V.3:6 (196-199): Trading with ARIMA and stochastics by John F. Kepka

V.3:6 (196-199): Trading with ARIMA and stochastics by John F. Kepka
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Trading with ARIMA and stochastics by John F. Kepka

In the June 1985 issue of Technical Analysis of Stocks & Commodities magazine, I presented some possible strategies using ARIMA (AutoRegressive Integrated Moving Averages) to trade the September Standard & Poor's (S&P) 500 Futures. The Stochastics Oscillator was discussed in the May and September 1984 issues of Technical Analysis of Stocks and Commodities. Now, I will combine ARIMA from daily data, stochastics, and use half hourly Standard & Poor's (S&P) 500 index futures prices. The half-hourly price data and the stochastics are obtained from Intra-day Analyst, software specifically designed for intra-day price analysis.

—ARIMA Sets the Day's Range

The ARIMA forecasted highs, lows, and 50% confidence levels were calculated from a model developed for the S&P 500 September 1984 futures with EASI/ARIMA—The 2%, Solution . I refer to these forecast levels as potential action points. Both the regular and the slow stochastics are presented for comparison in Figure 1 along with the price action. Figure 2 lists Daily ARIMA forecasted values.

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