December 2018
Beginner to intermediate
684 pages
21h 9m
English
Content preview from Hands-On Machine Learning for Algorithmic Trading
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Key metrics
Momentum factors are typically derived from changes in price time series by identifying trends and patterns. They can be constructed based on absolute or relative return, by comparing a cross-section of assets or analyzing an asset's time series, within or across traditional asset classes, and at different time horizons.
A few popular illustrative indicators are listed in the following table:
|
Factor |
Description |
|
Relative Strength Indicator (RSI) |
The RSI compares recent price changes across stocks to identify stocks as overbought or oversold. A high RSI (example, above 70) indicates overbought, and a low RSI (example below 30) indicates oversold. It uses the average price change for a given number of prior trading days ... |
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