Automatic one two three

Stanislaus Maier-Paape

Quantitative Finance, 2015, vol. 15, issue 2, 247-260

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.

Date: 2015
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DOI: 10.1080/14697688.2013.814922

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