Mathematical model for resistance and optimal strategy
Blandine Berard Bergery (IECN), Christophe Profeta (IECN), Etienne, Tanr\'e (INRIA Sophia Antipolis / INRIA Lorraine / IECN)
TL;DR
This paper introduces a mathematical model for asset price behavior during consolidation phases, proposing an optimal trading strategy and comparing its performance with standard methods through simulations.
Contribution
It presents a novel mathematical model for resistance levels in technical analysis and derives an optimal trading strategy based on this model.
Findings
The proposed strategy outperforms standard strategies in simulations.
The model accurately captures price decline behavior after resistance hits.
Expected wealth calculations validate the strategy's effectiveness.
Abstract
We propose a mathematical model for one pattern of charts studied in technical analysis: in a phase of consolidation, the price of a risky asset goes down times after hitting a resistance level. We construct a mathematical strategy and we calculate the expectation of the wealth for the logaritmic utility function. Via simulations, we compare the strategy with the standard one.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.
Taxonomy
TopicsStochastic processes and financial applications · Financial Markets and Investment Strategies · Financial Risk and Volatility Modeling