AUTHOR: Vladimir Dimitrijevic

ABSTRACT: Design a purely technical trading indicator with the following attributes:

• Due to generally accepted lognormal distribution of stock returns, use a more appropriate geometric, rather than arithmetic, intrinsics of the price sample. This indicator may as well be used for Forex prices, though there is no immediate applicable theoretical justification.
• Base the indicator on “price action” properties.
• Determine cutoff signal levels directly depending on the observed statistical properties of the data in consideration, rather than using arbitrarily assigned percentages or rule-of-thumb absolute values.
• Simultaneously consider multiple relevant timelines.

The novelty of GTI when compared to the myriad of moving-average based indicators, and their variations and derivatives, is the obvious insisting on the geometric properties of the sample. Though one may argue that in relative terms there is not much difference, the kick-in accuracy and timing in this application is essential, and we insist that geometric values are more appropriate. The choice of the indicator sequence and in particular the cutoff levels is tightly related only to the observed sequence as a whole, and results in deriving statistically relevant extrema in the appropriate domain partition, without any extraneous algorithm inputs.