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Would I be right in thinking that the St. Louis Fed Financial Stress Index, would be the nearest replacement for the old TED spread? Any other indicators worth looking at? I use the well known HYIOAS (...
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Sharpe Ratio can be turned into a convex function. And information ratio as well. Supppose I add these ratios as follows: (SR + 3 IR ) / 2 Can this function transfer into convex? How should I do it?
andy's user avatar
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I distinctly remember that this type of indicator was named after a person. With reference to a particular period e.g. a week or month, it is computed as: $$Ratio1(t) = \frac{Close(t) - Low(t)}{ High(...
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I am trying speed up below code for faster speed, df = df.ewm(span=lookback).std() I wrote a numba version but it is very slow in large dataset ...
Mithril's user avatar
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Goal: I'm looking to see if it's possible to programatically detect "measured moves" on candlestick data. The price data I am using is successfully retrieved from the TD Ameritrade platform ...
p.luck's user avatar
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According to the first bullet point in this explanation, "In the stock market, open interest is the number of buy orders submitted before the market opens. When the open interest is high, people ...
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Example: The trading range (in points) for each of the last 5 trading days for asset A is: 5,21,2,15,32 and for asset B is: 5,6,5,5,5. Is there an indicator that ranks assets based on variation of ...
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Beginner here, so apologies for the rather naïve question, I try to find answers elsewhere but mostly I found opinions (often contradicting and rarely with an explanantion). Maybe I'm using the wrong ...
Igor M's user avatar
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4 answers
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The definition of tail risk (risk of 3-standard deviations movement) seems to imply there would be a current market indicator for this. Is there such an indicator available somewhere?
James Bowery's user avatar
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Could somebody help me understand if the VIX is a leading or lagging indicator. From the CBOE whitePaper ( https://www.cboe.com/micro/vix/vixwhite.pdf). I've understood that the VIX tries to ...
Jorisdrees's user avatar
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I've been looking for various ways to get more information about institutional trade action. Although weekly COT report is available, it's already outdated by 1 week at the time the report come out ...
not2qubit's user avatar
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1 answer
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Is there a precise definition of what getting picked off means. In particular I want to check whether I have been picked off. How can I measure this quantitatively?
lbf_1994's user avatar
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I have (T+3) predicted prices for a stock. Let us assume that the predicted prices are going to be very close to the actual prices. can I alter the formula of simple moving average for 20 days like ...
user239457's user avatar
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I an looking for a TA indicator library in python, that offers indicators you can update with ticks, in contrast to indicators that perform calculations on an entire data set. For example, an RSI ...
Ilans's user avatar
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I was trying to calculate RSI over hourly OHLC bars for a symbol (AAPL as an example) and got stock, first how should I handle closing hours? (does it make sense to ignore them all together and assume ...
Separius's user avatar
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Hello all, and sorry for this stupid question. I am using my custom RSI indicator to which I created programmatically. I follow the equation type from here. My problem is when I compare it with the ...
Panagiotis Drakatos's user avatar
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Is there any equivalent of the Force indicator (http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:force_index) within the talib library? (...
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I would like to ask whether there is a good way of analysing stock indicators that have no value limitations. For indicators like RSI we have a closed range ( 0 - 100 ) but in case of indicators like ...
user5514633's user avatar
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So I am attempting to calculate the Parabolic SAR over FX market data. I understand that the SAR equation is: SARt = SARt-1 + * [EPt-1 - SARt-1] with EPt-1 ...
Matthew Hewitt's user avatar
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Background I was quickly investigating Boeing's (BA) Debt-to-Equity ratio and received a very high number. I looked around online and have confirmed that BA has recently taken on a lot of debt, but ...
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I am trying to get multiple indicator values such as RSI and EMA for equities using the package tidyquant in R. I tried the example from the vignette which is: ...
geodex's user avatar
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1 vote
2 answers
3k views

I'm using the default RSI calculation in the TTR package as follows: result = RSI(data,14). The function also allows the user to specify the averaging method: result = RSI(data,14,"SMA"), result =...
Cameron's user avatar
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1 vote
2 answers
733 views

Or for that matter a [n]-day low? (As it relates to market data/trading). When does a [n]-day low get disrupted and you have to begin tallying again?
farinspace's user avatar
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I've been asked to re-create a spreadsheet that used RBloomberg using a different data source. But I'm having trouble figuring out exactly what one of the spreadsheet's formulas does. Can anyone tell ...
ransomedbyfire's user avatar
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Here is a few references about OBV calculations: http://ta.mql4.com/indicators/volumes/on_balance_volume http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:...
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