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Divergence between index and stock

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 private private,

 Friday, August 1, 2014

The current divergence between the index and the relative stock should be the future uptrend or downtrend. According your trading system do you think is possible ?


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5 comments on article "Divergence between index and stock"

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 Nikitas Goumatianos, Software Engineer, Contracting/Program Manager, Algorithmic Trader/Researcher

 Saturday, August 2, 2014



I think before making conclusions, you must quantify the divergence (expressed in number). Furthermore, you can discover divergence patterns or cycles which have some significant predictive power.


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 private private,

 Saturday, August 2, 2014



I just want clarify that mine it's not conclusion because I open other point of view; I noticed in the scenario the positive divergence; the stock could drop up to 5% - 60% after that I can see the chart pattern .It doesn't happen every week but frm one to three times every two years. (Generally speaking).


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 Nikitas Goumatianos, Software Engineer, Contracting/Program Manager, Algorithmic Trader/Researcher

 Saturday, August 2, 2014



@Antonio, I suppose you are using daily data, don't you? Have you tried it on intraday (5 min, 20 min, etc)? Actually, I have tried it on correlated currency-pairs (forex) involving template grids to rank the divergence.


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 private private,

 Saturday, August 2, 2014



@Nikitas yes I setup daily chart in order to swing trade, do you think that work better with chart 5 min to 20 min ? Actually I use candlestick 5-20 min. in order to day-trade ....


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 Nikitas Goumatianos, Software Engineer, Contracting/Program Manager, Algorithmic Trader/Researcher

 Saturday, August 2, 2014



@Antonio, yes I think it is worth to further look it in intraday charts. I believe you will find interesting info for trading - let me know. Regarding candlestick patterns, I think it is worth to look for accurate "unknown" candlesticks by codifying and processing then. Those well known popular candlesticks are not enough accurate. In a research in US stocks, I found totally, for the “60 min” 17,200 different candlestick patterns while for the “10 min” found 16,009 different patterns having forecasting power. You can download the article which describes the methodology. The results on portfolio trading is not only 8-10% (as shown in the paper) but actually more than 200% (after some improvements).



download article from link: http://www.sciencedirect.com/science/article/pii/S2212567113000361

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