Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading SignalsJohn Wiley & Sons, 11.07.2011 - 544 Seiten Evidence-Based Technical Analysis examines how you can apply the scientific method, and recently developed statistical tests, to determine the true effectiveness of technical trading signals. Throughout the book, expert David Aronson provides you with comprehensive coverage of this new methodology, which is specifically designed for evaluating the performance of rules/signals that are discovered by data mining. |
Inhalt
The Illusory Validity of Subjective Technical | |
Case Study Signal Rules for the | |
The Scientific Method and Technical Analysis | |
Statistical Analysis | |
The Classical Approach | |
DataMining Bias The Fools Gold of Objective | |
Theories of Nonrandom Price Motion | |
Case Study of Rule Data Mining for the SP 500 | |
Case Study Results and the Future of | |
Proof That Detrending Is Equivalent | |
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Häufige Begriffe und Wortgruppen
behavior behavioral finance belief best rule biased bootstrap Chapter cognitive complex compute conclusion confidence interval confirmation bias correlation daily return data mining data-mining bias defined detrended deviation divergence earned error estimate evaluated evidence example expected return fact false falsified financial markets forecast future head-and-shoulders pattern hindsight bias hypothesis test illustrated in Figure indicator induction infinite number investors knowledge large number Law of Large logical luck mean return Monte Carlo permutation moving average null hypothesis number of observations number of rules objective observed performance occur out-of-sample outcomes output values p-value percent performance statistic population parameter positive predictive power Premise price changes prior probability problem profitable random variable rate of return rational risk rule’s expected rules back tested rules tested sample mean sample statistic sampling distribution scientific signals statistical inference statistical significance stocks subjective technical analysis testable theory threshold trading trend true valid words