Important border to where these can be applied!

Interesting

It might be me, but I was missing a section on possible future directions and the drawbacks of using this model. Noticed that there was a lot of praise, but couldn't find a lot of critiques. (Or I might overseen it as I'm writing this at half 4 in the morning.)

Normally, you could find the published reviews on OpenReview with the discussed critique (see: https://papers.nips.cc/paper/2016/file/fb87582825f9d28a8d42c5e5e5e8b23d-Reviews.html which I used for another repro course), but when googling on this paper, I couldn't find it :(

Either way, here's the OR link to the current paperhttps://openreview.net/forum?id=FOL6UA7JYtk)

The trader adopting this strategy believes in some sort of range, since once the stop price of the buy stop is reached, I believe that it triggers a limit buy order below the market or at least at the market

Because with a small capital, one can create a large margin position => sheer capital invested is no longer significant due to leverage

Si ca dépasse le niveau du buystop, alors on déclenche un ordre d'achat proche du support

buy stop orders place limit orders at the support, soif a lot of stop buy orders are triggered ,this places manylimit orders at support, and allows price to rebound strongly enough to pierce through the resistance

Meaning : by the public (under-informed) and by the well-informed

En gros :

• Cash/asset ratio grand => marché descendant
• Cash/asset ratio petit => marché ascendant

• What about comparing over smaller time periods, if we do this, we'll clearly see that there are differences ?
• How do we pick the timeframe ?

Isn't it parabolic in t his example, since y'' = cte ?

Mom >0 => fixed momentum

ROC of ROC of PC

ROC of PC

PC

• Arithmetic change of price for stock A

vs.

• Geometric progression for B

Analogy with mechanics :

• PC == speed
• ROC of PC == acceleration

SEE page 435

Period of observation which is the band's periodicity ?

Crypto -> expiration des contrats futurs ?

Dès qu'il y a 5 waves, elles sont dans la direction de la wave une échelle au-dessus, ce qui dans notre cas est descendant, d'où la (1),(2),(3),(4),(5) descendant ici !

SEE paper version

See page 258

U shape

cf. Fig. 13.37, where we project the objective price targets based on the parallelogram and not on the pole !

diminuer/se calmer

MACD represented as a histogram instead of a curve/line as of usually. But we see that each time the MACD signal line crosses the MACD (represented as a histogram), the MACD histogram is equal to zero !!

The histogram in the MACD window (window above the MACD histogram window) and the histogram in the MACD histogram window are the same histogram, just with a different scaling !

But we need to know future information since it is located in the middle of N bars => we need to know N/2 bars in the future. That's why there's no lag !!

SEE paper version

For static, both work since it only depends on the price, so we can determine it numerically. However, since fan lines are dynamic, they depend on price AND time, so we can't just determine the levels numerically.

Coquille dans le graphique ??

• Avec l'échelle linéaire, deux graduations dont la différence vaut 10 sont à distance constante.
• Avec l'échelle logarithmique, deux graduations dont le rapport vaut 10 sont à distance constante

Même remarque que pour la figure précédente !

Mêmes calculs => mêmes niveaux (38,2, 50,0, 61,8, ...) mais l'échelle (ie. l'axe des y) est log au lieu d'être linéaire.

SEE âge 380 of the paper version

• Use peak as base when downside Fibo
• Use trough as base when upside Fibo

SEE page 377 of paper version for detailed graphs

We put 100% between A and B because we look at the extension level beyond B so x% with x>=100%

Also, we start hte Fibonacci extension at point A instead of B even though B is located earlier in time than A since A is a trough and B is a peak and it would be highly unconventional to pull Fibonacci levels from B to A

(Phi)^3

Or divide a number by 3 to the left

(Phi)^2

Phi

sqrt(Phi)

1/Phi FAUX car Phi = 1 + (1/Phi)

Obtained by dividing a sequence number by the sequence number 2 spots to the right : (Fn) / (F{n-2})

(2/Phi)-1

Also (Fn) / (F{n-3})

Phi - 1

sqrt(1/Phi)

multiply

Relative since we compare ratios (the y axis is a % axis !)

Peaks and troughs are not trending in the same direction in expanding or contracting formations !

Explanation of why volume indicators are analyzed using standard and reverse divergences instead of volume, open interest and ATR.

Remember this when reading the next sections on divergence !! Not the same interpretation at all as for the other supporting data series !!

Une divergence "contenue" dans une autre à une larger wave degree

Deux divergences qui se suivent

cf. last note

Here, the price only makes higher or equal peaks -> lower peaks is for reverse divergence -> called "reverse divergence" since we start by giving the direction of the oscillator (only up or equal) and subsequently we give the direction of the price.

cf. p. 178 sur bearish divergence et bearish confirmation

On double de 9 à 18 car on distingue le peak-to-peak du trough-to-trough -> 2 fois plus

Car on ne distingue plus le peak-to-peak du trough-to-trough -> 2 fois moins

cf. version papier

In this case, the drawing on the paper version is an upper trend. Cf. Fig. 9.1

Stochastic oscillator (cf. p.259 of chap. 8)

L'ATR est très "non smooth" car on n'utilise qu'une lookback period de 1. Si on faisait la moyenne mobile sur plus d'une période, il serait plus smooth.

Intrinsic in the sense of chap. 4

E.g. a head and shoulder pattern is bearish intrinsically, but it can happen in an uptrend and in this case, intrinsic sentiment and the trend disagree !

Cf. ce qui a été dit au chap 4 sur l'intérêt des participants du marché et l'impact sur le volume.

Quand ca commence à omnter, il faut que le volume monte aussi, sinon on considère que ce n'est pas un uptrend, mais juste une correction. Pareil opur quand ça descend, il faut du volume pour accompagner la baisse :

This shows that declining volume during consolidation is also a thing to take into account

Hence if the trend is a retracment, we will see the bullish trend resume shortly

See page 113 for the relationship between volume and price action (volume declines during consolidation phases).

A l'inverse d'autres indicateurs comme le MACD ou le RSI

cf. crypto

Does not concern crypto since the market is active 24/7

Industrial and transportation averages !

Uptrend lines are violated sooner since logarithm tends to rapprocher les points éloignés arithmétiquement (de manière non linéaire, d'où la cassure de la ligne de tendance plus tôt)

Difference with EMH

This means that any information is accounted for by capital injection

In the sense that the possibilities for future price are given by current price, but there is then no way to predict which possibilty will be chosen. E.g. random walk in Z^2, if we're wurrently at a certian point, we have 4 possibilities for next move which are equiprobable

Past price cannot influence future price, hence TA is useless as it uses past info to predict future price mvts.

cf. remark on "Gradually" in Fig.1.28

Gradually since on the graph we don't have a vertical spike like in the EMH case. This means that participants do not all react at the same time.

No insider information that would be discounted by the price, nor irrational behaviours like selling on a bullish news

I resemble this remark...

This paper https://arxiv.org/abs/1005.2012 of 2010 proves $\tilde{O}(\frac{Mm}{\epsilon^2})$ in the primal case. It should be in the related work