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Crash detection algo #480680
06/27/20 12:30
06/27/20 12:30
Joined: Jul 2019
Posts: 41
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StefanCGN Offline OP
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StefanCGN  Offline OP
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One could have the feeling, that a major crash of markets is ahead. Is anyone else than me thinking about an algorithm to use it most efficiently in selling short at the right time?

Does anybody have anything to read about an algorithm that combines e.g. the ROC of multiple indices to a decision whether a crash of a single index like Dax or Dow is starting or not?

Last edited by StefanCGN; 06/27/20 13:04.
Re: Crash detection algo [Re: StefanCGN] #480681
06/27/20 16:42
06/27/20 16:42
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jcl Offline

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Do an analysis of short term market cycles. It is said that cycles tend to be more significant and traders trade more "in sync" when a crash is imminent.

Re: Crash detection algo [Re: jcl] #480683
06/27/20 17:07
06/27/20 17:07
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StefanCGN Offline OP
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"in sync" between different assets/indices or more in sync within same asset leading to more stable cycles?

Re: Crash detection algo [Re: StefanCGN] #480688
06/29/20 05:12
06/29/20 05:12
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danatrader Offline
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One could also compare the rising of the base currency of the specific market with the change of the indices.
Also using ticks, count the upticks vs. downticks and their frequency, on crash the trading frequency is massively increasing.
If market aggrees, more down trades are made than uptrades.

Overall assets tick frequency, all pairs, all indices -> massive increase.
Gap frequency, all pairs, all indices -> increase
Sample pairs / indices, one for all, e.g. USD/NZD rising, oil falling, us30 falling, AUD/USD falling ... -> crash

Overall amount of price quotes massively increasing -> crash???

Since real crash data is very limited, concentrating on the forensics of the known crashs in the newer past would be a feasible option.

Last edited by danatrader; 06/29/20 06:43.

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