Testing Price Series for Randomness

Testing Price Series for Randomness

As part of an effort to investigate price regimes, I decided to try some simple tests of randomness in price series. In this first exercise, I simply look at the direction of price change from one period to the next and seek to identify if the frequency of up and down...

Price Series Characterization: Regimes

Motivation: A trading system should have as few tuning parameters as possible: simple is better than complex. Simple systems work best when suited to the current price regime. If we can identify N price regimes, we can build N simple trading systems. If current price...