Assessing Intraday Trendiness

Assessing Intraday Trendiness - Assessing Intraday...

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Assessing Intraday Trendiness Brett N. Steenbarger, Ph.D. www.brettsteenbarger.com Each day the Weblog posts a trendiness measure that captures the trending qualities of the previous day’s trading. The basic logic behind the trendiness measure is that shifts in a market’s directional persistence precede actual price changes. Prior to outright declines, markets lose upside momentum and vice versa. The trendiness measure looks at directional movement over the past day and compares it to the day’s total movement. The result helps alert us to shifts in the short-term trend. It is also particularly helpful in identifying non-trending markets. Below is the Trendiness measure, as posted to the site: Note that downside trendiness has tended to precede price lows, and upside trendiness has tended to precede price peaks. Note also during the most recent price period, the trendiness reading stayed between –2.5 and +2.5 for most of the time, keeping us alerted to the non-volatile trading environment. Having found some success with this measure, I decided to construct an intraday version
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Assessing Intraday Trendiness - Assessing Intraday...

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