Questions tagged [trends]

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Plotting of trendlines with certain conditions post significant pivot point determination

I'm trying to get a point which is higher in a range of points, i.e., pivot high, then among a range of pivot high I want to find a significant pivot high. For this I am trying to create a range which ...
driver's user avatar
  • 91
3 votes
2 answers

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 ...
p.luck's user avatar
  • 131
2 votes
0 answers

Variance Ratio Test shows mean-reverting trend but Hurst exponent is greater than 0.5

I believe Hurst Exponent greater than 0.5 indicates persistent series, meaning the values are not mean-reverting. However, when I run a variance ratio test, I get a graph clearly showing mean ...
Potato's user avatar
  • 21
0 votes
0 answers

The question is related to the regression analysis - stationarity testing

How to interpret different scenarios in ADF test. Scenarios: ADF Test: Type: None, Drift, Trend What exactly each of the types specify and when to use which 'type' during performing stationarity and ...
syed tabrez's user avatar
1 vote
1 answer

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 ...
TommyF's user avatar
  • 123
2 votes
4 answers

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 ...
SuperCodeBrah's user avatar
8 votes
2 answers

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 ...
perseo's user avatar
  • 81
1 vote
0 answers

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. ...
pppp_prs's user avatar
  • 173
1 vote
2 answers

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. ...
Michael Joyner's user avatar
-1 votes
2 answers

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....
Edison Lo's user avatar
3 votes
1 answer

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 found here Here is the code: ...
user5735224's user avatar
1 vote
1 answer

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 ...
guy's user avatar
  • 203
11 votes
3 answers

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 ...
user2991243's user avatar
4 votes
3 answers

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, ...
A.L. Verminburger's user avatar
2 votes
0 answers

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 ...
user3365108's user avatar
2 votes
1 answer

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 ...
Ian Whittington's user avatar
2 votes
0 answers

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)....
kafinance's user avatar
0 votes
3 answers

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 ...
Antonio Ragagnin's user avatar
2 votes
2 answers

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 ...
athos's user avatar
  • 2,211
9 votes
3 answers

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 ...
Lucas Morin's user avatar
  • 1,217
3 votes
0 answers

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 '...
bigbug's user avatar
  • 131