GI => GO (V) Data Validation
Some additional rules to add to your managed futures price series data validation protocol.
Escalator Up Elevator Down: Asymmetry in Price Moves
In describing price moves we often hear the expression escalator up elevator down. But is it really true? We investigate.
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...Ian Rayner
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