Does anyone here do any sort of Statistical Analysis?

#1
I would like to discuss statistical analysis methods to find price patterns or test trading systems. I started getting very interested in this after I read posts by a user named "Acrary" on the EliteTrader forums (http://www.elitetrader.com). Acrary has shared a ton of valuable information about developing & testing trading systems. This particular thread is an example: http://www.elitetrader.com/vb/showthread.php?s=&threadid=33654&perpage=6&pagenumber=1

But a lot of it is way over my head. I am in the process of brushing up my statistics and also in the process of developing programs to do some exercises acrary mentioned in the thread. But I would very much like to discuss this stuff with anyone who is doing something like this or anything using statistics.

--SwingTrader
 
#2
Those of you who may be interested in Simple Interactive Statistical Analysis on the net can check out http://home.clara.net/sisa/
 

murthymsr

Well-Known Member
#4
Yes, i am interested in statistical analysis of share price moments and use some basic functions of statistics.

I have been working on the development of a stock screener for daytrading. the objective of the program is to identify about ten stocks which have a good potential for growth on the following day.

In this software, i use exponential moving averages, correlation and other statistical functions. the various parameters of stock price data (of the previous 3 to 5 days) that may have a bearing on the next day's change of price are being correlated with the next day's price changes. all such parameters which are found to have a bearing to next day's price changes are weighed and combined together into a function (this is just a number). that function's correlation to next days price changes are optimised (maximised). i was able to get about 70 % correlation when index moves within normal ranges and further improvement is in progress.

I intend to submit the criteria for review by this august group for expert opinion, as i do not consider myself as an expert investor.

Once the screener is finalised, i love to post the list of identified stocks to this forumon a day to day basis.

I love to read the responses to this post.
 

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