[技术分析] How I predict?

greatwallmerlin

1) using Matched Pattern from 2000 stocks in last 5 years, matched the pattern of SPX over last 3 days,  found similar patterns.
2) Use all matched patterns and perform Markov Chain Monte Carlo simulation, burning-in of first 1000 simulation to reduce predict errors.
3） APPLIED different weight, most recent data with higher weight and perform Bayesian adjustment.
4) Perform Bootstrap simulation to get p values and prediction confidences.

Knowledge need: Bayesian Analyses, Linear model, Pattern analyses, MCMC simulation, Bootstrap simulation, SAS, JAVA, GRAPH, finance knowledge....

Each run cover 2000 stocks*average 30 matched patterns*10000 MCMC simulations * 10000 Bootstrap simulations.

If you have better suggestion, welcomed to suggest.

DUH

很辛勤，很大的工作量。

greatwallmerlin

The basic assumptions are:

1) MM will repeat their manipulations over history.
2) There are no sudden un-predicted big events happened.

greatwallmerlin

回复 2# DUH


    系统写了近4年， 最近比较完善了， 后台运行， 不需要我管了。

yanzi3

多谢分享，还不是很懂。

君遥

多谢无私分享，好人

greatwallmerlin

大家这么快都变成秀才了， 俺还是童生呀

DUH

不一般地辛苦，先苦后甜。

如果要全自动交易，一定要非常非常非常小心。

vying10

Thanks for sharing. Not easy to build such system.

newflower888

Thanks for sharing!

君遥

回复 1# greatwallmerlin


长城远眺彩云间，
一片丹心明月悬。
谁接下两句？

attm

What software are you running for the monte calo simulation?

回复 1# greatwallmerlin

attm

For 2), what distribution do you use for the markov chain MC simulation? Does the used distribution depend on the matched patterns you found in step 1?

回复 1# greatwallmerlin

attm

Since you only use data going back for 3 days, your analysis can only possibly give short term prediction?

Did it work before? Any backtesting?
回复 1# greatwallmerlin

student009

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