Slow Stochastic Oscillator¶
Slow Stochastic Oscillator Strategy is build to gain profit on buying / selling shares in a specific market conditions. This strategy is driven by some function (will be define later) of the following indicator which is parametrized by
where equals Number of Periods. Moreover, is a closing price in a period and the value of is the lowest (the highest) price from the last periods.
On a base of a we can compute its smoothed version:
which is smoothed again to obtain our final index:
Slow Stochastic Oscillator strategy starts decision rule, if orders should be sent after Number of Periods + 4 periods. Observe that this is the first moment in which index can be computed.
- Last trade
|Number of Periods||Number of ‘periods’ taken into account in a computation of the||Yes|
|Oversold Level||Upper boundary of the index values area where market is oversold||Yes|
|Overbought Level||Lower boundary of the index values area where market is overbought||Yes|
If strategy does not have an open position and:
- algorithm opens long position
- algorithm opens short position
If strategy does have an open position and:
- algorithm close short position
- algorithm close long position
There is no strategy termination condition.
Strategy bases on some initial Number of Periods + 4 of data collection without trading and is designed to enable adjusting both: period of data collection and its trading time span from hours to whole weeks.