لایب سان

Author(s): Chen, Jun; Tsang, Edward

Publisher: CRC Press, Year: 2021

ISBN: 9781003087595,9781000220162,1000220168,9781000220261,1000220265,9781000220360,1000220362,1003087590

v Contents Foreword Preface List of Figures List of Tables Chapter 1 · Introduction xi xix xxi xxv 1 1.1 1.2 1.3 Chapter OVERVIEW RESEARCH OBJECTIVES BOOK STRUCTURE 2 · Background and Literature Survey 1 2 4 5 2.1 2.2 2.3 REGIME CHANGE 2.1.1 Regime Change Detection Methods DIRECTIONAL CHANGE 2.2.1 The Concept of Directional Change 2.2.2 Research Using Directional Change 2.2.3 Directional Change Indicators 2.2.3.1 Total Price Movement 2.2.3.2 Time for Completion of a Trend 2.2.3.3 Time–Adjusted Return of DC MACHINE LEARNING TECHNIQUES 2.3.1 Hidden Markov Model 5 6 7 9 11 12 12 12 13 13 13 vi · Contents Chapter 2.3.1.1 Definition of HMM 2.3.1.2 Parameters of HMM 2.3.1.3 Expectation-Maximization Algorithm 2.3.2 Na ̈ıve Bayes Classifier 2.3.2.1 Definition of Na ̈ıve Bayes Classifier 3 · Regime Change Detection Using Directional Change Indicators 15 15 16 17 18 21 3.1 3.2 3.3 3.4 3.5 Chapter INTRODUCTION METHODOLOGY 3.2.1 DC Indicator 3.2.2 Time Series Indicator EXPERIMENTS 3.3.1 Data Sets 3.3.2 Hidden Markov Model EMPIRICAL RESULTS 3.4.1 EUR–GBP 3.4.2 GBP–USD 3.4.3 EUR–USD 3.4.4 Distribution of the Indicator R 3.4.5 Discussion CONCLUSION 4 · Classification of Normal and Abnormal in Financial Markets Regimes 22 25 26 27 28 28 28 28 29 31 33 35 35 37 39 4.1 4.2 INTRODUCTION METHODOLOGY 4.2.1 Summarising Financial Data in DC 4.2.2 Detecting Regime Changes through 4.2.3 Comparing Market Regimes in an Space HMM Indicator 40 41 41 43 44 Contents · vii 4.3 EMPIRICAL STUDY 45 4.3.1 Data Sets 46 4.3.2 Summarising Data under DC 47 4.3.3 Detecting Regime Changes under HMM 47 4.3.4 Observing Market Regimes in the Normalised Indicator Space 48 4.4 RESULTS AND DISCUSSIONS 50 4.4.1 Market Regimes in the Indicator Space 51 4.4.2 Market Regimes under Different Thresholds 52 4.4.3 Discussion 54 4.5 CONCLUSIONS 56 Chapter 5 · Tracking Regime Changes Using Directional Change Indicators 59 5.1 INTRODUCTION 60 5.2 METHODOLOGY 61 5.2.1 Tracking DC Trends 61 5.2.2 Use of a Na ̈ıve Bayes Classifier 62 5.3 EXPERIMENT SETUP 65 5.3.1 Data 65 5.3.2 Regime Changes on the Data 66 5.4 EMPIRICAL RESULTS 66 5.4.1 Calculating Probability 68 5.4.2 B-Simple for Regime Classification 69 5.4.3 B-Strict for Regime Classification 70 5.4.4 Tracked Regime Changes 71 5.4.4.1 Tracked Regime Changes on DJIA Index 71 5.4.4.2 Tracked Regime Changes on FTSE 100 Index 73 5.4.4.3 Tracked Regime Changes on S&P 500 74 5.4.5 Discussion 74 viii · Contents 5.5 Chapter CONCLUSION 6 · Algorithmic Tracking Trading Based on Regime Change 76 79 6.1 6.2 6.3 6.4 6.5 6.6 Chapter OVERVIEW METHODOLOGY 6.2.1 Regime Tracking Information 6.2.2 Trading Algorithm JC1 6.2.3 Trading Algorithm JC2 6.2.4 Control Algorithm CT1 EXPERIMENTAL SETUP 6.3.1 Data 6.3.2 Experimental Parameters 6.3.3 Money Management EXPERIMENT RESULTS 6.4.1 Number of Trades 6.4.2 Final Wealth 6.4.3 Maximum Drawdown DISCUSSIONS 6.5.1 The Primary Goals Are Achieved 6.5.2 Future Work: Regime Tracking Trading Algorithms CONCLUSIONS 7 · Conclusions for Better 79 80 80 81 83 83 84 84 84 85 86 86 87 88 89 89 90 90 93 7.1 7.2 7.3 SUMMARY OF WORK DONE TAKE-HOME MESSAGES FUTURE RESEARCH 7.3.1 Research Directions 93 97 98 99 Contents · ix Appendices 101 Appendix A · A Formal Definition of Directional Change 101 Appendix B · Extended Results of Chapter 3 Appendix C · Experiment Summary of Chapter 4 Appendix D · Detected Regime Changes in Chapter 4 Bibliography 123 Index 129 107 111 119

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