Here you will find a wide variety of historical price series along with the tools and techniques necessary to analyze them. The indicators and data span several different time frames. At present the daily and weekly series are the most populated, but we'll be filling in the monthly and longer-term series as we go along.
The basic idea is quite simple. Most charts present a time series and an indicator derived from that series. The initial time series could be the price of a stock market index, an interest rate, a currency or an indicator of some sort. The indicator may have been created by any of a wide variety of technical analysis tools and techniques.
In most cases the charts are highly customizable, so they can be adapted to your needs and risk/reward parameters. Indicators, constants, time span, and periodicity, almost everything is customizable.
Some series have buy and sell signals based on the indicator, where such were easily defined. We analyze such signals in two ways. One, the entry and exit points are marked on the chart with green and red arrows and a table summarizing the performance of the signals is presented below the chart. Two, the performance subsequent to the entry signals is presented in a table for several future time frames along with an estimate of the statistical accuracy of those forecasts. To put it another way, we track both the performance of the signals using their exits and as a function of time passing.
When an indicator is used as a forecasting tool rather than to generate specific buy and sell signals, the level of that indicator is compared to subsequent price action and the results summarized below the chart in a table. The level analysis employed is often a function of the six-month range of the indicator. This table gives you a concrete idea of the predictive power of the indicator and answers questions such as "Do oversold levels work?" "Is it profitable to sell extremely high values of this indicator?" and so on.
That is it in a nutshell: Market timing information that you can rely on. Be our guest and have a look through the site. Information about each series and indicator is included on the appropriate pages. The tables are described in some detail below.
Please let us know what you think, what additional price series and indicators you'd like to see and how we can improve the site to make it more useful for you. firstname.lastname@example.org
The Trade Table
The trade table is broken up into three sections. Buys, Sells and Totals, each summarizes the data for the period displayed on the chart. If an approach only generates buys and goes long, then the Sell table will be empty. Otherwise all three tables present the number of trades made, the number of wins, the number of losses, the average gain for the winners and the average loss for the losers. The Totals table includes one more line, the total return for that approach.
The Performance Tables
There are two varieties of the future performance tables, signal and level. The signal tables report the performance of the signals in the days and weeks following each buy or sell signal and whether that performance is statistically significant or not. The level tables either consider the position of the indicator in the immediately prior six-month range or the absolute levels if the indicator is bounded. That range, relative or absolute, is cut up into ten slices and future performance is reported by slice. Again, the statistical significance of that performance is reported.
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Portions copyright 1994, 1995, 1996, 1997, 1998, 1999, 2000, 2001, 2002, 2003, 2004 by Cold Spring Harbor Laboratory. Funded under Grant P41-RR02188 by the National Institutes of Health.