alexgrover

Motion Smoothness Index

Introduction

Its holiday time for me, i have been working here a lot. But no leaving before publishing. Telling when market price is smooth or rough is not the easiest task, so today i present a trend metric indicator that allow you to give you this kind of information.

The Indicator

The indicator is in an approximate range of (0,1) with mean decaying for higher length's, when the indicator is below 0.5 the market is smooth, else rough, this is the simple interpretation. The indicator is simply the ratio of the price residual standard deviation and the price standard deviation.

Higher value of length will make the indicator less accurate when it comes to detect rough market price, you can still use the indicator direction or its running mean to give you insights but 0.5 is still the recommended detection threshold.

In More Depth

Even tho market is random by nature there can still be structures in the price (cycles and trends), the fractional BM model will tell you that market price is sometimes auto-correlated (trending) or non auto-correlated (ranging), knowing what is the current market state is therefore important, when price is rough it can means an excess in noise thus exhibiting an uncorrelated market at the contrary of a smoother price that can allow for auto-correlation.

Now, market is infected by noise, and thats really unfortunate but the noise posses various properties that can allow for all the structures we see in market price. So thinking about the market allowing for possible profits during auto-correlated states is encouraging.

Conclusion

Although the indicator measure smoothness/roughness it can still be interpreted as a trend/range state detector. I hope it provide to be useful.

I wish you all good holidays and see you next time ! Thanks for reading !


Keluarkan daripada Skrip Pilihan Tambah kepada Skrip Pilihan
You can check my indicator papers here : https://figshare.com/authors/Alex_Pierrefeu/7339466
Sound great Alex; wish you have a nice holiday
This indicator is great and it's def useful for me; appreciated your works Alexgrover =D
+1 Balas
Have a nice holiday, enjoy!
+2 Balas
have a gr8 buddy,,,,
+2 Balas
Thanks Alex... enjoy your holidays... we will be waiting for your return :)
+2 Balas
alexgrover idrisbengali
@idrisbengali, Thx :)
+1 Balas
Great,

Have a nice holiday!! Gr. JD.
+2 Balas
@Duyck, Thx for the support mate
+1 Balas
Laman Utama Penyaring Saham Penyaring Forex Penyaring Kripto Kalendar Ekonomi Rancangan Bagaimana ia berfungsi Ciri-ciri Carta Harga Peraturan Dalaman Moderator Laman web dan Penyelesaian Broker Widget Penyelesaian Pencartaan Perpustakaan Pencartaan yang Ringan Pusat Bantuan Rujuk rakan Permintaan Ciri Blog & Berita Soalan Lazim Wiki Twitter
Profil Tetapan Profil Akaun dan Pengebilan Rujuk rakan Tiket Sokongan Saya Pusat Bantuan Idea yang diterbitkan Pengikut Mengikut Mesej Peribadi Sembang Daftar Keluar