Questions tagged [trends]

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2answers
242 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....
1
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1answer
93 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
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1answer
442 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
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3answers
2k 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 ...
1
vote
1answer
119 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
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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
167 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
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0answers
83 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
104 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
140 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
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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
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0answers
242 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 '...