Automatic One Two Three

Automatic One Two Three
Stanislaus Maier-Paape
Institut für Mathematik, RWTH Aachen
Templergraben 55, 52062 Aachen, Germany
and
SMP Financial Engineering GmbH
Weiherstraße 14, 52134 Herzogenrath, Germany
May 31, 2011

Abstract

In this paper, we show how market–technical trends can be calculated automatically from underlying price processes using a stop and reverse process as tact–giving. 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.

Erscheint in  Quantitative Finance, Taylor & Francis Verlag