A paper called Stock Picking via Nonsymmetrically Pruned Binary Decision Trees by Anton V. Andriyashin discusses a method for picking stocks for inclusion in a portfolio. By integrating technical analysis with binary decision trees, the author indicates that "BNS clearly outperforms the traditional approach according to the backtesting results and the Diebold-Mariano test for statistical significance", where BNS is Best Node Strategy. David Aronson of Evidence Based Technical Analysis fame may call the use of some the technical indicators as 'so much snake oil', the paper, at its heart, does describe a methodology for selecting a potentially profitable portfolio if one can use alternate forms of trading signals. Continue reading "Decision Trees, Automated Trading, Simulations,..." »
Saturday, May 31. 2008
Decision Trees, Automated Trading, Simulations, and Strategies
The Joy of Volatility
I initially had this embedded in my follow on article, but I think the information in this paper bears further scrutiny and testing, in regards to what could be classified as what I think is called pairs trading. I guess the secret is in the selection of the pairs. Continue reading "The Joy of Volatility" »
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