Questions tagged [trends]
The trends tag has no usage guidance.
22
questions
0
votes
0answers
53 views
Is there an indicator that “normalizes” pullback signals against varying trend strengths?
Does anyone know of a good indicator that "normalizes" pullback signals based on the context of the strength of the trend they occur in? I've noticed trend strength and pullback depth are ...
2
votes
0answers
59 views
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 ...
0
votes
0answers
36 views
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 ...
0
votes
0answers
43 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
228 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 ...
2
votes
4answers
192 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 ...
0
votes
0answers
24 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 ...
8
votes
2answers
583 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
34 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
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0answers
207 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
331 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
237 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
610 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
4k 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 ...
4
votes
3answers
324 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
185 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
109 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
146 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
265 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 '...
