Generating a Multi-Timeframe Trading Strategy based on Three Exponential Moving Averages and a Stochastic Oscillator
This study combines a fundamental analysis of the rationale for conservative investors’ transactions, as well as long-term, low-risk strategies, and a technical analysis of the search for entry points into short-term, high-risk speculation. A hypothesis about the possible adaptation of high-risk...
Main Authors: | , , |
---|---|
Format: | Article |
Language: | English |
Published: |
Universitas Indonesia
2020-12-01
|
Series: | International Journal of Technology |
Subjects: | |
Online Access: | https://ijtech.eng.ui.ac.id/article/view/4445 |
id |
doaj-5814f179735d4d449fa97381062c93e9 |
---|---|
record_format |
Article |
spelling |
doaj-5814f179735d4d449fa97381062c93e92021-01-02T16:00:09ZengUniversitas IndonesiaInternational Journal of Technology2086-96142087-21002020-12-011161233124310.14716/ijtech.v11i6.44454445Generating a Multi-Timeframe Trading Strategy based on Three Exponential Moving Averages and a Stochastic OscillatorLyukevich Igor Nickolaevich0Gorbatenko Irina Igorevna1Rodionov Dmitry Grigorievich2Graduate School of Industrial Economics, Institute of Industrial Management, Economics and Trade, Peter the Great St. Petersburg Polytechnic University, Politechnicheskaya St., 29, St. Petersburg, 195Graduate School of Industrial Economics, Institute of Industrial Management, Economics and Trade, Peter the Great St. Petersburg Polytechnic University, Politechnicheskaya St., 29, St. Petersburg, 195Graduate School of Industrial Economics, Institute of Industrial Management, Economics and Trade, Peter the Great St. Petersburg Polytechnic University, Politechnicheskaya St., 29, St. Petersburg, 195This study combines a fundamental analysis of the rationale for conservative investors’ transactions, as well as long-term, low-risk strategies, and a technical analysis of the search for entry points into short-term, high-risk speculation. A hypothesis about the possible adaptation of high-risk foreign-exchange-market strategies to a low-risk stock market, based on a multi-timeframe analysis of the intersection of 3 EMA plus stochastic (a combination of three moving averages and a stochastic oscillator), is proven. The study’s modeling is based on walk-forward, blind simulation, cross procedure for realistically testing a hypothesis that can be performed in nine steps (Colby, 2003.) Colby’s algorithm Its subject is ordinary shares of Sberbank of Russia, and its analysis shows an absence of uncharacteristic movements in the chosen period of maximum volatility, from 2007 to the present. This analysis was conducted for two timeframes (more than five years for the trend direction and less than three years for the entry point). For the EMA, parameters were set at 20, 50, and 200; for stochastic parameters were set at 14, 3, and 3, 80/20. The “failure swing” reversal pattern and new support and resistance lines were detected. The study’s main conclusions are that the simultaneous use of three EMAs makes determining a corridor or a trend fairly reliable, as well as setting stop-losses. Moreover, the use of an oscillator is found not to always be reasonable; its main task is to confirm a signal. A stochastic oscillator with an explicit trend should not be analyzed for the whole period under consideration—only the last values should be considered. Moving averages and oscillators give fewer false signals on medium-term timeframes than on short-term timeframes. Due to a change in trend direction, identifying new (defined and correct) support and resistance lines is found to be necessary.https://ijtech.eng.ui.ac.id/article/view/4445algorithmic tradingfinancial marketmoving averagesstochastictechnical indicatorstrading strategies |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Lyukevich Igor Nickolaevich Gorbatenko Irina Igorevna Rodionov Dmitry Grigorievich |
spellingShingle |
Lyukevich Igor Nickolaevich Gorbatenko Irina Igorevna Rodionov Dmitry Grigorievich Generating a Multi-Timeframe Trading Strategy based on Three Exponential Moving Averages and a Stochastic Oscillator International Journal of Technology algorithmic trading financial market moving averages stochastic technical indicators trading strategies |
author_facet |
Lyukevich Igor Nickolaevich Gorbatenko Irina Igorevna Rodionov Dmitry Grigorievich |
author_sort |
Lyukevich Igor Nickolaevich |
title |
Generating a Multi-Timeframe Trading Strategy based on Three Exponential Moving Averages and a Stochastic Oscillator |
title_short |
Generating a Multi-Timeframe Trading Strategy based on Three Exponential Moving Averages and a Stochastic Oscillator |
title_full |
Generating a Multi-Timeframe Trading Strategy based on Three Exponential Moving Averages and a Stochastic Oscillator |
title_fullStr |
Generating a Multi-Timeframe Trading Strategy based on Three Exponential Moving Averages and a Stochastic Oscillator |
title_full_unstemmed |
Generating a Multi-Timeframe Trading Strategy based on Three Exponential Moving Averages and a Stochastic Oscillator |
title_sort |
generating a multi-timeframe trading strategy based on three exponential moving averages and a stochastic oscillator |
publisher |
Universitas Indonesia |
series |
International Journal of Technology |
issn |
2086-9614 2087-2100 |
publishDate |
2020-12-01 |
description |
This study combines a fundamental analysis of the
rationale for conservative investors’ transactions, as well as long-term,
low-risk strategies, and a technical analysis of the search for entry points
into short-term, high-risk speculation. A hypothesis about the possible
adaptation of high-risk foreign-exchange-market strategies to a low-risk stock
market, based on a multi-timeframe analysis of the intersection of 3 EMA plus
stochastic (a combination of three moving averages and a stochastic
oscillator), is proven. The study’s modeling is based on walk-forward, blind
simulation, cross procedure for
realistically testing a hypothesis that can be performed in nine steps (Colby,
2003.) Colby’s algorithm Its subject is ordinary shares of Sberbank of Russia,
and its analysis shows an absence of uncharacteristic movements in the
chosen period of maximum volatility, from 2007 to the present. This analysis
was conducted for two timeframes (more than five years for the trend direction
and less than three years for the entry point). For the EMA, parameters were
set at 20, 50, and 200; for stochastic parameters were set at 14, 3, and 3,
80/20. The “failure swing” reversal pattern and new support and resistance
lines were detected. The study’s main conclusions are that the simultaneous use
of three EMAs makes determining a corridor or a trend fairly reliable, as well
as setting stop-losses. Moreover, the use of an oscillator is found not to
always be reasonable; its main task is to confirm a signal. A stochastic
oscillator with an explicit trend should not be analyzed for the whole period
under consideration—only the last values should be considered. Moving averages
and oscillators give fewer false signals on medium-term timeframes than on
short-term timeframes. Due to a change in trend direction, identifying new
(defined and correct) support and resistance lines is found to be necessary. |
topic |
algorithmic trading financial market moving averages stochastic technical indicators trading strategies |
url |
https://ijtech.eng.ui.ac.id/article/view/4445 |
work_keys_str_mv |
AT lyukevichigornickolaevich generatingamultitimeframetradingstrategybasedonthreeexponentialmovingaveragesandastochasticoscillator AT gorbatenkoirinaigorevna generatingamultitimeframetradingstrategybasedonthreeexponentialmovingaveragesandastochasticoscillator AT rodionovdmitrygrigorievich generatingamultitimeframetradingstrategybasedonthreeexponentialmovingaveragesandastochasticoscillator |
_version_ |
1724352375009837056 |