A bounded operator approach to technical indicators without lag

Abstract

In the framework of technical analysis for algorithmic trading we use a linear algebra approach in order to define classical technical indicators as bounded operators of the space $l^{\infty }(\mathbb{N})$. This more abstract view enables us to define in a very simple way the no-lag versions of these tools. Then we apply our results to a basic trading system in order to compare the classical Elder's impulse system with its no-lag version and the so-called Nyquist-Elder's impulse system.

10 pages, 2 figures

References in corpus (1)

• Trend without hiccups: a Kalman filter approach