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9

Yes, you use an implementation of each signal and then use a statistical package like sas to generate a factor model for you. It generates a mathematical formula, with coefficients, and signals(variables) and even tells you the efficacy(R^2) However you quickly find yourself exposed to data snooping bias by choosing this approach. Similar to the results ...


4

If you look at the ladder, you might have some insight, but it's mainly speculation. The only way to be really "sure" in my opinion would be to have some insight from a broker. Otherwise, what I'd try to look for is to recognize execution schemes, but again you have to know the algorithms of all the participants in order to determine "who" it was. In my ...


3

This could be very difficult to determine in practice, because the axe (who controls the supply and demand) wants to hide his tracks. Also consider the axe's aliases. I mention this because you would need to take into account the axe disguising his trades through another market maker (for example, Goldman trading through ARCA, or even showing sales between ...


3

Here is an example of the 75% trading rule coded in R: Can one beat the random walk This is how the author describes the rule: The following script will generate a random series of data and follow the so called 75% rule which says, Pr[Price>Price(n-1) & Pr<(n-1) < Price_median] Or [Price < Price(n-1) & Price(n-1) > Price_median] = 75%. ...


3

Maybe I completely misunderstood the question, but it seems to me that you are looking to find a model structure as opposed to fit a specified/known model. In your context the model specification (the trading rules) are unknown... Am I right? If that Is the case, maybe genetic programming: http://en.wikipedia.org/wiki/Genetic_programming Is what you need? ...


3

In a sense all quantitative strategies do that because no one expects every instance of a signal to create a positive return. The expectation is that on average it will. Recall that these questions are supposed to be about quantitative finance whereas the first link you have seems to be related to technical analysis.


1

Not exactly definitive, but I once met a lady at a seminar I was teaching that gave an overview of how she uses astrology to make trading decisions.



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