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: https://www.patreon.com/neurotrader
Code: https://github.com/neurotrader888/TimeSeriesReversibility


Links
https://en.wikipedia.org/wiki/Logistic_map
https://en.wikipedia.org/wiki/Time_reversibility
https://en.wikipedia.org/wiki/Kullback%E2%80%93Leibler_divergence

Citations

Yang, P., Shang, P. Relative asynchronous index: a new measure for time series irreversibility. Nonlinear Dyn 93, 1545–1557 (2018). https://doi.org/10.1007/s11071-018-4275-1

Zanin M, Rodríguez-González A, Menasalvas Ruiz E, Papo D. Assessing Time Series Reversibility through Permutation Patterns. Entropy. 2018; 20(9):665. https://doi.org/10.3390/e20090665

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.