Commonly Used Technical Indicators

Size: px

Start display at page:

Download "Commonly Used Technical Indicators"

Buddy Wiggins
5 years ago
Views:

1 A P P E N D I X A Commoly Used Techical Idicators 9-5 Cout Acceleratio Accumulatio/Distributio Advace Declie Lie Arms Idex Aroo Oscillator (Aroo Dow ad Aroo Up) Average Chage Average Directioal Idex (ADX) Average Negative Chage Average of Volume ROC Average Positive Chage Average True Rage Bill Williams Profituity Tradig Group Idicators Bill Williams Squat Bar Variable Example Bolliger Bads Breadth Advace/Declie Chaiki A/D Oscillator Chaiki Moey Flow Chaiki Volatility Idicator Chaiki Volume Accumulator Chade Mometum Oscillator Cole s Rally Day Cole s Reactio Day Cutler s Relative Stregth Idex (RSI) Daily High/Low Differetial Ratio Daily Volume Idex DeMark Idicators Detreded Price Oscillator (DPO) Directioal Movemet Idex (DMI) Ease of Movemet Elder-Ray Bear Power Elder-Ray Bull Power Evelopes Exhaustio Bars Expoetial Movig Average (EMA) Fosback s Uchaged Issues Fractal Tred Idex Highest Value Historical Volatility (10) Historical Volatility (100) Historical Volatility Idicator Hughes Breadth Idex Kelter Chael Lagged Expoetial Movig Average Lagged Expoetial Movig Averages Differece 33 33

2 34 A p p e d i x A Lagged Lie Weighted Movig Average Lagged Lie Weighted Movig Averages Differece Lagged Movig Average Lagged Movig Averages Differece Lagged Value Lie-Weighted Movig Average Lie-Weighted Movig Averages Differece Liear Regressio Idicator Liear Regressio Slope Liear Regressio Squared Lomb Periodogram Lowest Value MACD Idicator Market Facilitatio Idex (MFI) Market Facilitatio Idex 1 (MFI x 100) Marti Prig KST Filterig System McClella Oscillator McClella Summatio Idex Media Price Mometum Moey Flow Idex (MFI) Morris Daily Pressure Morris Itraday Accumulator Movig Average Movig Average Covergece-Divergece (MACD) Movig Average Differece Multivote OBV Negative Chages Cout Negative Chages Sum Nicoski Idex OBV Midpoit OBV Oscillator OBV Raw OBV with Average Volume O-Balace Volume (OBV) O-Balace Volume with Variable Smoothig Percet Chage Percetage Price Oscillator (PPO) Percetage Volume Oscillator (PVO) Performace Idicator Period Volatility Percetage Positive ad Negative Chages Couts Differece Positive Chages Cout Positive Chages Sum Price Actio Idicator (PAIN) Price Oscillator Idicators Price Rate-of-Chage (ROC) Price Rate-of-Chage Poits Idicator Price Volume Rak Price Volume Tred Qstick Idicator Raibow Bad Lower

3 C o m m o l y U s e d T e c h i c a l I d i c a t o r s 35 Raibow Bad Upper Raibow Maximum Raibow Miimum Raibow Oscillator Rage Differece Rage Expasio Idex Rate of Chage (ROC) Oscillator Rate of Chage (ROC) Idicator Relative Stregth Idex (RSI) RSI Crossover Idicator Smart Moey Idex Smooth Acc/Dist Stadard Deviatio STIX Stochastic Oscillator Stochastic Oscillator Alert Stochastic Oscillator ad RSI Alert Swig Idex (High ad Low) TEMA1 TEMA6 TEMA6 MACD Total Volatility Trade Volume Idex TRIX Idicator Variable Legth Average Velocity Vertical Horizotal Filter (VHF) Volatility (aualized, dispersio chages, percet chages) Volume percetage +/ Average Volume (umber of stadard deviatios) Volume Accumulator Volume ad Price Accumulator Volume Lie Variatio Volume Oscillator Percetage Volume Oscillator Poits Volume Rate-of-Chage Percetage Volume Rate-of-Chage Poits Volume Ratig Volume Reversal Volume Reversal Alerts Volume-Weighted RSI-MFI Weighted Close Idicator Whipple Volume Average Whipple Volume Plot Wilder RSI Idicator Williams %R Typical Price Idicator Ultrasmooth Mometum Curve Up/Dow Volume Up Volatility Dow Volatility

4 36 A p p e d i x A Details of Selected Idicators Arms Idex (TRIN). A measure of market breadth ad stregth. ( Number of advaces/ Number of declies) ( Advacig volume/ Decliig volume) Average Directioal Idex (ADX). Tred cotiuatio/ reversal detectio. If that If that If that If that If that Calculatio of positive ad egative directed movemet (Directioal Movemet, or DM) +DM ad DM. High (a maximum of a curret bar) > High 1 (a maximum of the previous bar), +DM High High 1, differetly +DM 0. Low (a miimum of a curret bar) < Low 1 (a miimum of the previous bar), DM Low Low, differetly DM 0. +DM > DM, DM 0. DM > +DM, +DM 0. +DM DM, +DM 0, DM 0. Determiatio of the true rage TR, TR maximal module of three values High Low, High Close 1, Low Close 1. Close 1 the close price of the previous period.

5 C o m m o l y U s e d T e c h i c a l I d i c a t o r s 37 Note: I most cases module High Low will be maximal o Forex i absece of price breaks. Determiatio of the idicator of a positive directio ad the idicator of a egative directio +DI ad DI [Directioal Movemet Idex (DMI)]. +DI expoetial movig average (+SDI, N) DI expoetial movig average ( SDI, N ) where, if TR ot 0, that +SDI +DM TR ; SDI DM TR if that TR 0, +SDI 0, SDI 0 Determiatio of the average directioal idex ADX, ADX expoetial movig average (DX, N), where DX it is calculated uder the formula: DX i " + " DI " " DI " + " DI + " " DI 100 Average True Rage. Volatility detectio. where ATR movig average (TR, ), TR maximal modules from three values High Low, High Close 1, Low Close 1. Bolliger Bads. A evelope of bads plotted above ad below the price bars o the chart.

6 38 A p p e d i x A UpperBad MA + D LowerBad MA D ( Close MA) 1 ( Close MA) 1 where MA is a simple movig average MA Close 1. Parameters: D stadard deviatio, umber of days. Chade Mometum Oscillator (CMO). A overbought/ oversold idicator. diff P i P i 1, where P i the price (usually closig price) of the curret period; P i 1 the price ( usually closig price) of the previous period. If diff > 0, the cmo 1i diff, cmo i 0. If diff < 0, the cmo i diff, cmo 1i 0. sum 1 Sum(cmo 1, ) summary value of cmo 1 withi periods. sum Sum(cmo, ) summary value of cmo withi periods. CMO ((sum 1 sum ) (sum 1 + sum )) 100.

7 C o m m o l y U s e d T e c h i c a l I d i c a t o r s 39 Daily High/Low Differetial Ratio. A mometum ad overbought/ oversold idicator. Daily High/ Low Differetial Ratio (Number of ew fifty-two-week highs Number of ew fifty-two-week lows) Total umber of issues traded durig the day DeMark Rage Proectios. Used to predict rage, high, ad low of ext bar. If the close of the most recet bar is less tha the ope, the the calculatios are: (Curret High + Curret Low + Curret Close) X Proected High X Curret Low Proected Low X Curret High If the close of the most recet bar is greater tha the ope: ( Curret High + Curret Low + Curret Close) X Proected High X Curret Low Proected Low X Curret High If the close of the most recet bar is equal to the ope the: (Curret High + Curret Low + Curret Close) X Proected High X Curret Low Proected Low X Curret High Ease of Movemet. Measures volume level i relatio to price movemet. [{(H + L) } {(Hp + Lp) }] [V (H L)]

8 40 A p p e d i x A where: H today s high L today s low Hp the previous day s high price Lp the previous day s low price V curret day s volume Evelopes. Same cocept as Bolliger bads. UpperBad 1 + P Close ( ) 1 LowerBad 1 P Close ( ) 1 Parameters: umber of days, P percetage shift. Expoetial Movig Average (EMA). A simple movig average weighted towards the most recet data i the set. Close 1 EMA Close Expoetial Movig Average Differece. Used to detect the potetial reversal of a tred. EMAdifferece EMA( ) EMA( ) Adifferece 1 Parameters: 1, umber of days; 1 <. Kelter Chael. Aother evelope bad aroud prices. KC Middle MA(Price,, Type), KC Upper KC Middle + MA(TR,, Type) Dev, KC Lower KC Middle MA(TR,, Type) Dev,

9 C o m m o l y U s e d T e c h i c a l I d i c a t o r s 41 where Price the price i the curret period ( Close, Ope, etc.), TR true rage, Dev deviatio factor. Lomb Periodogram. Method of spectral aalysis for uevely sampled series. Astrophysicist N.R. Lomb 1 modified the defiitio of periodogram, obtaiig the followig expressio for a zero-mea time series x(t): P( ω ) 1 σ N 1 x( t )cos ω ( t τ ( ω )) N 1 cos ω ( t τ ( ω )) + N 1 x( t )si ω ( t τ ( ω )) N 1 si ω ( t τ ( ω )) where σ is the variace of x(t) ad 1 τ ( ω) arcta ω N 1 N 1 si ωt cos ωt is a offset that makes the periodogram ivariat to time traslatio. McClella Oscillator. A overbought/ oversold idicator that measures flow of ew moey ito or out of the market. 10% Tred 5% Tred, where the 10% Tred the expoetial movig average (EMA) of the daily umber of advacers mius umber of decliers with a 10% smoothig costat (or the ietee-day EMA), ad the 5% Tred the EMA of the daily umber 1. N.R. Lomb, Least-Squares Frequecy Aalysis of Uequally Spaced Data. Astrophysics ad Space Sciece 39 (1976): / glossary/ Lomb.html

10 4 A p p e d i x A of advacers mius umber of decliers with a 10% smoothig costat (or the thirty-ie-day EMA). Mometum. The stregth of a tred ( used to detect tred reversals). Close Mometum 100 Close Parameter: umber of days. Moey Flow Idex (MFI). A overbought/ oversold oscillator. MoeyFlowIdex MoeyRatio MoeyRatio 1 1 PositiveMoeyFlow NegativeMoeyFlow PositiveMoeyFlow NegativeMoeyFlow TypicalPrice Volume if... TypicalPrice > > TypicalPrice 0... otherwise TypicalPrice Volume if... TypicalPrice < < TypicalPrice 0... otherwise 1 1 Parameter: umber of days. TypicalPrice ( High + Low + Close ) / 3 Movig Average Covergece-Divergece (MACD). Calculated by subtractig a loger-term simple movig average from a shorter-term simple movig average. The sigal lie is usually calculated as a ie-day simple movig average of MACD. Covergece-divergece is the differece betwee MACD ad the sigal lie.

11 C o m m o l y U s e d T e c h i c a l I d i c a t o r s 43 MACD SMA( ) SMA( ) SigalLie 1 SMA( Sig, MACD) Parameters: 1,, _sig umber of days; 1 <. O-Balace Volume. Detects treds i icreases or decreases i tradig volume. OBV startig date 0 OBV OBV Volume... if ( Close < Close ) 1 1 OBV... if ( Close Close ) 1 1 Percetage Price Oscillator (PPO). A overbought/ oversold ad mometum idicator. Mometum is deemed to be positive while the shorter-term is above the loger-term average ( or egative whe vice-versa). How it is calculated: Subtract the loger-term movig average of prices from the shorter-term movig average ad the divide the result by the loger-term movig average. For example, six-week expoetial movig average ad twelve-week expoetial movig average (twelve-day EMA ad twety-six-day EMA o the daily charts). ( x-period EMA y-period EMA) y-period EMA Parameters: x short-term EMA legth, y log-term EMA legth, period daily/ weekly/ mothly, ad so o. Percetage Volume Oscillator (PVO). A volume tred idicator. PVO ((Vol twelve-day EMA Vol twety-six-day EMA) Vol twety-six-day EMA) 100

12 44 A p p e d i x A QStick. A price reversal idicator. A simple -periodic movig average for the differece of the opeig ad closig prices. QStick MA(, (Close Ope)) Parameter: period legth. Rage Expasio Idex. A overbought/ oversold idicator. (curret day s high mius high from two days ago) + (curret day s low mius low from two days ago) You ca fid details o the use of this idicator i DeMark s book o optios. 3 Rate of Chage Oscillator (ROC). A short- to itermediate-term overbought/ oversold idicator. The Rate of Chage (ROC) Idicator is the differece betwee the price of the curret period ad the price of the previous period, which is located periods back from the curret oe: ROC P i P i, P i the price of the curret period, P i the price of the period, which is located periods back from the curret oe. As usual, they use the relative (i percetage) value of the velocity of the ROC: ROC% 100% ( P i P i ) P i A te-day ROC teds to oscillate i a fairly regular cycle. Ofte, price chages 3. T.R. DeMark ad T.R. DeMark, Jr., DeMark o Day Tradig Optios ( McGraw-Hill, 1999).

13 C o m m o l y U s e d T e c h i c a l I d i c a t o r s 45 ca be aticipated by studyig past cycles of the ROC ad applyig the predicted patter to the curret market. To costruct a te-day rate of chage oscillator, the latest closig price is divided by the close te days ago: ROC [(Close Close te periods ago) (Close te periods ago)] 100 Relative Stregth Idex (RSI). The measure of the stregth of a tred as a umeric value. where UpTred SMA Chage UpTred( ) 1 + UpTred( ) 1 + DowTred( ) DowTred( ) DowTred 1 Chage ad Chage Chage + ( Close Close ) if ( Close Close ) > 0otherwise Abs( Close Close ) if ( Close Close 1 0otherwise ) < 0 1 Parameter: umber of days. STIX. A short-te rm tradig oscillator that me asure s volume of advace s/ declies. A/ D Ratio ( advacig issues advacig issues decliig issues) 100 Stochastic (Fast). A oscillator to detect tred reversal.

14 46 A p p e d i x A Close Lowest.. Low.. I.... periods % K 1 Highest.. High.. i.... periods Lowest.. Low.. I.... periods 1 1 % D SMA(% K, ) 100 %D is a simple movig average of %K Parameters: 1 umber of days (for %K), umber of days (for %D) Stochastic (Slow). A oscillator to detect tred reversal. %K Close 3.. Day.. Average.. of.. Lowest.. Low.. I.... periods Day.. Avg.. of.. Highest.. High.. i.... periods 3.. Day.. Avg.. of.. Lowest.. Low.. I.... periods 1 1 % D SMA(% K, ) %D is a simple movig average of %K Parameters: 1 umber of days (for %K), umber of days (for %D). Swig Idex. Used to determie fair value. Swig Idex 50 [{ C y C + 0.5(C y O y ) + 0.5(C O)} R] ( K T ) where: C today s closig price L today s lowest price O today s opeig price C y yesterday s closig price L y yesterday s lowest price O y yesterday s opeig price H y yesterday s highest price K the larger of either (H y C ) or (L y C ) R a variable based o the relatioship betwee today s closig price ad yesterday s high ad low T the limit move value 100

15 C o m m o l y U s e d T e c h i c a l I d i c a t o r s 47 Trade Volume Idex. Detects surge i buyig or sellig activity. The Trade Volume Idex is calculated by addig each trade s volume to a cumulative total whe the price moves up by a specified amout, ad subtractig the trade s volume whe the price moves dow by a specified amout. That specified amout is kow as the Miimum Tick Value. To calculate the TVI, you must first determie whether prices are beig accumulated or distributed: Chage Price Last Price MTV Miimum Tick Value Accumulatio whe Chage > MTV or Distributio whe Chage < MTV. With directio determied, calculate the TVI: Accumulatio: TVI TVI + Today s Volume Distributio: TVI TVI Today s Volume Volatility. Relative rate of price chage over time. HLAverage EMA( High Low, ) i other words, HLAverage is a expoetial movig average of the daily high/ low differece: 1 Volatility HLAverage HLAverage HLAverage 100 Parameters: 1, umber of days.

CHAPTER 3 RESEARCH METHODOLOGY. Chaigusin (2011) mentioned that stock markets have different

20 CHAPTER 3 RESEARCH METHODOLOGY Chaigusi (2011) metioed that stock markets have differet characteristics, depedig o the ecoomies omie they are relateded to, ad, varyig from time to time, a umber of o-trivial