Questions tagged [trends]
The trends tag has no usage guidance.
19
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0answers
25 views
Alternative Hurst Exponent methodologies?
The theory behind the Hurst exponent is that every instrument exhibits a certain mix of trending and mean reversion, where Hurst values closer to 1 represent a higher likelihood of trending and Hurst ...
1
vote
1answer
130 views
LSTM for trend prediction
Been wanting to get my hands dirty with ML for a while now and since I'm interested in finance and trading as well, I figured this would be a good project to get started after reading Deep LSTM with ...
1
vote
1answer
114 views
Identifying “logical” segments on trading charts
The chart below is the 15-minute EURUSD from earlier today. The blue lines represent dividers between three subjective but reasonable segments that can easily be made out by the eye. I would ...
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0answers
22 views
Open interest and price evolution - wikipedia article
The Wikipedia article on open interest ends with the following table, itself sourced from a McGraw-Hill Professional book. Seems legit, but I am surprised: I thought there was no provable relation ...
7
votes
2answers
369 views
Differencing vs Detrending financial time series
I'm quite newbie to time series analysis and I have to understand what's the difference between differencing time series (i.e considering $Y_t= X_t-X_{t-1}$) and detrending (using linear regression ...
1
vote
0answers
33 views
Likelihood increases on increasing variance of measurement error in kalman filter
I tried to fit a local trend model to daily data of a currency. I used the "dlm" package and tried to estimate the parameters V (measurement noise) and W (the process noise) via maximum likelihood.
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0answers
160 views
Beginner FFT (Fourier) transforms on closing prices for Apple
I don't know math very well, but I have been programming for many years.
I would like to use FFT as a parameter to a ML model. The FFT is diving down sharply. I tried many stocks and its the same.
...
-1
votes
2answers
309 views
Detect trend of an index
My question is about determining the trend and it can break down to 3 parts.
To clarify, a trend in my point of view, and in simple form, is the last close at time t relative to its time reference, i....
2
votes
1answer
202 views
How to go about computing RSI?
I've written python code that I believe computes RSI. I wrote the code based on what I saw in stockcharts.com found here
Here is the code:
...
1
vote
1answer
585 views
How to know if a time series is trending or mean reverting?
I came across Michael Halls-Moore article on using the Hurst exponent test to determine if a price time-series is mean-reverting, trend-following or closer to a random walk, but doesn't this disregard ...
9
votes
3answers
3k views
Determine trends of data (direction detection or turning point detection)
I'm working on a model to determine trends (direction detection or turning point detection). Suppose that we have a stock trend which is illustrated below. Blue line is real trend of stock close ...
3
votes
3answers
265 views
Large trend-followers: why use futures rather than ETFs?
There are a number of large trend-following CTAs that have been successfully running for 10+ years. Their main instrument is diversified futures. Why not ETFs (is it due to liquidity / scaling, costs, ...
2
votes
0answers
19 views
Decision criteria after seasonal drop (GAME)
I'm playing a game in which you can buy and sell items (it's an mmorpg). Now, after certain events, there is a huge drop in the price of certain items (there is a seasonal double experience weekend in ...
2
votes
1answer
181 views
How to distinguish trending/consolidating market conditions programatically?
Can someone please suggest me a method to programatically identify trending/consolidating market condition by reading ohlc data?
Currently I'm thinking of checking the current price within last n ...
2
votes
0answers
86 views
Why do leveraged and inverse leveraged WTI ETNs have this price relationship?
UWTI: 3x leveraged exposure to WTI
DWTI: 3x leveraged inverse exposure to WTI
The inverse relationship between these two symbols seems to trend toward the origin on a log-log plot (using log base 2)....
0
votes
3answers
108 views
Standard way to represent trend in an a-dimensional way [closed]
Let us suppose that a factory needs to know when certain products are increasing the profit.
This factory produces an huge number of products each with different targets. So the factory need to ...
2
votes
2answers
145 views
how to make a distribution model tolerable of trend?
I'm building an model on different loans' NPL rate. The problem is NPL rates are always affected by the market. When NPL rates move in trend, my model will fail the back-testing.
Assuming $x(t)$ is a ...
8
votes
3answers
2k views
Data Synchronization
I'm working on market trends. I have daily prices for 33 assets from different markets. I was wondering if there is a way to cancel the effects of different opening/closing times.
I have been told ...
3
votes
0answers
260 views
Is there any quantitative index to describe the strength of a 'trend'? [closed]
I am using a trend following strategy in the stock market. If you look at the price chart, you can tell one stock's trend is stronger than the other. Now I want to develop an index to calculate the '...
