New answers tagged algorithm
I believe what you are looking for is called Seasonal pattern. Here is a good source - http://signalfinancialgroup.com/Seasonal/SeasonalOverview.php
I know this is a really old question but here is something I ran into while trying to do essentially the same thing. One of the problems that you face when trying to detect patterns using (say) k means clustering is how do you encapsulate a pattern. For example, suppose on a certain day the index goes up 2% over a minute and then goes down 1% over the next ...
Are you working with futures data (mixing rate futures with equity futures) OR allocating between macro instruments? If so, using non-linear variants of GARCH (GJR-GARCH, TGARCH etc.) are common way to solve your risk parity allocation issue that you might be facing. One common related issue is not that the volatility to a couple of instruments drop ...
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