Empirical Study of the 1-2-3 Trend Indicator

Abstract

In this paper we study automatically recognized trends and investigate their statistics.
To do that we introduce the notion of a wavelength for time series via cross correlation and use this wavelength to calibrate the software „Markttechnik Plugin“ to automatically find trends. Extensive statistics are reported for EUR-USD, DAX-Future, Gold and Crude Oil regarding e.g. the dynamic, duration and extension of trends on different time scales.