16

Dynamic Time Warping, recursive, time-delayed feedforward neural networks, wavelets, empirical mode decomposition, ..., there's plenty of it. BUT If you want my advice, don't go this way, I wasted too much time doing things like that. Neither big nor small players (profitably and consistently) trade this way and for a good reason. Technical analysis is a ...


9

Yes, there are. For pure technical indicator libraries I would first check out: http://www.ta-lib.org/ Its open source and they provide APIs for both C# and Java among others. Let me know if you look for commercial ones but this one is definitely the most comprehensive in terms of open source code.


6

J. Welles Wilder Jr created the indicator called the Relative Strength Indicator in 1967. The indicator he originally created uses all data points in the sample series, not just the last 14 data points (or whatever period of RSI you are using). Any data series that has less (or more) data than your current set will therefore show a different set of data. ...


6

I was searching for answers to the same question and came across your question. After some thought and research, here is the plan I have developed. I will be working in Python. Calculate relative maxima and minima with SciPy. Calculate RSI at those points using lib-ta. For each pair of lows and highs, compare the change in price with the difference in RSI. ...


5

The following paper gives you a range of different indicators and methods and, even better, unifies the whole concept: Which Trend Is Your Friend? by Levine, A., Pedersen, L. Abstract Managed-futures funds (sometimes called CTAs) trade predominantly on trends. There are several ways of identifying trends, either using heuristics or statistical ...


5

One idea is Dynamic time warping (DTW). There is an R package for that: dtw Here is the vignette:Computing and Visualizing Dynamic Time Warping Alignments in R: The dtw Packageby Toni Giorgino And here is an example from Systematic Investor with full code: Time Series Matching with Dynamic Time Warping


4

I think, the following list answers your question. Even though the below list is exhaustive, there might be some recent changes. Try looking for additional sources, you might find some more useful information. ADX Average Directional Movement Index ADXR Average Directional Movement Index Rating APO Absolute Price Oscillator AROON Aroon ...


4

Is there a precise definition of what getting picked off means no, there exists no uniform metric defining what it means to get "picked off". You will hear this term often in the context of high frequency trading and market making, both of which are heavily latency-constrained trading strategies. All that really means is that their success is conditional ...


3

I don't understand how technical indicators are at all relevant to the question. State probabilities can be generated directly from the returns if the model is known. There is no need to guess at heuristic trading rules based on technical indicators. Let $r_t$ be the return at time $t$. Your model is $E\{r_t | s_t=i\} \sim N(\mu_i,\sigma^2_i), i=0,1$ $P\{...


3

You might have a look into the CRAN's "Empirical Finance" task view. It lists a whole bunch of R packages for time-series analysis and construction of automatic trading rules. Link: http://cran.r-project.org/web/views/Finance.html


3

Renowned CXO Advisory Group have created a research compendium exclusively on momentum investing. This is the most exhaustive treatment of the topic I have ever seen: The Momentum Investing Research Compendium With $25 the price is reasonable.


3

Cliff Asness's PhD thesis was based on Momentum and Value. AQR has a lot of interesting research. http://www.aqrindex.com/AQR_Momentum_Indices/Momentum_Research/Content/default.fs http://aqr.com/Research/ByTopic.aspx Jegadeesh and Titman (Returns to Buying Winners...- first paper linked in the above answer ) seems to be the standard reference.


3

The most likely reason I can think of is the ease of computation. Gerald Appel developed the MACD in the late 1970's, when computing resources were very limited. When doing calculations by hand, on paper, it's much easier to take the difference of two simple (or exponential) moving averages than the log of their quotients.


3

Have you tried TA-lib? It supports RSI.


3

I think you are misunderstanding. Volume Weighted Average Price (VWAP) is both an execution tactic and a benchmark. VWAP as a benchmark simply means the [gross notional traded during the day] / [day volume]. Special trades (derriv tied, as-of, etc) are excluded. VWAP is basically the weighted average trade price of the day that you could have been able ...


2

An excellent example is the Federal Reserve Bank of Chicago’s National Financial Conditions Index (NFCI): http://research.stlouisfed.org/fred2/series/NFCI CXO Advisory Group just published a report which came to the following conclusion: [...] evidence from simple tests suggests that the Federal Reserve Bank of Chicago’s NFCI may be a useful indicator ...


2

I believe the R library quantmod has some pre-packaged tools.


2

Yes, the function does not consider cases when the price is flat. The solution is very simple. Look at the OBV2 function below. The series from OBV and OBV2 are highly correlated, but the strict definition would be higher (smaller) depending on the market evolution. In the QQQ case that difference is about 50% 1. You could find the maintainer here: http://...


2

I answered @Anilca's question in SO (and the answer was accepted) I summarize my answer with the working solution: public class Aroon : IndicatorCalculatorBase { public override List<OhlcSample> OhlcList { get; set; } private readonly int _period; public int Period { get { return _period; } } public Aroon(int period)...


2

Regarding trading, it depends upon one's style and temperament. Don't rely solely on Aronson's book and his views and a phrase quoted by Andrew Lo in his study. The formula posted by Tal Fishman of Head and Shoulders as quoted by Lo, Mamaysky and Wang (2000) is not exhaustive. There is a lot of scope for further improvement. However, there are many studies ...


2

How should an n-day low be defined? Let's start with the simplest case: a 1 day low. We say that today is a 1 day low if the close of today is lower than the close of yesterday: $c_t<c_{t-1}$. This is the same as a Down Day. Generalizing, today is a 2-day low if $c_t<c_{t-1} \wedge c_t<c_{t-2} $. In words: today's close is below both yesterday's ...


2

Typing 'zigzag indicator' into google yields Investopedia's entry as first search result. Importantly it states: To use the zig zag indicator, a percentage of price movements must be set. Although the default value for a zig zag is 5%, a setting of 9% would ensure that only price fluctuations of 9% or more would be shown in the chart. This eliminates ...


2

This indicator seems to be similar to William's Vix Fix which is also known as Synthetic Vix. On plotting the values of Vix Fix, the monthly chart of the S&P 500 looks similar to the chart given in the link shared by you. Formula: VIX Fix = (Highest (Close,22) – Low) / (Highest (Close,22)) * 100


2

Question is moreover of Portfolio Trading Strategies For a Portfolio of Stocks to be traded with both buys and sells, one must consider the trade basket as a whole. For instance, an imbalance between buys and sells might cause an intended net market exposure. The correlation between the stocks is another important issue. For buys and sells that are highly ...


2

In the sense it's derived from option prices and reflects investors expectation, it is a leading indicator. if nobody sees a market downturn in advance, then the option prices wont reflect such expectations and thus the VIX is still nice and smooth. Then when disaster strikes, not only the current vol increases, it also changes the option prices and ...


1

It is the lowest price recorded in previous n days, as of last (yesterday's) close. So it in fact does not get disrupted, it is rolling with the dates. Say 3 day low (over weekend and Monday) would be the lowest recorded price between Wednesday, Thursday and Friday. On Tuesday it would be Thursday, Friday and Monday 1 Aug. But I would make sure to check ...


1

Sounds like Volatility Bands may be what you need. From the link: Volatility Bands are an indicator that allows users to compare volatility and relative price levels over a period time. The indicator consists of three bands designed to encompass the majority of a security's price action. Volatility bands can help confirm trend, but they do not determine the ...


1

Normalized data are not supposed to be in $[-1,1]$, but they're supposed to be "centered" around 0 (because you subtract the mean of the sample) and with values spread from 0 in a way which makes it comparable between different variable size (because you divide by the standard deviation of the sample). A quick example is let's say you compare two random ...


1

I'll be using tidyquant version 0.3.0 to answer this question, which changes from x_fun to ohlc_fun in tq_mutate and tq_transform and adds the new col_rename argument to solve situations like yours with non-intuitive column names. Part 1: How do I transform the Closing stock prices to weekly? You are using the periodReturns function from quantmod, and you ...


1

The TTR RSI code uses EMA by default. Code below: https://github.com/joshuaulrich/TTR/blob/master/R/RSI.R # Default Welles Wilder EMA if(missing(maType)) { maType <- 'EMA' maArgs$wilder <- TRUE }


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