CODEWITHSUNDEEP
machine-learningtime-seriesquantitative-financealpha-vantagefinancialinstrument
Alessandro Baldo
Alessandro Baldo

Reputation: 1

AlphaVantage API Technical Indicators: Do they use only information of the past?

I am writing because I found no public documentation or code to solve this doubt. I have been using the AlphaVantage APIs for a project about stock markets prediction with Machine Learning. I have been using a lot of technical indicators of the AlphaVantage library, and, many of them use sequences (windows) of data points, rolling them (e.g. Moving Averages).

However, many financial libraries tend to update the values they previously computed for some of these indicators, by using windows retaining future information with respect to the point in time the indicator is referred to. Obviously, that would represent an "hidden" information that a predictive system (only relying either on past or present information), like mine, should not have access to.

Hence, I was wondering if it is the same case for the AlphaVantage library. I personally manually checked a lot of indicators referred to the same stock (and I repeated the process for many stocks), at a distance of days, and I did not find any inconsistencies on the values referred to the common dates (the only difference is that the most recent versions of those technical indicators have new points, referred to the new evolutions of the price in time).

I would be very pleased, if anybody of you could help me in solving this.

Upvotes: 0

Views: 373

Answers (1)

Dave Skender
Dave Skender

Reputation: 621

Most indicators will use a look back window of quote values, including current price, to calculate current indicator values. Many will also include previously calculated indicator values as a basis for current indicator values. Fewer even recalculate older indicator values based on new price information.

For this last scenario, in looking at the AlphaVantage library, I don’t see any in there that would recalculate older indicator values based on newer data. If you’re seeing indicator values change, it’s probably due to a revision or updates of their underlying quote history.

I have a rather large .NET library of indicators, so I’m familiar with which kinds behave that way, due to the mathematics.

Some examples of indicators with retroactive recalculation are ZigZag and Williams Fractal. The reason they do this is because they find local high and low points, which can’t be verified without several confirming bars of data. In other words, you cannot indicate a high point until several lower bars occur thereafter.

Upvotes: 0

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