turning points

nikol · Post by **nikol** » Tue Jun 11, 2019 9:08 am

What would be the easiest, yet efficient way to break OHLC historical time series into turning points?

Forward/backward search is allowed.

Of course, that will depend on the interval size and the allowed level of noise.

Thinking about the problem, I found couple of papers, here is one of them:

https://link.springer.com/article/10.1007/s00704-019-02817-9

~15 yrs back I did trend identification over tick data by using local forward looking linear regression with Chi2, but I realise that this problem can be reduced to the search of "turning points" only.

For example, linear trend going downwards is wrong for my purpose, because we would be interested in price going down (for short position), till price starts rising again (turning point).

Maggette · Post by **Maggette** » Tue Jun 11, 2019 9:14 am

CUSUM? No?

nikol · Post by **nikol** » Tue Jun 11, 2019 9:20 am

Does CUSUM reset to zero when series of "greens" are interrupted with small "red" although the trend is not broken?

PS. will take a look, thanks

nikol · Post by **nikol** » Tue Jun 11, 2019 10:08 am

Understood

CUSUM(Index(some condition)) must work

Thanks a lot

Maggette · Post by **Maggette** » Tue Jun 11, 2019 10:49 am

Well, it depends. It workedvery well for me ouside of finance, where signal to noise ratio was quite high and the change in trend was quite obvious to detect.

Edit: hence I would be happy to hear / get some feedback from you how things turnded out for you.

nikol · Post by **nikol** » Tue Jun 11, 2019 11:55 am

Sure.

I remember, you mentioned CUSUM ~6 months ago in a different thread. I use it now to detect buy/sell bursts (by counts and volume). It helps to identify moves across the network of liquidity pools.

nikol · Post by **nikol** » Wed Jun 12, 2019 11:59 am

Magette,

here is one of papers I looked at

"Cusum Techniques for Technical Trading in Financial Markets"

Talking about turning points, here is the result of changes of (close>open). Still need some cleaning. Plotted is 1-minute closes of BTCUSD somewhere in Jan-2019.

[img]/User%20Files/694/turning-points.png[/img]

PS. I guess, that the final result will depend very much on timeframe of expected trade and minimum high-low range you allow.

Jurassic · Post by **Jurassic** » Wed Jun 12, 2019 12:09 pm

Is turning points a big topic in time series analysis? I swear I never saw this topic in Times Series Analysis by Cryer (standard text on the subject).

Btw, is climate modelling a good place to look for new techniques which could be applied to financial markets?

nikol · Post by **nikol** » Wed Jun 12, 2019 1:05 pm

@Jurassic

You can guess that there are many "topics" floating under carpet of traders research which are not taught by professors and not written in the books and will be not for some time.

PS. "I swear I never saw this topic in Times Series Analysis by Cryer (standard text on the subject)." - I consider it as a compliment. Thanks.

PSS. Climate modelling is not the only place to look at. I remember, back in ~2003-2005 biologists/gene analysts were very popular in finance due to their PCA. I saw nice methods in linguistics. Kantorovich back in 1939 advanced in linear programming while solving problems of optimal production in a plywood industry for which he was given Nobel prize in economics. Math is everywhere.

Maggette · Post by **Maggette** » Wed Jun 12, 2019 5:07 pm

@nikol

THX