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EVIDENCE-BASED TECHNICAL ANALYSIS(实证技术分析:如何利用科学与统计学评估技术指标、图形状态与交易规则)书籍详细信息
- ISBN:9780470008744
- 作者:暂无作者
- 出版社:暂无出版社
- 出版时间:2006-11
- 页数:544
- 价格:731.20
- 纸张:胶版纸
- 装帧:精装
- 开本:暂无开本
- 语言:未知
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- TAG:暂无
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内容简介:
As an approach to research,technical analysis has suffered because it is a "discipline" practiced without discipline.In order for technical analysis to deliver useful knowledge that can be applied to trading,it must evolve into a rigorous observational science.
Over the past two decades,numerous articles in respected academic journals have approached technical analysis in a scientifically rigorous and intellectually honest manner,and now,Evidence-Based Technical Analysis looks to continue down this path.Organized into two parts,this valuable resource first establishes the methodological,philosophical,and statistical foundations of evidenced-based technical analysis (EBTA),and then demonstrates this approach—by using twenty-five years of historical data to test 6,400 binary buy/sell rules on the S&P 500.
Evidence-Based Technical Analysis examines how you can apply the scientific method,and recently developed statistical tests,to determine the true effectiveness of technical trading signals.Throughout these pages,expert David Aronson details this new type of technical analysis that—unlike traditional technical analysis—is restricted to objective rules,whose historical profitability can be quantified and scrutinized.
Filled with in-depth insights and practical advice,Evidence-Based Technical Analysis provides you with comprehensive coverage of this new methodology,which is specifically designed for evaluating the performance of rules/signals that are discovered by data mining.Experimental results presented in the book will show you that data mining—a process in which many rules are back-tested and the best performing rules are selected—is an effective procedure for discovering useful rules/signals.However,since the historical performance of the rules/signals discovered by data mining are upwardly biased,new statistical tests are required to make reasonable inferences about future profitability.Two such tests,one of which has never been discussed anywhere heretofore,are described and illustrated.
If you want to use technical analysis to navigate today's markets,you must first abandon the subjective,interpretive methods traditionally associated with this discipline,and embrace an approach that is scientifically and statistically valid.Grounded in objective observation and statistical inference,EBTA is the approach to technical analysis you need to succeed in your trading endeavors.
作者简介:
DAVID ARONSON is an adjunct professor at Baruch College,where he teaches a graduate- level course in technical analysis.He is also a Chartered Market Technician and has published articles on technical analysis.Previously,Aronson was a proprietary trader and technical analyst for Spear Leeds & Kellogg.He founded Raden Research Group,a firm that was an early adopter of data mining within financial markets.Prior to that,Aronson founded AdvoCom,a firm that specialized in the evaluation of commodity money managers and hedge funds,their performance,and trading methods.For free access to the algorithm for testing data mined rules,go to www.evidencebasedta.com.
书籍目录:
Acknowledgments
About the Author
Introduction
PART I Methodological, Psychological, Philosophical, and Statistical Foundations
CHAPTER 1 Objective Rules and Their Evaluation
CHAPTER 2 The Illusory Validity of Subjective Technical Analysis
CHAPTER 3 The Scientific Method and Technical Analysis
CHAPTER 4 Statistical Analysis
CHAPTER 5 Hypothesis Tests and Confidence Intervals
CHAPTER 6 Data-Mining Bias: The Fool’s Gold of Objective TA
CHAPTER 7 Theories of Nonrandom Price Motion
PART II Case Study: Signal Rules for the S&P 500 Index
CHAPTER 8 Case Study of Rule Data Mining for the S&P 500
CHAPTER 9 Case Study Results and the Future of TA
APPENDIX Proof That Detrending Is Equivalent to Benchmarking Based on Position Bias
Notes
Index
作者介绍:
DAVID ARONSON is an adjunct professor at Baruch College,where he teaches a graduate- level course in technical analysis.He is also a Chartered Market Technician and has published articles on technical analysis.Previously,Aronson was a proprietary trader a
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Evidence–Based Technical Analysis examines how you can apply the scientific method, and recently developed statistical tests, to determine the true effectiveness of technical trading signals. Throughout the book, expert David Aronson provides you with comprehensive coverage of this new methodology, which is specifically designed for evaluating the performance of rules/signals that are discovered by data mining.
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