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Automatic one two three

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  • Stanislaus Maier-Paape

Abstract

In this paper, we show how market-technical trends can be calculated automatically from underlying price processes using a stop and reverse process. The basic tool is a so called minmax process indicating all relevant minima and maxima. For the existence of the minmax process, we give a constructive proof. Several successful trend-following trading strategies can be implemented automatically based on this 1-2-3-trend indicator.

Suggested Citation

  • Stanislaus Maier-Paape, 2015. "Automatic one two three," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 247-260, February.
    • Handle: RePEc:taf:quantf:v:15:y:2015:i:2:p:247-260
    DOI: 10.1080/14697688.2013.814922
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    Cited by:

    1. Stanislaus Maier-Paape & Andreas Platen, 2016. "Lead–Lag Relationship Using a Stop-and-Reverse-MinMax Process," Risks, MDPI, vol. 4(3), pages 1-20, July.
    2. Stanislaus Maier-Paape & Andreas Platen, 2015. "Lead-Lag Relationship using a Stop-and-Reverse-MinMax Process," Papers 1504.06235, arXiv.org.
    3. Ren'e Kempen & Stanislaus Maier-Paape, 2016. "Survey on log-normally distributed market-technical trend data," Papers 1605.03559, arXiv.org.
    4. René Brenner & Stanislaus Maier-Paape, 2016. "Survey on Log-Normally Distributed Market-Technical Trend Data," Risks, MDPI, vol. 4(3), pages 1-18, July.

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