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Empirical Study of the 1-2-3 Trend Indicator

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Listed:
  • Yasemin Hafizogullari
  • Stanislaus Maier-Paape
  • Andreas Platen

Abstract

In this paper we study automatically recognized trends and investigate their statistics. To do that we introduce the notion of a wavelength for time series via cross correlation and use this wavelength to calibrate the 1-2-3 trend indicator of Maier-Paape [Automatic One Two Three, Quantitative Finance, 2013] to automatically find trends. Extensive statistics are reported for EUR-USD, DAX-Future, Gold and Crude Oil regarding e.g. the dynamic, duration and extension of trends on different time scales.

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  • Yasemin Hafizogullari & Stanislaus Maier-Paape & Andreas Platen, 2014. "Empirical Study of the 1-2-3 Trend Indicator," Papers 1409.5321, arXiv.org.
    • Handle: RePEc:arx:papers:1409.5321
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    1. Leuthold, Raymond M, 1972. "Random Walk and Price Trends: The Live Cattle Futures Market," Journal of Finance, American Finance Association, vol. 27(4), pages 879-889, September.
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