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