Overview: for 2p.m.
Pattern recognition
Backtesting/ regression analysis
Making an algorithm
The Goal: to make money
Statistical Basis: how they are tested, used
Intuitive starting points
behavior, behavior, behavior
Event driven: earnings, one time events, infrequent but known, regularly repetitive
Signal to noise. the more regular and frequent, the more noise
The less regular and frequent, the less data proof
The sweet spot.
Early career examples
bank robbers, purse snatchers, behavior
Time Series first example.- PTJ
Steve Cohen- earnings survey spoof
Lunch time, dead zone during the Fix
Gold Now:
Friday behavior last 4-5 weeks
Friday behavior last 10-12 weeks
waht si the pattern observed
what is the pattern that can automated and traded DAILY ONLY
We dont care why…. just make money
But here is why anyway.. save money
pattern Strengthening or weakening over time?
how can we refine it: volume, OI, TA tools
geopolitical risk- the behavior is the same, the events are new
dont go home short/long with geopolitical risk
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