Data Mine Strategy - What's Been Done?
Please take this question seriously.
My questions / topics of interest to discover trading strategies:
- Have you come across any technical analysis studies that leverage modern day computational power to combine N variable combinations over various holding periods to ascertain return maximization? A lot of ideas there so let me give a few examples:
o Simplest idea would be using e-Mini future contract ES1 while combining RSI and MACD indicators. If each variable is split into deciles and a buy signal is generated for each permutation (ie, when RSI decile 1 occurs with MACD decile 1 then buy, when RSI decile 1 occurs with MACD decile 2 then buy, etc etc.). And if the holding period is 30 minutes, what is the max return across all scenarios? The study would also determine if there is a discernable pattern or a fluke result.
o Then the study would change holding period from 5 minutes to 10 minutes to more periods to 5 days.
o There are a few other parameters in this exercise but you get the idea- program a market setup and see what the computer finds.
- Similar to the above study, have you come across any research that data mines all price scenarios for a maximized return? For example, using OHLC data on a X minute interval, one could create the following six scenarios:
Open (prev bar) < High(prev bar) Open (prev bar) < Low(prev bar) Open (prev bar) < Close(prev bar)
Open (prev bar) > High(prev bar) Open (prev bar) > Low(prev bar) Open (prev bar) > Close(prev bar)
Then varying the holding period, is there any statistically significant return?
This approach could also be expanded to the candlestick patterns such as a doji, hammer, etc.
This could also be combined with the above approach for conditional returns. Ie, perhaps RSI has little predictive ability but when given situation ABC, it works very well.
- I’m wondering if this analysis is old news or a potentially meaningful endeavor. Tracking down studies is quite difficult (at least for me) and I’d be curious to know the major technical analysis enhancements over the past 10 years and what is cutting-edge today (excluding high frequency trading at a milli or nanosecond level). That answer would help me get a sense if I’m on the right track for trading strategies.
Please take this question seriously.
My questions / topics of interest to discover trading strategies:
- Have you come across any technical analysis studies that leverage modern day computational power to combine N variable combinations over various holding periods to ascertain return maximization? A lot of ideas there so let me give a few examples:
o Simplest idea would be using e-Mini future contract ES1 while combining RSI and MACD indicators. If each variable is split into deciles and a buy signal is generated for each permutation (ie, when RSI decile 1 occurs with MACD decile 1 then buy, when RSI decile 1 occurs with MACD decile 2 then buy, etc etc.). And if the holding period is 30 minutes, what is the max return across all scenarios? The study would also determine if there is a discernable pattern or a fluke result.
o Then the study would change holding period from 5 minutes to 10 minutes to more periods to 5 days.
o There are a few other parameters in this exercise but you get the idea- program a market setup and see what the computer finds.
- Similar to the above study, have you come across any research that data mines all price scenarios for a maximized return? For example, using OHLC data on a X minute interval, one could create the following six scenarios:
Open (prev bar) < High(prev bar) Open (prev bar) < Low(prev bar) Open (prev bar) < Close(prev bar)
Open (prev bar) > High(prev bar) Open (prev bar) > Low(prev bar) Open (prev bar) > Close(prev bar)
Then varying the holding period, is there any statistically significant return?
This approach could also be expanded to the candlestick patterns such as a doji, hammer, etc.
This could also be combined with the above approach for conditional returns. Ie, perhaps RSI has little predictive ability but when given situation ABC, it works very well.
- I’m wondering if this analysis is old news or a potentially meaningful endeavor. Tracking down studies is quite difficult (at least for me) and I’d be curious to know the major technical analysis enhancements over the past 10 years and what is cutting-edge today (excluding high frequency trading at a milli or nanosecond level). That answer would help me get a sense if I’m on the right track for trading strategies.
