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Where To Get Online Data Mining Work?

In the book "Hedge Fund Market Wizards" Jaffray Woodriff hints at a trading strategy that is trend neutral and relies heavily on data mining correctly. Can anyone give additional detail on how such a strategy would work?

  • Some of the few details that Mr. Woodriff provides: the system uses "secondary variables" derived only from open, high, low & close price data, the system only seeks to predict the probable market direction over the next 24 hours and he does not hypothesis test but rather data mines and uses cross validation to avoid overfitting...

  • Answer:

    Yeah he was probably lucky to get in as early as he did, that's an increasingly crowded trade..

Stephen Christoffersen at Quora Visit the source

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Sounds like  a machine learning based technical trading system. "only open high low and close" severely limits you, so you're basically a statistical chartist. He could be using linear regression or more complicated forms of regression with returns as the output variable. Cross validation is a good way to avoid overfitting in general.

Jacob Jensen

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