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.