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Question

  1. In short, I am looking for any academic research that deals with 'selection of features that changes on a daily basis'
  2. In other words, academic researches studying 'which technical indicators that changes on a daily basis should be considered when investing in stocks.' An example can be PER(price earning ratio) since it changes every day.

Question in more detail

  1. I am using 'adjusted daily closing price' for my portfolio optimization and since adj. daily closing prices changes daily, I want my technical indicators to change daily as well.
  2. However, some financial ratios such as 'Price to book ratio' and 'Days sales of inventory' changes at least quarterly, when the financial statements come out.
  3. As such, I am looking for academic researches dealing with which technical indicators that changes daily should be considered and which of them may not be considered while investing in stocks.
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http://wallstreetcourier.com/v/data_download/The_E-Book_of_Technical_Market_Indicators.pdf

check this out. I personally like RSI + Moving averages

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I can point you to Quantpedia - The Encyclopedia of Quantitative Trading Strategies - it's a database of ideas for quantitative trading strategies derived out of the academic research papers.

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  • $\begingroup$ Thanks for sharing a nice website with me, but it does not answer my question. $\endgroup$ – Eiffelbear Jun 6 at 12:09

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