SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
lombardovito
Topic Author
Posts: 86
Joined: January 7th, 2008, 12:15 pm

Formula to calculate resistance and support levels

June 3rd, 2009, 8:31 pm

Any smart statistical method to calculate resistence and support levels from time serie???
 
User avatar
jomni
Posts: 999
Joined: January 26th, 2005, 11:36 pm

Formula to calculate resistance and support levels

June 5th, 2009, 4:26 am

Quants hate to admit they do technical analysis.
 
User avatar
rmax
Posts: 6080
Joined: December 8th, 2005, 9:31 am

Formula to calculate resistance and support levels

June 5th, 2009, 7:47 am

Haven't looked it up, but Turtle Traders might be a good place to start.
 
User avatar
Vegawizard
Posts: 157
Joined: November 27th, 2006, 10:46 am

Formula to calculate resistance and support levels

June 5th, 2009, 7:51 am

Yes there are, but not published in the public domain.The published methods are more akin to snake oil
 
User avatar
lombardovito
Topic Author
Posts: 86
Joined: January 7th, 2008, 12:15 pm

Formula to calculate resistance and support levels

June 5th, 2009, 7:59 am

any suggestion?or paper?
 
User avatar
Vegawizard
Posts: 157
Joined: November 27th, 2006, 10:46 am

Formula to calculate resistance and support levels

June 5th, 2009, 8:22 am

Personally I find the fibonacci reversals and extensions are not too bad.Good intro text is John J Murphy - Technical anaysis of the financial markets.I have seen & heard of many funds and trading strategies over the years that have tried to optimise technical analysis with neural networks et al in an effort to discover the Holy Grail money machine. I have yet to hear of ANY one that has been consistently succesful. Nearly every time they blow up because of excessive optimisation on historical data.I beleive that you cannot treat technical analysis as a pure science, but need to recognise the "art" element which cannot be simply coded.
 
User avatar
rmax
Posts: 6080
Joined: December 8th, 2005, 9:31 am

Formula to calculate resistance and support levels

June 10th, 2009, 10:44 am

QuoteOriginally posted by: VegawizardPersonally I find the fibonacci reversals and extensions are not too bad.Good intro text is John J Murphy - Technical anaysis of the financial markets.I have seen & heard of many funds and trading strategies over the years that have tried to optimise technical analysis with neural networks et al in an effort to discover the Holy Grail money machine. I have yet to hear of ANY one that has been consistently succesful. Nearly every time they blow up because of excessive optimisation on historical data.I beleive that you cannot treat technical analysis as a pure science, but need to recognise the "art" element which cannot be simply coded.Believe technical analysis is similar to Voodoo, i.e. works because enough market particpants believe it to work, but the original Turtles in their early history made a packet - but do not know of their latest PLs.
 
User avatar
lombardovito
Topic Author
Posts: 86
Joined: January 7th, 2008, 12:15 pm

Formula to calculate resistance and support levels

June 13th, 2009, 1:23 pm

In my opinion TA is a sorf of illusion that we see in stock process a process that is create between our mind and reality.but sometimes the influence of human think create really this pattern in the stock process
 
User avatar
fichi
Posts: 31
Joined: July 13th, 2009, 6:46 pm

Formula to calculate resistance and support levels

February 24th, 2011, 2:23 pm

I always thought so too but here is a paper with credible authors that apparently sees some legitimacy in support levels: Lin Wang and Paul Wilmott (1998) Support and Resistance Levels in Financial MarketsThis is just an abstract; I haven't been able to locate the article but I expect Paul might be willing to accomodate requests.
Last edited by fichi on February 23rd, 2011, 11:00 pm, edited 1 time in total.
 
User avatar
tw
Posts: 1173
Joined: May 10th, 2002, 3:30 pm

Formula to calculate resistance and support levels

March 1st, 2011, 8:46 pm

Someone showed me an interesting one recently, involving the joint dynamics of OI and price. It involved histograms and seem pretty intuitive.Will try and dig it up.QuoteOriginally posted by: lombardovitoAny smart statistical method to calculate resistence and support levels from time serie???
 
User avatar
Paul
Posts: 10090
Joined: July 20th, 2001, 3:28 pm

Formula to calculate resistance and support levels

March 1st, 2011, 10:14 pm

QuoteOriginally posted by: fichiI always thought so too but here is a paper with credible authors that apparently sees some legitimacy in support levels: Lin Wang and Paul Wilmott (1998) Support and Resistance Levels in Financial MarketsThis is just an abstract; I haven't been able to locate the article but I expect Paul might be willing to accomodate requests.Not only was that paper never published, it was never even written! Lin Wang was a student of mine who wrote a thesis on this topic. And then she got a bit carried away...without telling me she told the world there was this paper and then she disappeared before anything was written! So you won't find it on my CV! The thesis was fine though. And I get quite few requests for this paper.P
 
User avatar
fichi
Posts: 31
Joined: July 13th, 2009, 6:46 pm

Formula to calculate resistance and support levels

March 2nd, 2011, 5:24 pm

Is the thesis available? I'm intrigued since I've seen little to no serious evidence to support technical analysis, despite the fact that it is still widely used, even by some in the mainstream investment banks.
Last edited by fichi on March 1st, 2011, 11:00 pm, edited 1 time in total.
 
User avatar
frenchX
Posts: 5911
Joined: March 29th, 2010, 6:54 pm

Formula to calculate resistance and support levels

March 2nd, 2011, 7:10 pm

I was wondering about this question a long time ago and the only paper I found is this one :Price Trends and Patterns in Technical Analysis: A Theoretical and Empirical Examination Though technical analysis is still use by some traders but traders who trade stocks not derivatives. I don't think that TA works for trading options.
 
User avatar
BramJ
Posts: 372
Joined: January 10th, 2006, 2:01 pm

Formula to calculate resistance and support levels

March 2nd, 2011, 7:55 pm

QuoteOriginally posted by: frenchXI was wondering about this question a long time ago and the only paper I found is this one :Price Trends and Patterns in Technical Analysis: A Theoretical and Empirical Examination Though technical analysis is still use by some traders but traders who trade stocks not derivatives. I don't think that TA works for trading options.Just for the fun of it: please elaborate on your last comment.
 
User avatar
frenchX
Posts: 5911
Joined: March 29th, 2010, 6:54 pm

Formula to calculate resistance and support levels

March 2nd, 2011, 8:45 pm

So I guess you are a derivative trader who use TA? I just don't see for example how it's possible to trade exotic option with technical analysis. I don't say it's not possible. I'm just saying that for me I don't understand how it could be (especially some high dimensionnal or highly path dependent ones). For vanillas you are right, TA might be used.So your turn please elaborate because that's really something I would like to learn. When you trade option what is your main source of information? The underlying stock time series or the implied volatility surface ?I think that the answer could depends on if you want to use option to speculate or to hedge.Could you please say your practise advise ?
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On