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data mining, indicators vs historical data
Started:February 18th, 2014 (01:39 PM) by saj1011 Views / Replies:1,455 / 10
Last Reply:July 31st, 2014 (12:38 PM) Attachments:0

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data mining, indicators vs historical data

Old July 31st, 2014, 12:38 PM   #11 (permalink)
Trading for Fun
Buffalo, NY
Futures Experience: None
Platform: Python, Excel, R, Ninjatrader
Broker/Data: IB quandl
Favorite Futures: Low frequency trading
Posts: 64 since Jul 2014
Thanks: 4 given, 37 received

"PAL can be used to find patterns in intraday data after data files are properly converted to the program intraday format. Finding statistically significant patterns in very fast timeframes, like for example 1 - 10 minute bars, may turn out to be very hard or even impossible due to the presence of noise and the demand for very large samples."

I think that is very misleading. The problem is not "hard", it is not something that is overcome by throwing more resources at it.

This type of analysis leads to meaningless conclusions because of the non-stationarity and lack of ergodicity of market data.

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