Some general comments about the history of technical analysis.
We could start with the Turtle Traders. Not to forget Jesse Livermore, William P. Hamilton, Robert Rhea, Edson Gould etc.
Any objective analysis would say there are more than a few examples in the Market Wizards and New Market Wizards (too numberous to name here).
BUT BUT BUT, I would not want to put words into anyone else’s mouth but if someone said some of the technical indicators might be arbitraged away for equities now then I could not disagree. In fact, I might be inclined to agree.
After all why do we talk about “fading a technical signal now?”
But here is my question: Chris uses ETFs. Many of these account for a HUGE amount of capital and trading volume. I am not sure even Jim Simons (RT) can always arbitrage away a signal in a day.
Also P123 has the ability to use fundaments (FED data) as features. A good move I think. But either CPI matters for commodities and the Yield curve matters for Bonds or they don’t. It is commonly stated that the PMI matters for equities. You can get FED data with or without P123. Decide for yourself with the code above would be my recommendation.
Find your own signals and prove they are effective (or not effective).
In any case: Thank you Chris. And, FWIW, I think much of this can actually be proven objectively.
Some signals can be proven NOT TO WORK. It goes both ways.
[color=firebrick]BTW, is P123 still looking to use machine learning to recognize technical patterns?[/color] A real question. And can we see if that is one of the technical signals that still works if P123 is still pursuing that?
Negative data can be the most important data. I don’t think it always shakes out one way or the other.
[color=firebrick]Just to reiterate, if one of the ML methods in the code above cannot find a pattern there probably is not a pattern or any pattern that once existed has been arbitraged away. That can be useful information.[/color]
And the effectiveness (or at least the accuracy, recall. precision, f1 etc) of any useful indicators can be fully quantitated.