Time Series Reversibility | Algorithmic Trading Indicators in Python

I show two measures for time series reversibility. A time series is reversible when the statistical properties are preserved when series is reversed. High values of these measure indicate irreversibility. Irreversibility gives us an implicit measure for nonlinear dynamics in the price/input.
The two measures are quite different computationally but have similar outputs. One is based on horizontal visibility graphs while the other is based on permutation/ordinal patterns.
Patreon: / neurotrader
Code: github.com/neu...
Links
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Citations
Yang, P., Shang, P. Relative asynchronous index: a new measure for time series irreversibility. Nonlinear Dyn 93, 1545-1557 (2018). doi.org/10.100...
Zanin M, Rodríguez-González A, Menasalvas Ruiz E, Papo D. Assessing Time Series Reversibility through Permutation Patterns. Entropy. 2018; 20(9):665. doi.org/10.339...
Zanin M, Papo D. Algorithmic Approaches for Assessing Irreversibility in Time Series: Review and Comparison. Entropy (Basel). 2021 Nov 8;23(11):1474. doi: 10.3390/e23111474. PMID: 34828172; PMCID: PMC8622570.
The content covered on this channel is NOT to be considered as any financial or investment advice. Past results are not necessarily indicative of future results. This content is purely for education/entertainment.

[@akam0707]

Good video, i hope you can make course on udemy soon in future for algorithmic trading course step by step.

[@neurotrader888]

Maybe, I've never used udemy as a creator or consumer. I'll think about it.

[@akam0707]

@@neurotrader888 ok. Look forward to it soon.

[@MatthewEgan-vb5jv]

Impressive video, I was wondering if you have considered any strategies that incorporate order flow or something similar?

[@neurotrader888]

I've looked into it, but I don't use it currently. I'd need buy historical tick data to really test it. I have a chunk I've gathered myself to play with it. I didn't dig very deep.

[@Ejnota]

if you add the roll_correlation function as a filter it works better, let me know.
signal

[@Ejnota]

by the way roll correlation functin between closing prices

[@anirudh894]

hi, i am a computer science student and i feel overwhelmed watching your videos ... can you please make a detailed roadmap that i can follow to be as knowledgeable as you and be able to apply that knowledge to create trading systems like....I am a big fan.

[@neurotrader888]

I have a video about the books I have read. That is essentially my roadmap. I didn't attend any fancy schools. I just read a lot of books and implemented the ideas in code.

[@MrRahul15937]

Always thanks for bringing new knowledge

[@incremental_failure]

Non-correlated ML features are always interesting. Curious if you're using ML for your actual trading?

[@neurotrader888]

I trade multiple strategies, some use ML and some are just trading rules.

[@mozkhiyar9486]

awesome video

[@denizhan1010]

all charts refreshin 1000 bar. 1000 day 1000 hour 1000 minutes. every calculation 1000 bar dont forget.