Evidence-based technical analysis
Subtitle: applying the scientific method and statistical inference to trading signals
By: David R. Aronson.
Series: The Wiley trading series
Publisher: John Wiley & Sons
Published: 2007
Place of publication: Hoboken, N.J
Language: eng
Number of pages: 528
ISBN-13: 9780470008744
Subjects: Investment analysis
Description: "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 these pages, expert David Aronson details this new type of technical analysis that - unlike traditional technical analysis - is restricted to objective rules, whose historical profitability can be quantified and scrutinized." "Evidence-Based Technical Analysis 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. Experimental results presented in the book will show you that data mining - a process in which many rules are back-tested and the best performing rules are selected - is an effective procedure for discovering rules/signals."--BOOK JACKET
Notes: Includes bibliographical references (p. 477-516) and index.
Table of contents: title: Methodological, psychological, philosophical, and statistical foundations. Objective rules and their evaluation ; The illusory validity of subjective technical analysis ; The scientific method and technical analysis ; Statistical analysis ; Hypothesis tests and confidence intervals ; Data mining bias: the fool's gold of objective TA ; Theories of nonrandom price motion; title: Case study: signal rules for S&P 500 Index. Case study of rule data mining for S&P 500 ; Case study results and the future of TA; title: Appendix: Proof that detrending is equivalent to benchmarking based on position bias.