[amibroker] Anomaly Detection using Exploration - Need Suggestion

 

Hi,


- Setup: 4000 Tickers

- Industry: 200

- One Composite Ticker  for each and every Industry.  Example: "~Cargo four Wheeler" 


Anomaly: When the close of a ticker (ABC Automotives Inc) is in divergence with the combined Close of the Composite Ticker "Cargo four Wheeler" in last N days.


Objective:

If for past N days this industry composite ticker is down, but a particular Ticker is continuously Up, then it would trigger an alert to me and I would probe further that why was there North direction in a particular ticker and not the whole industry. Is something building up behind the scenes? And that's Anomaly.


1) Any refinement of this idea?


2) What is the best way to detect the divergence? is it the MACD() or any better approach?


Thanks

Ankur

 

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