Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals

ISBN-13: 9780470008744 / Angielski / Twarda / 2006 / 544 str.

David R. Aronson

Opis

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.

Recenzje

" his book is well written and contains a great deal of information that is of value ." ( The Technical Analyst, May/June 2007)

Spis treści

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.

O autorze

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.

Blurb

"Professor Aronson has done yeoman′s work incorporating established statistical practices into the analysis and interpretation of technical analysis and other market theories. I can say without qualification that this book should be in every serious market practitioner′s collection."
Victor Niederhoffer, Chief Speculator, Manchester Partners author of The Education of a Speculator and Practical Speculation

As an approach to research, technical analysis has suffered because it is a "discipline" practiced without discipline. In order for technical analysis to deliver useful knowledge that can be applied to trading, it must evolve into a rigorous observational science.

Over the past two decades, numerous articles in respected academic journals have approached technical analysis in a scientifically rigorous and intellectually honest manner, and now, Evidence–Based Technical Analysis looks to continue down this path. Organized into two parts, this valuable resource first establishes the methodological, philosophical, and statistical foundations of evidenced–based technical analysis (EBTA), and then demonstrates this approach by using twenty–five years of historical data to test 6,400 binary buy/sell rules on the S&P 500.

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.

Filled with in–depth insights and practical advice, 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 useful rules/signals. However, since the historical performance of the rules/signals discovered by data mining are upwardly biased, new statistical tests are required to make reasonable inferences about future profitability. Two such tests, one of which has never been discussed anywhere heretofore, are described and illustrated.

If you want to use technical analysis to navigate today′s markets, you must first abandon the subjective, interpretive methods traditionally associated with this discipline, and embrace an approach that is scientifically and statistically valid. Grounded in objective observation and statistical inference, EBTA is the approach to technical analysis you need to succeed in your trading endeavors.