Finding Cycles In Time Series Data by A. Bruce Johnson, Ph.D.
ARTICLE SYNOPSIS ...Finding Cycles In Time Series Data by A. Bruce Johnson, Ph.D.
To improve the process of removing trend from stock market prices to see underlying cyclic movement, I have combined triangular moving averages with the moving average convergence/divergence (MACD) concept of calculating the difference between two moving averages.
Figures 1-9 indicate that this new technique shows some promise, at the cost of some moving average lag. This loss is redeemed by the gain of a stationary curve that retains, and may reinforce, the cycles in the original data.
Trend can be removed from data in a number...