Hi,
Just wondered what the usual quantitative techniques were to determine if a stock is trending of not.
Obviously, I could use Bollinger bands in some way in order to determine if a stock was sideways or not but I'm sure there must be other mathematical techniques for doing this?
Could some Quant professionals share their knowledge please and help me out.
Thanks in advance for your response.
Andrew
"One man's trend is another man's range" -- Anonymous
Or, more accurately, one periodicity's trend is another periodicity's range.
What is the trend of the DJIA over the last 100 years? Up right? But what if in the next 100 years the DJIA cycles lower. Then, as far as the 200 year periodicity is concerned, the DJIA would have been in a range as of now, no? No doubt if you search for "definition of trend" you'll find enough references to fulfill your question. But you want technical, mathematical techniques to determine trend. We all wish we could create a consistent indicator of trend. For if we knew (really knew) the trend, trading would be a breeze. Alas, one can only come up with makeshift proximities to a trend indicator.
MA1 > MA2 > MA3 > MA4 == UP
:::
Sum [Period over period weighted returns] > 0 == UP
:::
Price > MA(200) == UP
There are dozens more I'm sure you might extract from the tribe here.
Hi Andrew,
Check out this wikipedia page to get an overview. What your looking for in general is analysis of time-series data using the tools of statistics (regression models pretty much).
http://en.wikipedia.org/wiki/Trend_estimation
The last part of the page called Real data need more complicated models are the areas you should look into.
Picking up an econometrics textbook that deals with analysis of time-series would be the best way to learn about trends I would say.
Thanks Market Tech, I realised it was a loaded question but thanks for your input, it helps.
Thanks Kane, I'm not sure my level of mathematics are up to some of those theories but thanks for you help.
http://www.lyxor.com/fileadmin/_fileup/lyxor_wp/document/51/files/assets/downloads/publication.pdf
This is a review of a bunch of techniques, with tons of references at the end.
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