New answers tagged regression
The Technical Analysis of Financial markets is considered as a milestone of the matter. I suggest to read that before starting to test your strategy. It explains well the use of each indicator, providing the economic reason behind that and when it is useful to use that; moreover, the book deals the stock market with mainly, as you need for. In my humble ...
A very reference can be found here: http://www.asiapacfinance.com/trading-strategies/technicalindicators
The TA_lib Technical Analysis library here has open source code for numerous indicators.
Firstly, the use of the logit models to estimate the PDs is particularly appreciated in some credit industries, as, for instance, the credit retail one. The logit model predicts pretty well the PD on loans, consumer credit, credit cards, ... and all concerns the retail consumer world. Mainly, those listed are the principal sub-industries in the credit ...
"One of the attractive features of the logistic function is the fact that it is bounded between 0 and 1, making it suitable to represent probabilities. " "The Poisson intensity model introduced in this article still has serious shortcomings despite the major advancement offered by its dynamic features. First, it is known to be unable to properly capture the ...
Solve for the parameters (weights) using an estimation period (sample) and then use the estimates for prediction (as you are doing with the current weights).
I've been testing trading systems with lowess for a long time and have yet to find something that works. Lowess is a adaptive, so it will change with the addition of future bars ( it is the best fit taking into account past and future data points). If you plot a lowess on a chart, it is a perfect fit...not so much in real time.
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