Today’s topic is on finding the optimal periodicity for the RSI indicator and the techniques should apply to other sorts of indicators as well. The good news is that it won’t require any rocket science. John Ehlers has written a lot about this topic, and his articles spurred my interest in the topic, which frankly […]
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One technique for optimizing systems is to create a regime filter. A most common example is a binary classifier that classifies the market into either bull or bear markets based on closing above or below the 200 day moving average. But, there are problems with binary classifiers and we will demonstrate why a multi-state classifier […]
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There are a few good reasons to build graybox systems and some not-to-so good reasons. One not-so-good reason might be if you really haven’t developed the skills required to develop profitable systems. But, if you can develop profitable systematic systems then why should you still be interested in graybox systems? First, if you have a strong market […]
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