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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 ...

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I can offer my opinion in response to your first two questions: 1.) Unfortunately, this is one of the problems with numbers; the answer is that if the observation is outside of the confidence interval by even a millionth of a percent, it is significant. If it is below by even the smallest amount, it is not significant. Changing your significance level or ...

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A very reference can be found here: http://www.asiapacfinance.com/trading-strategies/technicalindicators

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The TA_lib Technical Analysis library here has open source code for numerous indicators.

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https://mechanicalmarkets.wordpress.com/2015/02/16/protecting-client-interests-anonymity-in-us-equities/ does analysis similar to the question here. It examines the post-trade performance of orders grouped by their MPID (only UBSS and anonymous orders had enough data points to report). It also looks at market impact upon the addition of a new order. ...

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Just a bit of illustration added to @John's answer. Look at log prices $\log(P_t)$, assume that you know $P_0$ then $$\log(P_t) = \log(P_0) + r_1 + \cdots r_t$$ where $r_i = \log(P_i)-\log(P_{i-1})$ are the log returns. By modelling the log-returns (which as already said take values on the whole real line which is a nice property for modelling) we model ...

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Perhaps overly simplistic and repeating the pt above, but when doing statistics, ideally we want to compare like with like. Returns can be comparable with each other. Prices on the other hand always depend on the previous price.

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Basically, prices usually have a unit root, while returns can be assumed to be stationary. This is also called order of integration, a unit root means integrated of order 1, I(1), while stationary is order 0, I(0). Time series that are stationary have a lot of convenient properties for analysis. When a time series is non-stationary, then that means the ...

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