The root 2 posts inward this serial described some lessons I was learning spell developing a trading organization as well as broader reflections on theory-building inward marketplace position investigation. In this terminal post, I'll order you lot where an intensive weekend of query has left me as well as where I conception to acquire from here.
Please banking corporation notation that my observations are for solely the markets as well as marketplace position information that I am observing; I cannot brand alongside confidence judgments virtually other markets as well as data. Please also accept my observations alongside many grains of salt, every bit organization evolution is hardly my expanse of expertise.
What I tin order you lot alongside honor to the marketplace position variables I am investigating, which include cost change, momentum, as well as marketplace position breadth/strength, is that a proper model for the markets would direct keep to live on ane that incorporates the notion of patch dependence. Over the degree of years of daily data, it appears to me that the stock marketplace position exists inward a finite release of states as well as that the predictive value of whatever traditional marketplace position indicator is contingent upon the marketplace position patch at that time.
I suspect this is why marketplace position indicators every bit a whole are non goodness predictors of hereafter cost action, per my recent post service on theories as well as science. Such a model, if useful, would propose candidate variables/predictors for those modeling tools. That's where I promise to live on taking all of this.
.
No comments:
Post a Comment