I am looking for an effective way to collapse the interrelations of N-moving averages into X-discrete states.
Example:
X = 5 period MA
Y = 10 period MA
Z = 15 period MA
STATE A: X > Y > Z
STATE B: X > Z > Y
STATE C: Y > X > Z
STATE D: Y > Z > X
etc....
Then the market dynamics can be expressed as a string: "ex: AABACADAA..etc"
The goal here is to express the most information using the fewest possible discrete states.
Any ideas?
Example:
X = 5 period MA
Y = 10 period MA
Z = 15 period MA
STATE A: X > Y > Z
STATE B: X > Z > Y
STATE C: Y > X > Z
STATE D: Y > Z > X
etc....
Then the market dynamics can be expressed as a string: "ex: AABACADAA..etc"
The goal here is to express the most information using the fewest possible discrete states.
Any ideas?