks for supervised learning

Let's say we have an OHLCV dataset for a universe of stocks. We want to create features based on these price data. Since each stock may have a very different price range from the other if we just take ...
hugh's user avatar
  • 1
0 votes
1 answer
51 views

Mapping One symbol's Support/Resistance to another Symbol

I wish to map and display the Support/Resistance lines (i.e. SMA20_daily) of ES onto NQ graph as I think they are mutually effecting each other, how may I achieve this? Do I need to do some kind of ...
rc76's user avatar
  • 1
0 votes
1 answer
147 views

Does standardizing/normalizing asset returns change their skewness and kurtosis?

Asset returns are obtained by log-differencing prices. Standardizing or normalizing/scaling asset returns can be carried out by de-meaning the returns and dividing them by their standard deviation, ...
develarist's user avatar
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0 votes
1 answer
136 views

How would you equally distribute the risk of each stock in a portfolio?

Suppose you have in-sample (IS) and out-of-sample (OOS) daily returns of N stocks (IS and OOS dates are the same for each stock). Suppose you want to calculate return captured each day as x * ret. ...
Denis's user avatar
  • 185
0 votes
0 answers
369 views

How can I normalize price data for 2 financial instruments from different categories?

Lets say I want to build a divergence / convergence strategy with FOREX currency pair and a correlated commodity. How can I normalize the prices so that I get an accurate idea of the movements of each,...
Riley Bolen's user avatar
1 vote
1 answer
347 views

Normalization of volume

suppose we have volumes every minute like below 100, 200 , 19, 0 , 200 , 12 , 100 I want to convert all these numbers to less than 10 , where 10 is max and 1 is ...
Gracie williams's user avatar
1 vote
0 answers
1k views

How to normalize stock exchange indexes

I am doing an academic research in behavioral finance and I need to calculate my abnormal return based on the normalized returns of the stock exchange index being the S&P 500. In other words, I ...
Alessio_110's user avatar
4 votes
0 answers
180 views

Comparison of normalization methods on market returns

I am looking to use a multi-factor model to make target-return predictions. Since the factor-returns come from different scales I need to normalize first. There are different ways to normalize ...
ninjaSurfer's user avatar
0 votes
1 answer
502 views

How to calculate the normalized value of a changing stock portfolio?

My goal is to compare a portfolio of stocks with a benchmark over time. Calculating the normalized value of a static portfolio is no problem, but I am struggling when stocks are removed or added to ...
Wanni's user avatar
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3 votes
3 answers
2k views

Appropriate way to normalize Bollinger Bands?

I am playing around with using neural nets to make predictions on market trends. I am currently feeding in a portfolio of historical data of many stocks, and am now implementing several technical ...
KOB's user avatar
  • 193
2 votes
1 answer
437 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 ...
flxh's user avatar
  • 197
3 votes
1 answer
2k views

Normalise daily trading volume/value

How to normalise daily trading volume and trading value as features for RNN model of stock time series? The immediate answer could be: taking the global min/max, mean/std for each stock across the ...
Tan Li's user avatar
  • 41
2 votes
2 answers
1k views

pairs trading, normalization

I am interested in implementing a simple pairs trading strategy using two correlated futures contracts. I am unsure what the best way to normalize the prices of the two instruments is. Essentially ...
Mustard Tiger's user avatar
0 votes
1 answer
301 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: ...
mllamazares's user avatar
1 vote
0 answers
342 views

Probability Integral Transform: Standardisation

I've been applying the probability integral transform as shown here to standardise date for input into a neural network: https://math.stackexchange.com/questions/592076/mapping-cdfs-to-each-other?...
Bazman's user avatar
  • 879
2 votes
2 answers
563 views

Normalizing SPY ETF time series data with its sector ETFs?

I am looking to compare the returns of a sector rotation strategy between the various SPDR sector ETFs XLY, XLP, XLE, XLF, XLV, XLI, XLB, XLK, XLU vs. the ...
Jerry Zhang's user avatar
3 votes
0 answers
208 views

Which kind of normalization to prefer before PCA (generic solution for any factor analysis)

I have financial assets with totally different volatilities, thus I must standardize them before PCA, otherwise, assets with high variance may be considered as principle components, which is wrong. ...
Anonymous's user avatar
  • 415
13 votes
4 answers
18k views

How to calculate the JdK RS-Ratio

Anyone have a clue how to calculate the JdK RS-Ratio? Let's say I want to compare the Relative strength for these: EWA iShares MSCI Australia Index Fund EWC iShares MSCI Canada Index Fund EWD ...
Isak La Fleur's user avatar
0 votes
3 answers
126 views

Small question about normalization

Lets assume I want to normalize some stock data ( prices or log prices) to compare for different types of correlation for example. And here is the question how should I normalize: a) by subtracting ...
Bobby Digital's user avatar
3 votes
1 answer
447 views

Normalized price process $Z(t)=\frac{\Pi(t)}{B(t)}$

If an interest rate model with the following $P$-dynamics for the short rate. $$dr(t)=\mu(t,r(t))dt+\sigma(t,r(t))d\bar{W}(t)$$ Now consider a $T$-claim of the form $\chi = \Phi(r(T))$ with ...
Roozbe's user avatar
  • 323
1 vote
1 answer
822 views

Different range price data on one chart

I'd like to evaluate 3-4 instruments on one price chart. For example: Stock A: 90,05 90,15 90,25 90,09 Stock B: 0,0045 0,0049 0,0039 0,0040 Stock C: 1998,1 1998,7 1998,8 1997 I try to use: Ln(...
Vladimir's user avatar
  • 159
0 votes
1 answer
1k views

Calculating the Sum of Squared Deviations between two Normalized Price Series

How can I calculate the sum of square deviations between two normalized price series according to (Gatev et. co 2006)? My normalized price series of stocks $X$ and $Y$ consist of the cumulative total ...
Travis Liew's user avatar
9 votes
2 answers
30k views

How to normalize stock data

Please advise how can i normalize stock prices. Recently, I've been using such formulas: Log prices = Ln(Close(t)) Close(t)-Mean (Close(t)-Mean)/(StdDev) Ln(Close(t))-Mean Is there any other ways?
Vladimir's user avatar
  • 159