• DOI:10.13140/RG.2.2.20898.17605
• Corpus ID: 214605683

Power Assisted Trend Following

@article{Aigner2020PowerAT,
  title={Power Assisted Trend Following},
  author={Andreas A. Aigner and Walter Schrabmair},
  journal={Capital Markets: Market Efficiency eJournal},
  year={2020}
}

• Andreas A. Aigner, W. Schrabmair
• Published 20 February 2020
• Geology
• Capital Markets: Market Efficiency eJournal

'The trend is your friend' is a common saying, the difficulty lies in determining if and when you are in a trend. Is the trend strong enough to trade? When does the trend reverse and how are you going to determine this? We will try and answer at least some of these questions here. We are deriving a novel indicator to measure the power of a trend using digital signal processing techniques, separating the Signal from the Noise. We apply these to examples as well as real data and evaluate the accuracy of these and the relation to PNL performance of the 'Volatility Index' trend following algorithm devised by J. Welles Wilder Jr. in 1978.