Dynamical analysis of S&P500 momentum

TL;DR

This paper analyzes the dynamics of the S&P500 using moving averages, revealing persistent patterns in intersections and extrema that could improve trend prediction.

Contribution

It introduces a detailed statistical analysis of moving average intersections and extrema in S&P500, highlighting their potential for better trend forecasting.

Findings

Persistent patterns in moving average intersections and extrema.

Distributions of slopes, angles, and waiting times show non-random behavior.

Potential for improved trend prediction using these variables.

Abstract

The dynamics of the S&P500 price signal is studied using a moving average technique. Particular attention is paid to intersections of two moving averages with different time horizons. The distributions of the slopes and angle between two moving averages at intersections is analyzed, as well as that of the waiting times between intersections. In addition, the distribution of maxima and minima in the moving average signal is investigated. In all cases, persistent patterns are observed in these probability measures and it is suggested that such variables be considered for better analysis and possible prediction of the trends of the signal.