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McNicholl Sentiment

by mdmd, 3282 days ago
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Sentiment indicator from Dennis McNicholl's 2002 Book "Taming Complexity in Trading; Beating the Dow 3 to 1"

It uses statistical techniques to make the stock series stationary and then works on looking at the confidence intervals of the moving standard deviation of the smoothed transformed series.

It is best as a very short term indicator (he uses 2 days).
In the book he uses it by sorting a small watchlist of stocks (DJ Industrials for example) descending on the indicator and buying the highest one. Holding till it cycles back down then selling when it again moves up towards 1.

It can be used as a 'contrary' sentiment indicator so for example buy > 0.99 and sell < 0.75


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Type: Trading Indicator

Object ID: 1008


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