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10 votes
Accepted

Large trend-followers: why use futures rather than ETFs?

Leverage: futures usually require much lower margin than their ETF counterparts. For example /ES (E-mini S&P 500 futures) requires about \$4K overnight maintenance margin per contract (may vary by ...
uminatsu's user avatar
  • 124
6 votes
Accepted

LSTM for trend prediction

The first thing you can do to help a neural network learn more rapidly is to normalize all inputs between 0 and 1. The library sklearn has a preprocess.scale() function that does just that -- make ...
Stéphane's user avatar
  • 2,486
5 votes

Differencing vs Detrending financial time series

Hi: It depends on what the DGP of the original process is. Is the process trend stationary or difference stationary ? If it's trend stationary then de-trending is the way to go. If it's difference ...
mark leeds's user avatar
  • 1,140
5 votes

Determine trends of data (direction detection or turning point detection)

The graph you attached suggests that you were trying to find swings between major highs and lows. This can be done by simply finding local extrema in the price series. The concept is: find local ...
mac13k's user avatar
  • 191
5 votes

How to go about computing RSI?

I have corrected your code so that it works as it should. This code could be cleaned up a lot. I just adjusted your existing code so that you would be able to understand it. I added some comments ...
amdopt's user avatar
  • 4,348
3 votes

Detect trend of an index

Questions: 1=> Does anyone have a suggestion to determine a trend correctly. My answer is in general and an opinion. Hong Kong Stock Exchange is third largest market behind Tokyo and Shanghai and ...
Emma's user avatar
  • 460
3 votes

How to know if a time series is trending or mean reverting?

The article that you linked mentioned several statistical tests, that approach the question from different angles. However, you should know that bid-ask bounce is not significant if you're looking at ...
onlyvix.blogspot.com's user avatar
2 votes

Large trend-followers: why use futures rather than ETFs?

There are also quite a few futures markets that don't have a corresponding ETF. For example I don't see an ETF for Feeder Cattle,Slovenian Power, Shanghai Rebar, and many more.
ontic's user avatar
  • 85
2 votes

Large trend-followers: why use futures rather than ETFs?

I am going to speculate here. Scale. Say for equities the futures market is bigger than the actual spot market (presumably because you can have cash-settled rather than physically settled contracts); ...
A.L. Verminburger's user avatar
2 votes

Determine trends of data (direction detection or turning point detection)

You didn't say what you were going to do with the result and so there are two answers. First, if you do not care about the future and the only concern is to precisely match the data that happened, ...
Dave Harris's user avatar
  • 4,299
2 votes

Differencing vs Detrending financial time series

Let me try to write formulae to explain the differences: When $X_t=a+b\,t + c\,\xi_t$, where $\xi_t$ is an iid centered and reduced noise (ie $\mathbb{E}\xi=0$ and $\mathbb{E}\xi^2=1$. With $X_(t+1)-...
lehalle's user avatar
  • 12.2k
2 votes

Beginner FFT (Fourier) transforms on closing prices for Apple

The blue line that you have fit starts at 140 and also ends at 140 because when you fit a Fourier Series the signal is assumed to be periodic (repeated again and again) and continuous. 140 is a ...
nbbo2's user avatar
  • 11.4k
1 vote

What is the common accepted/ best performed method to classify trends and mean-reversion for fixed peroid?

Up to interpretation, and specifics about this is generally not disclosed since it provides a real edge in trading. One common approach that use is Regime modelling using Hidden State Markov Models. ...
Valter's user avatar
  • 56
1 vote

Python: detecting measured moves of candlestick data

I can only offer apriori solutions which are slightly overfit: to calculate the slope of N lookback periods and drop the ones that have a low and high std dev (how to determine low and high?) the ...
Matthias Tom's user avatar
1 vote

Python: detecting measured moves of candlestick data

You can use fractals to identify highs and lows. You can also measure movements as a percentage of the nearest extreme points. Here I showed how to find down fractals, and here I measured movements in ...
inquirer's user avatar
  • 111
1 vote

Identifying "logical" segments on trading charts

I don't know, because your chart shows no time stamps, but I'd hazard a guess that the first third is the "overnight" session after the New York close until the London open, the second third ...
babelproofreader's user avatar
1 vote

Identifying "logical" segments on trading charts

You could look into the trend-scanning method which is described in a new book by Marcos Lopez de Prado, "Machine Learning for Asset Managers". Essentially you fit a linear regression to ...
Sean Thoman's user avatar
1 vote

Detect trend of an index

I think part of the problem may be a lack of a formal definition for what constitutes the trend. At least it lacks a definition of some kind of statistical property. (I was thinking autocorrelation ...
Jacques Joubert's user avatar
1 vote

Determine trends of data (direction detection or turning point detection)

Your question is very general and I am sure it can be approached from different angles. Segmenting a time series as per the diferent components may help you to forecast each individua part also ...
Barnaby's user avatar
  • 436

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