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Find Non-Periodic Maxima & Minima of a Set of Stock Market Data

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    Find Non-Periodic Maxima & Minima of a Set of Stock Market Data

    Hello there!

    I have searched far and wide for an answer to this question, but have yet to find one. My question is this: How does one take a set of fairly noisy stock data and locate local maxima and minima for a given appreciation / depreciation event (positive / negative reversal)?

    Here are my criteria that I would ideally like to maintain as variable inputs.

    The minimum appreciation of the stock price in order to be identified as a significant trend should be 3.33%
    The minimum depreciation of the stock price in order to be identified as a significant trend should be -3.33%

    Ultimately, I am trying to develop a summary of the dates that correspond to every instance of the maximum / minimum point of the data, which lies between price trends that meet the appreciation and depreciation criteria.

    In one of my many attempts at solving this problem, I developed a table of every possible appreciation / depreciation event that occur for the given set of data. I tried to use this information to map out bearish and bullish (negative & positive) reversals, but couldn't quite make it work. I have attached a representative sample of data that includes the date and corresponding price. Unfortunately the appreciation / depreciation scenario spreadsheet is too big to attach (3MB). If you deem this to be integral to a solution, then I will try and find a way to upload it.

    Your help is much appreciated. Thanks in advance for your time.
    Attached Files Attached Files

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    Re: Find Non-Periodic Maxima & Minima of a Set of Stock Market Data

    Anyone have an idea?

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    Forum Moderator Glenn Kennedy's Avatar
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    Re: Find Non-Periodic Maxima & Minima of a Set of Stock Market Data

    Yes.... and no.

    There is a Trend analysis" concept in analytical chemistry that sounds like what you want. It is used for looking for biases (above or below zero) in data generated over time. Small positively biased results are summed until they hit a trigger (just like your 3.33% criterion), or until the sign is revered (like the market going into a fall) in which case the score is re-set and the sums begin again.

    The equations are truly horrible. I have got them working (in work), but being Saturday, I'm not there. If you can follow it (it's a bit hard to follow...), check out if the description at the end of this link sounds like what you need...

    http://www.rsc.org/images/proficienc...m18-214838.pdf
    Glenn




    None of us get paid for helping you... we do this for fun. So DON'T FORGET to say "Thank You" to all who have freely given some of their time to help YOU.

    Temporary addition of accented to illustrate ongoing problem to the TT: L? fh?ile P?draig sona dhaoibh

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    Re: Find Non-Periodic Maxima & Minima of a Set of Stock Market Data

    ......Bump

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