Technical Analysis in FX: literature on effective methods
Technical Analysis in FX: literature on effective methods
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Ocean · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: Ocean
Original post: https://quant.stackexchange.com/questions/15857
License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/
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I am trying to use technical analysis method (Kagi and Renko method in particular) to analyse my high frequency data. I applied those methods over 1 year, 2 years and 5 years high frequency data. I got the positive result (even very small value for my data), but the cumulate sum of return after each sub time interval does not show any trend (I expected it might be stable increase/decrease) which means those methods did not detrend very well and can not extract noises from market well (since the graph of cumulate sum that I got jump up and down like random process). I wonder if anyone has ever used this method in trading forex? Can someone please point me to any literature/material on this matter so I can deepen my understanding about those methods. The only material that I achieve so far is the book of Nison: Beyond candle stick: Japanese charting technique.
Many thanks in advance.
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Kyle Balkissoon · External communityPost link
External answer — Quantitative Finance Stack Exchange
Author: Kyle Balkissoon
Original post: https://quant.stackexchange.com/a/15879
License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/
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See Evidence Based Technical Analysis by Aronson:
http://www.amazon.ca/Evidence-Based-Technical-Analysis-Scientific-Statistical/dp/0470008741
Stochastic Oscillator backtest:
http://systematicinvestor.wordpress.com/2013/07/19/stochastic-oscillator/
The above blog has a lot of TA backtests with code, warning that the authors code masks base functions.
Asymmetrical Risk Metrics and returns:
http://algorithmicfinance.org/1-2/pp79-93/
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: Ocean Source score (net votes, not local likes): 2 Original post: https://quant.stackexchange.com/questions/15857 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I am trying to use technical analysis method (Kagi and Renko method in particular) to analyse my high frequency data. I applied those methods over 1 year, 2 years and 5 years high frequency data. I got the positive result (even very small value for my data), but the cumulate sum of return after each sub time interval does not show any trend (I expected it might be stable increase/decrease) which means those methods did not detrend very well and can not extract noises from market well (since the graph of cumulate sum that I got jump up and down like random process). I wonder if anyone has ever used this method in trading forex? Can someone please point me to any literature/material on this matter so I can deepen my understanding about those methods. The only material that I achieve so far is the book of Nison: Beyond candle stick: Japanese charting technique. Many thanks in advance.
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