ALL THINGS BIG AND SMALL 2.0

Thanks to EODHD.com for the price data that make my posts possible. When you need high quality financial markets data, you can rely on EODHD.com-they are the best.  EODHD clients who are financial modeling enthusiasts or funds are welcome to contact me for writing or analysis tasks:    tiankhean@gmail.com .  I live in Singapore so there may be time zone differences to take into consideration Introduction When we are not using fundamental data for investment analysis, we use price and volume data (Open, High, Low, Close, Volume).   RSI, MACD, Moving Averages, Stochastics and all those TA tools. They may be useful for visualization of momentum, trading range, volatility, reversion to the mean and so on. But when it comes to probabilistic predictions, clustering and classification for arbitrage, portfolio optimization or complex pattern recognition, advanced statistical techniques have a clear edge.   Many of these techniques have always been there, but th...

  Data used: Boeing Co. Data as of 17 April 2025 It is true that short-term modeling and predictions of stock prices using just price data is valid and useful. We do not need fundamental data as input variables for short-term predictions. But there are inherent flaws in traditional Technical Analysis (TA). The inherent flaws of traditional technical analysis indicators, such as RSI, MACD, Bollinger Bands, all assume that the relationship between market variables is linear and that data distributions are Gaussian (Normal). But it is well-known that financial markets exhibit non-linear dynamic characteristics with distributions that are not Normal i.e. have more than 1 peak, are highly skewed and have long fat tails (kurtosis). And that the relationship between market variables is highly non-linear.  However, these short-term linear relationships can be modeled with Linear Regression . The Table below shows that Linear Regression, particularly its Boosted version produces the sm...

The question whether technical analysis [TA] [or 'charting' as referred to by the less initiated] works has been asked many, many times. Countless studies have been done, some of which show that TA does make a significant difference, and some show that TA does not make any difference to investment performance. For more details of such studies, see: http://en.wikipedia.org/wiki/Technical_analysis . I will use this short article just to recollect my personal experience with TA. For more than a decade, I studied TA, and tried to apply it. I studied all manner of TA from classical charting, to Candlesticks, to the hundreds of Indicators from Moving Averages, to RSI, MACD and the more esoteric ones ones that are constantly being invented. I read about Elliot Waves and Gann Charts, and how some even used astrology to analyse the markets. I delved into Neural Networks, Genetic Algorithms and all manner of pattern recognition, classification and forecasting techniques to feed the Pric...