Fortunately I could write this article without putting my witch hat on. Despite its name, the ‘Gann Hi-Lo Activator’ was not invented by the famous esotericist, but by Robert Krausz in a 1998 article in the Stocks&Commodities magazine. In a recent article, Barbara Star combined it with other indicators for a swing trading system. Will an indicator with the name ‘Gann’ work outside the realm of the supernatural? Continue reading “Petra on Programming: The Gann Hi-Lo Activator”
In the S&C September 2020 article “Tracking Relative Strength In Four Dimensions”, James Garofallou presents a metric for evaluating a security’s strength relative to 11 major market sectors and over several time periods. All this information is squeezed into a single value. Maybe at cost of losing other important information? In this article we’ll look into how to program such a beast, and how it fares when we use it for rebalancing a stock portfolio. Continue reading “Petra on Programming: Four Dimensions of Strength”
Vitali Apirine, inventor of the OBVM indicator, presented another new tool for believers in technical analysis. His new Compare Price Momentum Oscillator (CPMO), described in the Stocks & Commodities August 2020 issue, is based on the Price Momentum Oscillator (PMO) by Carl Swenlin. Yet another indicator with an impressive name. But has it any use? Continue reading “Petra on Programming: The Compare Price Momentum Oscillator”
Cumulative indicators, such as the EMA or the MACD, are affected by a theoretically infinite history of candles. In finite backtests, these indicators return slightly different results depending on the test period. This effect is often assumed negligible. But John Ehlers demonstrated in his July S&C article that it is not so. At least not for some indicators, such as a narrow bandpass filter. We have to truncate the indicator’s ‘internal history’ for getting consistent results. How do we do that in C? Continue reading “Petra on Programming: Truncated Indicators”
The previous article dealt with indicators based on correlation with a trend line. This time we’ll look into another correlation-based indicator by John Ehlers. The new Correlation Cycle indicator (CCY) measures the price curve correlation with a sine wave. This works surprisingly well – not for generating trade signals, but for a different purpose.
This months project is a new indicator by John Ehlers, first published in the S&C May 2020 issue. Ehlers had a unique idea for early detecting trend in a price curve. No smoothing, no moving average, but something entirely different. Lets see if this new indicator can rule them all.
In his article in the S&C April 2020 issue, Vitali Apirine proposed a modified On Balance Volume indicator (OBVM). The hope was that OBVM crossovers and divergences make great trade signals, especially for stock indices. I got the job to put that to the test.
I was recently hired to code a series of indicators based on monthly articles in the Stocks & Commodities magazine, and to write here about the details of indicator programming. Looking through the magazine, I found many articles useful, some a bit weird, some a bit on the esoteric side. So I hope I won’t have to code Elliott waves or harmonic figures one day. But this first one is a very rational indicator invented by a famous algo trader.
Compared with machine learning or signal processing algorithms of conventional trading strategies, High Frequency Trading systems can be surprisingly simple. They need not attempt to predict future prices. They know the future prices already. Or rather, they know the prices that lie in the future for other, slower market participants. Recently we got some contracts for simulating HFT systems in order to determine their potential profit and maximum latency. This article is about testing HFT systems the hacker’s way. Continue reading “Hacking a HFT system”
Just a quick post in the light of a very recent event. Users of financial functions of R, MatLab, Python, or Zorro got a bad surprise in the last days. Scripts and programs based on historical price data suddenly didn’t work anymore. And our favorite free historical price data provider, Yahoo, now responds on any access to their API in this way: