Financial market geometry: The tube oscillator

Dragoljub Katic and Stefan Richter

Papers from arXiv.org

Abstract: Based on geometrical considerations, we propose a new oscillator for technical market analysis, the tube oscillator. This oscillator measures the trending behavior of a fixed market instrument based on its past history. It is shown in an empirical analysis of the German DAX and the Forex EUR/USD exchange rate that a simple trading strategy based on this oscillator and fixed threshold leads to consistent positive monthly returns of average magnitude of 2% or more. The oscillator is derived from a broader understanding of the geometric behavior of prices throughout a fixed period, which we term financial market geometry. The remarkable profit results of the presented technique show that 1) prices of financial market instruments have a strong underlying deterministic component which can be detected and quantified with a matching approach and 2) financial market geometry is capable of providing such detectors.

Date: 2024-07
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