Silent Market Indicator. Methodology to Avoid the Risk in No Significant Price Movements

Timisoara Journal of Economics and Business

Păuna Cristian¹ 

[1] PhD Student, Economic Informatics Doctoral School, The Bucharest University of Economic Studies, Romania;

关键词: Capital markets;    Investment risk;    Price action;    Silent Market Indicator;    Algorithmic trading;    M15;    O16;    G23;    M21;   

DOI  :  10.2478/tjeb-2018-0009

来源: DOAJ

【 摘 要 】

Investing in capital markets is a common task today. An impressive number of traders and investors, companies, private or public funds are buying and selling every day on the free markets. The current high price volatility in the financial markets gives everyone a tremendous number of speculative opportunities to make a profit. Sometimes the price makes no significant movement, however. The majority of the trades initiated in those periods will conclude to losses or will need a very long time to become profitable. To avoid these cases, a mathematical algorithm was developed in this paper: The Silent Market Indicator. This article will present the general principles and the mathematics behind the indicator and how it can be applied in financial trading to improve capital investment efficiency. It was found that the model generates a very reliable filter to avoid entry into the silent markets intervals, when the price action conducts to small amplitude price movements and when the profit expectation is lower. In order to reveal the efficiency of the Silent Market Indicator usage, some comparable trading results will be presented in the last part of this article together with the functional parameters optimized for several known capital markets. As a conclusion, it will be proved that the presented methodology is an excellent method to stay away from the market risk. In addition, being exclusively a mathematical model, it can be applied in any algorithmic trading system, combined with any other trading strategy in order to improve capital efficiency

【 授权许可】

Unknown