Does anybody have a reliable algorithm for detecting whipsaw activity? I’m sure that many strategies would benefit from having a block of logic that identifies whipsaw activity, so I figure this is probably a common problem algo traders are facing.
I found the following relevant articles.
• https://stockcharts.com/articles/tac/2015/01/martha-stokes-how-to-avoid-whipsaw-swing-trades.html
• http://www.traderslaboratory.com/forums/topic/6999-reducing-whipsaws-two-simple-methods/