Autoregressive Exponential Moving Average Forecasting

I've recently been looking into an automated strategy to implement to my forex trading. School has been real busy and I haven't gotten much time to do technical analysis so I think it'd be better to explore robot trading. In this post I'll be discussing my strategy, it's properties and an example with a simple out-of-sample forecasting benchmarking against an ARMA(2,2) and Random-Walk naive prediction. In the next article, I'll write about implementing it in MetaTrader (MQL4).   An exponential moving average is an extension of a simple moving average where more of the weight is being placed upon the […]

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Random Walk Hypothesis with friends

I came upon this experiment while learning some Octave modelling language.  There was a research done before to see how well an analyst can distinguish a true market price chart from a randomly generated one.  The question was whether an experienced chartist can truly see market patterns or his insight was good as a monkey throwing a dart. I wanted to experiment this with some friends of mine that are big into stocks and technical analysis and thought what they like to say about a randomly generated chart.  I made sure to also ask how confident they were in the […]

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