Empirical Study of the 1-2-3 Trend Indicator
Statistical Finance
2014-09-19 v1
Abstract
In this paper we study automatically recognized trends and investigate their statistics. To do that we introduce the notion of a wavelength for time series via cross correlation and use this wavelength to calibrate the 1-2-3 trend indicator of Maier-Paape [Automatic One Two Three, Quantitative Finance, 2013] to automatically find trends. Extensive statistics are reported for EUR-USD, DAX-Future, Gold and Crude Oil regarding e.g. the dynamic, duration and extension of trends on different time scales.
Keywords
Cite
@article{arxiv.1409.5321,
title = {Empirical Study of the 1-2-3 Trend Indicator},
author = {Yasemin Hafizogullari and Stanislaus Maier-Paape and Andreas Platen},
journal= {arXiv preprint arXiv:1409.5321},
year = {2014}
}
Comments
21 pages, 13 figures, 5 tables; Keywords: market technical trends, automatic trend analysis, wavelength of time series, autocorrelation