Implementation of logistic regression into technical analysis

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F13%3A00069574" target="_blank" >RIV/00216224:14560/13:00069574 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Implementation of logistic regression into technical analysis
Original language description
Most of the investment strategies based on technical analysis are based on the principle that your strategy should be as easy as it is possible; in order to simplify your decision making. Goal of this paper is to use more sophisticated methods to combinethe signals from indicators of technical analysis to create advanced form of investing strategy, which will be sustainable in long run. This can be ensured by self-correcting mechanisms build-in the strategy itself. Econometrical methods will be used todetermine whether some kind of indicator has it relevance on the chosen type of asset. All input variables will be time series of dummy variables showing whether the indicator is suggesting taking a long position or not and of course their lags. Explained variable will be the successful trade (the price movement upwards is greater then spread and commissions). For this kind of purposes logistic regression seems to be essential, which is widely used in credit scoring.
Czech name
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Czech description
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Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 31st International Conference Mathematical Methods in Economics 2013
ISBN
9788087035764
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
297-302
Publisher name
College of Polytechnics Jihlava
Place of publication
Jihlava
Event location
Jihlava
Event date
Sep 11, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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