by IanRayner | Jul 15, 2010 |
In describing price moves we often hear the expression escalator up elevator down. But is it really true? We investigate.
by IanRayner | Jun 21, 2010 |
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... by IanRayner | Apr 22, 2010 |
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...