Indicators & Oscillators
4 terms
Walk-Forward Analysis
Indicators & Oscillators
qualitative
A testing method that optimises parameters on one segment of history and evaluates them on the immediately following unseen segment, repeatedly.
Test: for each window, optimise on the in-sample period and record results only from the subsequent out-of-sample period
Weighted Moving Average
Indicators & Oscillators
₹
A moving average in which weights decline linearly from the most recent period to the oldest in the window.
WMA = (P1 x n + P2 x (n-1) + ... + Pn x 1) / (n + (n-1) + ... + 1)
Whipsaw
Indicators & Oscillators
qualitative
A rapid reversal that triggers an entry or exit signal and then immediately reverses again, producing a loss.
Test: a signal is generated and the opposite signal follows within a short interval, before the first position has moved favourably
Williams %R
Indicators & Oscillators
%
An oscillator ranging from 0 to -100 that measures the close relative to the high of the last n periods.
%R = (Highest High over n - Close) / (Highest High over n - Lowest Low over n) x -100