Predicting the Direction Movement of Financial Time Series Using Artificial Neural Network and Support Vector Machine
Table 1
The selected technical indicators and their mathematical expressions.
Indicator name
Description
Formula
Stochastic %K
It is a stochastic oscillator that compares closed security price to its price range over a specified time frame. Its values always lie between 0% and 100%.
%D
Moving average of %K
Price rate of change (ROC)
Momentum-based technical indicator that measures the percentage change in current price and the price a certain period ago
William %R
A momentum indicator that measures overbought and oversold levels. Its value moves between “0” and “100.”
Momentum
Momentum measures the speed or velocity of price changes in a stock market, in simple words, it is the rate of rise or fall in stock prices.
Ct − Ct−4
Disparity 5
A momentum-based indicator that measures the ratio of the current price and the moving average of 5 days
Disparity 14
A momentum-based indicator that measures the ratio of the current price and the moving average of days
OSCP
Price oscillator, some combination of moving average. Its range depends upon the volatility of the stock.
CCI
The commodity channel index is a momentum-based oscillator used to determine when an investment vehicle is reaching condition of being overbought or oversold
where:
RSI
Relative strength index is a momentum indicator that measures the magnitude of recent price change to evaluate overbought or oversold conditions in the price of a stock or other asset
Where: D = average of downward price change U = average of upward price change
Pivot point
Technical indicator used to determine the overall trend of the market over different time frames. Since pivot point is not an oscillator, therefore they are static and remain at the same price throughout the day.
