Evidence-Based Technical Analysis

Applying the Scientific Method and Statistical Inference to Trading Signals

Inbunden, Engelska, 2006

1 039 kr

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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.

Produktinformation

Utgivningsdatum2006-12-08
Mått168 x 236 x 53 mm
Vikt748 g
FormatInbunden
SpråkEngelska
SerieWiley Trading
Antal sidor544
FörlagJohn Wiley & Sons Inc
ISBN9780470008744

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DAVID ARONSON is an adjunct professor at Baruch College, where he teaches a graduate- level course in technical analysis. He is also a Chartered Market Technician and has published articles on technical analysis. Previously, Aronson was a proprietary trader and technical analyst for Spear Leeds & Kellogg. He founded Raden Research Group, a firm that was an early adopter of data mining within financial markets. Prior to that, Aronson founded AdvoCom, a firm that specialized in the evaluation of commodity money managers and hedge funds, their performance, and trading methods. For free access to the algorithm for testing data mined rules, go to www.evidencebasedta.com.

Acknowledgments. About the Author.Introduction.PART I Methodological, Psychological, Philosophical, and Statistical Foundations.CHAPTER 1 Objective Rules and Their Evaluation.CHAPTER 2 The Illusory Validity of Subjective Technical Analysis.CHAPTER 3 The Scientific Method and Technical Analysis.CHAPTER 4 Statistical Analysis.CHAPTER 5 Hypothesis Tests and Confidence Intervals.CHAPTER 6 Data-Mining Bias: The Fool’s Gold of Objective TA.CHAPTER 7 Theories of Nonrandom Price Motion.PART II Case Study: Signal Rules for the S&P 500 Index.CHAPTER 8 Case Study of Rule Data Mining for the S&P 500.CHAPTER 9 Case Study Results and the Future of TA.APPENDIX Proof That Detrending Is Equivalent to Benchmarking Based on Position Bias.Notes.Index.