Questions tagged [trends]
The trends tag has no usage guidance.
15
questions
6
votes
2answers
165 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
27 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.
...
0
votes
0answers
85 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
273 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
126 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
517 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
212 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
172 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
84 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
105 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
141 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
248 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 '...
