[R-sig-finance] bayesian signal classifier
sourceforge at metrak.com
Mon Nov 28 22:18:47 CET 2005
I would be interested in the paper thanks. Unfortunately my level of
expertise is not high in these matters.
I may have just misunderstood yours and Krishna's response, the kind of
paradigm I am thinking is:
- User selects signals he/she wants to monitor.
- When the user makes a buy/sell decision, the classifier then looks at
the parameters of those signals and classifies the conditions for that
- The user continues to train the classifier in this way, analogously
to training a spam filter.
- The classifier then can start emitting buy/sell signals based on the
training. Ie it is personalized to that users previous choices.
I only mentioned Bayesian methods because the most effective spam
filtering I have used is apparently based on that method
Guy Yollin wrote:
> I did some research in this area back in grad school and tested a variety of
> classical technical analysis indicators and their ability to forecast
> in-the-market or out-of-the-market periods based on classification. Its an
> interesting topic.
> Implementing a basic classification system is quite straight-forward. I
> would suggest looking at the following sections of V&R (4th edition):
> 9.1-9.3 Classification Trees
> 7.2 GLM with binomial data
> 8.10 Neural Networks
> If you're interested in our research report, drop me an email and I'll be
> happy to forward it to you.
> -- Guy
> Guy Yollin
> Senior Financial Engineer
> Insightful Corporation
> gyollin at insightful.com
> paul sorenson wrote:
>>The issue I am curious about is how to classify various signals (eg
>>price, volume, MACD, etc) into to buy, sell, or hold?
>>Assuming I could "tokenize" various attributes of signals (value, 1st,
>>2nd and 3rd derivatives, crossing, etc), would it be feasible to take
>>these as inputs to a (trained) classifier which then outputs some number
>>between 0 and 1 representing buy, hold, sell? The analogy I am thinking
>>of is a Bayesian spam classifier.
>>My background is in engineering and I have only basic statistics
>>knowledge. I have been using R for a couple of years now mostly for
>>graphic output. I have a reasonable grasp of the language but I'm not
>>strong on the underlying theory of the statistical functions.
>>R has a number of packages which deal with Bayesian statistics but I
>>don't have the knowledge to join the dots from there to a classifier.
>>Any pointers would be most welcome.
>>R-sig-finance at stat.math.ethz.ch mailing list
> R-sig-finance at stat.math.ethz.ch mailing list
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