# Tag Info

### Calculating Bollinger Band Correctly

In Pandas 0.19.2++: ...

### Theoretical justification for technical analysis

The answer to your question about the theoretical justification for technical analysis depends on the price series being analyzed. There is some evidence for a few technical indicators to have ...

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### Calculating Bollinger Band Correctly

I believe that the answers given here are incorrect as they return the sample standard deviation while the the population measure is the correct calculation for Bollinger Bands. The bands usign the ...
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### Half life of Exponetial Weighted Moving Average

The Exponentially Weighted Moving Average (EWMA for short) is characterized my the size of the lookback window $N$ and the decay parameter $\lambda$. The corresponding volatility forecast is then ...

### What is the difference between squared returns and variance?

Usually the formula for the sample variance of a stock is given by: \begin{equation} Var(R_{i}) = E (R_t - E(R_t))^2 \end{equation} If you are using daily data to compute the variance then the ...

### Theoretical justification for technical analysis

Really great question. Having studied finance academically, in an academic setting, you will always be told that technical analysis is non-sense. In the world of pure academics, the efficient market ...

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### Aren't Technical Indicators calculated on Adjusted Close Price?

As can be seen from this example from Yahoo!Finance this should not happen (click on "+ The adjusted close"): https://help.yahoo.com/kb/finance/SLN2311.html?impressions=true Another more complete ...

### Workflow in algorithmic strategies

"What are more appropriate way to test it with real-world data? Also, can you suggest the next steps to make it more realistic?" Pick a tradable instrument (e.g. SPY rather than S&P500), ...
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### Derivation (or proof) of commonly used formula showing relationship between time and smoothing factor in exponential smoothing

The current data point is said to have age 0, the previous has age 1, and so on going backwards. For a straight N period moving average of the form $\frac{1}{N}(x_t+x_{t-1}+\cdots+x_{t-N+1})$ it is ...
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### Where to get historical equity data?

Recently I came across interesting platform. https://www.quantopian.com/ they offer exactly what you need and for free. Basically, you code your algo in python, they provide data using api and ...
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### How to get the the final % return in backtesting?

Note: Assuming you're a bit of a beginner trying to learn the ropes of how this whole process works at a high level, I can definitely make a couple recommendations (if I'm interpreting that wrong then ...
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### Technical Indicators reference

The TA_lib Technical Analysis library here has open source code for numerous indicators.
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### Technical Indicators reference

The Technical Analysis of Financial markets is considered as a milestone of the matter. I suggest to read that before starting to test your strategy. It explains well the use of each indicator, ...

### Technical Indicators reference

A very good reference can be found here: http://www.asiapacfinance.com/trading-strategies/technicalindicators
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### Online algorithm for selecting smoothing parameter?

First of all, I do not believe the "optimal smoothing" of an estimator (like the mean or the variance) and the "regression case" are the same. The smoothing of an existing estimator (like mean or ...

### Calculating Bollinger Band Correctly

Try to plot the rolling mean against your quotes for SP and see if it makes sense. Although you line of code to compute the rolling mean is correct, there might be something wrong in the data that you ...

### How to optimize return in a moving average crossover algorithm

It is unlikely that you could beat the market in the long-term with such a simple strategy. But, since you ask about optimization (not real trading), all you have to do to is run the optimization ...