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MetaQuotes Software Corp.
MetaQuotes Software Corp. 2012.02.14 11:48 

New article Using Discriminant Analysis to Develop Trading Systems is published:

When developing a trading system, there usually arises a problem of selecting the best combination of indicators and their signals. Discriminant analysis is one of the methods to find such combinations. The article gives an example of developing an EA for market data collection and illustrates the use of the discriminant analysis for building prognostic models for the FOREX market in Statistica software.

Fig. 16. Discriminant equations

Author: ArtemGaleev

Eddy Taylor
Eddy Taylor 2012.02.14 23:22  


 Thank you very much for producing this article! I am ever so grateful. I was wondering where to find a software like this! So what if I like a certain setup already but I want to improve my win rate? How do I use the DA Statistica for this?

I have used some neural network and Genetic Programming software. They are able to build strategies towards a user's goals - win rate, Net Profit, Frequency of trades, E(r), Profit Factor, etc. Is it possible to do that with this software? Can you show how if you can?

ArtemGaleev 2012.02.15 04:25  

StatSoft Statistica was used for the DA analysis.

I believe, other goals can be reached too. However you should think out how they can be included in your DA model. Just as an idea, if you trade on H1 time frame, you may try to forecast your win rate by H4 or D1 indicator data. 

The DA for H4 timeframe is carried out in the same way as for H1.

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