The Strategic Trader
Detailed Strategy Evaluation

Data mining for strategies

For the past several months, I have been busy working on software to aide in “data mining” the market. With the hope of eventually finding repeatable patterns. The basic premise is to devise software capable of finding patterns that provide an exploitable edge. Because I have been spending all my free time working on this software, I have been falling behind on the pursuits outlined within this journal.

I am hoping to get back into the swing of things, and eventually incorporate the software I have been working on as a way of further discovering what works and what does not work. The software is great at finding an “edge containing pattern” if one exists in the provided data set. However, the most challenging aspect is figuring out what data to provide and the basic constructs of the pattern you are interesting in.

That is why its important to continue down the path that I started within this journal. To most effectively find patterns within the market, you have to have a way of weeding out some of the useless indicators and ideals. Without performing this degree of pre-filtering, the software can not run fast enough to sift through all of the data.

As this software becomes more polished, I will release a version here in this journal as well as utilize it in further weeding out the garbage indicators. For example, by focusing on a single indicator and feeding it into the software, you can “fairly” quickly see if any edge is possible. If the software is not able to extract any repeatable patterns (resulting in an edge), then that indicator is most likely useless in your trading. Unfortunately, the software is not quite polished enough for prime time. In the mean time, I will continue to test indicators the way I previously approached the issue while slowly migrating towards utilizing this data mining software. Eventually replacing most of my analysis of indicators with results found through the data mining software approach.


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