) It would be expected that some equity prices, over time, would exhibit persistence, ie. Lag is the amount of time the moving average need to follow the price action while smoothness represent the lack of noise. It would be expected that the number of equity price transitions in a time interval, (ie. While point 5 give us some indication about the probability that a current swing will persist. , the length of time an equity’s price is above average, or below average,) would have a cumulative distribution that decreases with the reciprocal of the square root of time. 50 For further details and explanations of these formulas i recommend to deeply study the material present at Â http://www. It would be expected that an equity’s price, over time, would be mean reverting, (ie bitcoin technical background. , if an equity’s price is below its average, there would be a propensity for the equity’s price to increase, and vice versa.
It would be expected that the zero-free voids in an equity’s price, (ie. For computing the daily range estimates i publish on twitter i use the Hodrick-Prescott filter. It is used to obtain a smoothed non-linear representation of aÂ time series, one that is more sensitive to long-term than to short-term fluctuations. , the maximum price minus the minimum price,) would increase with the square root of time. For better info about this moving average download this PDF from the author website. It is always a trade-off beetween lag and smoothness, you can’t have both bitcoin technical background. Technical indicators i useÂ | Brief explanation Every trading system based on technical analysis uses moving average or hi/lo passband filters. As a moving average i use the “ALMA” moving average, copyrightÂ by Arnaud Legoux and Dimitris Kouzis-Loukas.
IÂ like the RSI-based inverse Fisher Transform because it help clearly define trigger points. The inverse transform is then applied to these values that will range from -1 to +1; when the oscillator will cross above -0. Quantitative financial analysis | brief overview One of the prevailing concepts in financial quantitative analysis is that equity prices exhibit “random walk”Â characteristics.Bitcoin.. com/ntropix/ Leave a comment if you need more explanations about this topic Advertisements. A huge amount of your profit rely on the goodness of your filters or moving averages. .Golem.VeChain. MaidSafeCoin.