Tag Archives: indicator

A leading indicator to spot financial market Black Swan Events?

By Paul | Published: December 16, 2009
Black Swan Events or 4-sigma moves (e.g. 1987 Black Monday and 2008 crash) in the markets are by definition hard to predict.  Hard, but not impossible.  Experienced traders utilize prudent risk management to shield themselves from monstrous losses, and some can even profit immensely from them.  However, for us average folks, is there some kind [...]
Posted in Trading Signal | Also tagged black swan, market sentiment | Leave a comment

How to use FX futures to narrow down which forex pair to trade

By Paul | Published: November 20, 2009
A problem I have is that once a currency pair shows a viable trading setup, other related pairs often show the same setup too.   A reason for this phenomenon is that markets don’t operate in a vacuum.  When markets really move, everything move together.  So the highly correlated markets can scream for entry at the [...]
Posted in Trading Strategy | Also tagged AUD, JPY, USD | Leave a comment

Using Option Pain (Max Pain) to estimate stock price

By Paul | Published: October 28, 2008
While the market is sorting things out today, I’d like to document a simple stock price predictor based on put/call activity called Option Pain or Max Pain. It is widely believed that professional traders favour writing options.  Since trading options is a zero-sum game, it is in their best interest if a majority of options [...]
Posted in Quantitative Analysis | Also tagged options, SLW | 1 Comment

Stock move estimation on expiration day based on option prices

By Paul | Published: October 15, 2008
I’d like to document a useful technique I picked up today from Tom Sosnoff on ShadowTrader.  It’s based on the idea that option pricing has become so efficient that it can be used to predict actual stock move. Since it is expiration Friday this week, the Oct 08 index option are expiring in two days.  [...]
Posted in Trading Signal | Tagged indicator | Leave a comment

Back to Basics: Market sentiment via 2-line EMA on S&P500

By Paul | Published: October 8, 2008
One of the most, if not THE most, important theme in trading is identifying if we’re in a bull or bear market.  It’s easier to “ride with the wave” than to fight against it.  While there are an abundance of work, studies, theories, or whatever, on calling out market sentiments, I feel that the most [...]
Posted in Trading Signal | Also tagged market analysis, S&P 500 | 1 Comment

Using new MA algorithm to rewrite old indicators

By Paul | Published: January 6, 2008
Seeing that many indicators use a MA for calculation. It may be possible to use new MA algorithm to improve on their calculation. For example, the RS in RSI is something like RS = EMA(up days) / EMA(down days). We could change it to RS = HMA(up days) / HMA(down days). Since HMA is much [...]
Posted in Quantitative Tools | Also tagged EasyLanguage | Leave a comment

New moving average

By Paul | Published: January 6, 2008
I downloaded Hull Moving Average, Adaptive Moving Average, and a Kalmann Filter today. In the figure, the blue/red is HMA(8), cyan is AMA(10), yellow is EMA(9) as comparison. Notice that HMA is super fast and follows the price closely. AMA lags more but does a good job of smoothing outt the noise. EMA is as [...]
Posted in Trading Signal | Also tagged EasyLanguage | Leave a comment

Trending and Ranging indicators

By Paul | Published: December 21, 2007
RSI and MACD makes them appropriate for trending markets. For directionless, chopping markets, you need to use Stochastics and Wm%R. from g034
Posted in Trading Signal | Tagged indicator | Leave a comment