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How to reliably identify PAST peaks and valleys. Options
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f1r3br4nd
#1 Posted : Tuesday, October 27, 2009 8:44:12 PM
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Hi, I am an okay R programmer, but I'm just learning about technical analysis. I'm trying to write a script for spotting peaks and valleys in historical stock data.

For now, I am *not* trying to predict future prices, just unambiguously identify peaks and valleys in historical information. Seems easy, right?

Well, there seems to be a lot of local minima and maxima. For instance, if I locate the maxima between an upward crossing through the upper 20-day Bollinger band and a downward crossing through the lower 20-day Bollinger band (and the reverse for minima) I often miss the yearly highs and lows while hitting a lot of noise peaks.

Does anybody have suggestions for what technical indicators I should use, and how? MACD, RSI, Bollinger bands, SMA, etc.? Or suggested reading on this topic? I'm sure this has got to be a solved problem among technical analysts.
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elmerortega
#2 Posted : Wednesday, October 28, 2009 2:57:55 PM
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If it´s identifying max & mins what you are trying to do, I think it is the most useful to create an algo for this purpose. Using technical analysis it´s helpful because spotting pivots on these indicators is easier, this is beacuse they usually are smoother series (i.e SMAs). An algo that feeds from both the original series an the tech indicator mite do the trick, at least that´s what I did.
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f1r3br4nd
#3 Posted : Monday, November 02, 2009 9:09:27 PM
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Actually, it turned out to be pretty simple:
1. Pick an N-day window
2. Find the maximum or minimum for the N-day window
3. Is the maximum or minimum also the first value in the N-day window (i.e. on day 0)?

If so, then it is a peak/valley for that window size. If not, move the window along by one day and repeat.
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