Financial market geometry: The tube oscillator
Abstract
Based on geometrical considerations, we propose a new oscillator for technical market analysis, the tube oscillator. This oscillator measures the trending behavior of a fixed market instrument based on its past history. It is shown in an empirical analysis of the German DAX and the Forex EUR/USD exchange rate that a simple trading strategy based on this oscillator and fixed threshold leads to consistent positive monthly returns of average magnitude of 2% or more. The oscillator is derived from a broader understanding of the geometric behavior of prices throughout a fixed period, which we term financial market geometry. The remarkable profit results of the presented technique show that 1) prices of financial market instruments have a strong underlying deterministic component which can be detected and quantified with a matching approach and 2) financial market geometry is capable of providing such detectors.
Keywords
Cite
@article{arxiv.2407.08036,
title = {Financial market geometry: The tube oscillator},
author = {Dragoljub Katic and Stefan Richter},
journal= {arXiv preprint arXiv:2407.08036},
year = {2024}
}
Comments
36 pages, 23 figures