Interpreting Stochastic Oscillator Periods on Intraday Data

Summary

The document clarifies how the periods in a standard Stochastic Oscillator setting should be interpreted when the input data are intraday ticks rather than daily bars. Its answer treats a period as the interval represented by one tick in the chosen sampling scheme. Under the example’s assumptions, a smoothing length of three therefore spans three such periods, rather than three sets of fourteen periods.

This explanation emphasizes that indicator periods inherit their time scale from the data frequency. The stated interpretation converts the smoothing window to a fraction of a day when fourteen periods make up one day. The note is brief and does not discuss alternative bar construction, irregular tick spacing, or implementation differences among charting systems. Traders should therefore define their sampling interval and confirm whether an implementation applies the parameters to raw ticks, bars, or another observation unit.

Key ideas

• Stochastic Oscillator parameters count observations at the frequency of the input data.
• A smoothing period of three covers three input periods, not three multiples of the lookback length.
• When fourteen periods represent a day, three periods correspond to three fourteenths of a day.
• The interpretation depends on the sampling scheme and may differ if ticks are irregular or data are aggregated.

Tags

# Grokking Stochastic Oscillator for Stocks


# Grokking Stochastic Oscillator for Stocks












In software, I'm trying to implement the Stochastic Oscillator (see here), and I'd like to figure out a few things.

Let's say I use standard inputs 14, 3 and 3. If my 14 is for intraday ticks, what is the period (%D Exponential Moving Average) that 3 represents? It doesn't seem to make sense, that the period should be days, if my 14 represents intraday ticks.

- Does it instead mean 3 periods of 14 (3 * 14), in this case?

## Answer by Lucas Morin (score 1)

https://quant.stackexchange.com/a/7980

The period is the time between two ticks.

It means you have to work with the last 3 periods, each periods have a lenght of 1/14 of a day. So you are working with a time windows of 3/14 of a day.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.