Generalized Technical Analysis. Effects of transaction volume and risk

TL;DR

This paper extends traditional technical analysis by incorporating transaction volume and risk considerations, comparing the effectiveness of classical and generalized strategies in financial returns.

Contribution

It introduces a generalized momentum indicator that accounts for transaction volume and evaluates its performance against classical methods considering risk.

Findings

Generalized indicator improves return metrics.

Volume-adjusted strategies outperform classical ones.

Risk-aware strategies show enhanced robustness.

Abstract

We generalize the momentum indicator idea taking into account the volume of transactions as a multiplicative factor. We compare returns obtained following strategies based on the classical or the generalized technical analysis, taking into account a sort of risk investor criterion.