Discussion of article "Developing Pivot Mean Oscillator: a novel Indicator for the Cumulative Moving Average"

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New article Developing Pivot Mean Oscillator: a novel Indicator for the Cumulative Moving Average has been published:

This article presents Pivot Mean Oscillator (PMO), an implementation of the cumulative moving average (CMA) as a trading indicator for the MetaTrader platforms. In particular, we first introduce Pivot Mean (PM) as a normalization index for timeseries that computes the fraction between any data point and the CMA. We then build PMO as the difference between the moving averages applied to two PM signals. Some preliminary experiments carried out on the EURUSD symbol to test the efficacy of the proposed indicator are also reported, leaving ample space for further considerations and improvements.

Figure below shows the results obtained from running PMO(3,21) on the EURUSD chart with H1 timeframe spanning through the first 8 months of 2019. PMO values are centered around zero in accordance with a bell-shaped distribution. The slight left skew is probably due to the excess of short conditions accumulated by EURUSD in last months. Nevertheless, the predominance of symmetries around zero let us infer that there is a general balance between short and long movements.

Fig. 2: Distribution of PMO(3,21) values resembling a bell-shaped curve. This let us suppose a quasi-gaussian statistical model which can be useful for prediction purposes.

Author: Marco Calabrese