The Financial Hacker – A new view on algorithmic trading
"Trading is statistics and time series analysis." This blog details my progress in developing a systematic trading system for use on the futures and forex markets, with discussion of the various indicators and other inputs used in the creation of the system. Also discussed are some of the issues/problems encountered during this development process. Within the blog posts there are links to other web pages that are/have been useful to me.
Managed to code it up and get it working, but at the end of the day I couldn't see any value added over just averaging the output of the indicators I was trying to fuse together via Kalman filtering. As a result, I'm giving up on this for now and looking at other things.
More in due course.
The Financial Hacker – A new view on algorithmic trading