I am trying to use technical analysis method (Kagi and Renko method in particular) to analyse my high frequency data. I applied those methods over 1 year, 2 years and 5 years high frequency data. I got the positive result (even very small value for my data), but the cumulate sum of return after each sub time interval does not show any trend (I expected it might be stable increase/decrease) which means those methods did not detrend very well and can not extract noises from market well (since the graph of cumulate sum that I got jump up and down like random process). I wonder if anyone has ever used this method in trading forex? Can someone please point me to any literature/material on this matter so I can deepen my understanding about those methods. The only material that I achieve so far is the book of Nison: Beyond candle stick: Japanese charting technique.

Many thanks in advance.

  • $\begingroup$ Hi Ocean, welcome to Quant.SE! I've updated your title to make it more informative. I think it can be improved even further so please don't hesitate to do so. $\endgroup$ – Bob Jansen Dec 14 '14 at 17:42
  • $\begingroup$ Thanks so much @BobJansen, it does look better and more informative now $\endgroup$ – Ocean Dec 14 '14 at 20:26

See Evidence Based Technical Analysis by Aronson: http://www.amazon.ca/Evidence-Based-Technical-Analysis-Scientific-Statistical/dp/0470008741

Stochastic Oscillator backtest: http://systematicinvestor.wordpress.com/2013/07/19/stochastic-oscillator/

The above blog has a lot of TA backtests with code, warning that the authors code masks base functions.

Asymmetrical Risk Metrics and returns: http://algorithmicfinance.org/1-2/pp79-93/


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