Technical indicators which in some way or another rely on the fact that many market time series are mean reverting.
For a list of all members of this type, see MeanReversion Members.
System.Object
MeanReversion
Examples of such a market is the oil market where the oil price will range between 10-35 USD, and will typically revert to a mean around 24 USD. Another such example is the implied volatility of index and stock options.
For many of the indicators we provide essentially two versions of the same method. The first version evaluates the indicator over the entire period given and the second version evaluates the indicator over all the sub-periods of a given length. Moreover, the version which evaluates over all sub-periods of a given length will return the results as an array where the 1st term of the array will be the value associated with the most recent sub-period, and the previous element corresponding to the previous sub-period and so on.
The naming of these two versions will follow the convention that if the indicator which
evaluates over the entire period and returns a single element is named ABCIndicator,
then the corresponding indicator over all sub-periods (of a given length) which returns
an array will be denoted by ABCIndicatorOverPeriod.
For example, if our source data has N elements then the two versions
of a given indicator, where the number of periods used within the sub-periods is
n would correspond to:
ABCIndicator - Evaluation of the indicator over the whole period of length N.ABCIndicatorOverPeriod - Will return an array where the
first term is the value of the indicator ABCIndicator on the most recent n
periods, and the next term is the value of the indicator ABCIndicator on the
previous n+1 periods minus the most recent period and so on. That is,
for each iterative evaluation 'the window of evaluation' is shifted one place back.Namespace: Indicators
Assembly: WebCab.DelphiWebServices.TA (in WebCab.DelphiWebServices.TA.dll)
MeanReversion Members | Indicators Namespace