Developing Profitable Trading System

Abstract

This research work provides a quantitative approach to measure the accuracy of a buy or sell signals of stocks in the US stock market. It describes several buy/sell indicators then measures the accuracy of each indictor by testing it on a number of filtered US historical data between 2000 and 2014. We show how each indicator weighs then by summing up scores of successful indicators; we end up with a score for each stock at a particular time. This would give a much more accurate buy or sell signal. In past stock market research typically researchers measure the probability of a success of an uptrend or a downtrend based on a fixed number of successful indicators. For example, some research shows that six out of nine indicators must be giving buy/sell signals. The results obtained in this research should be applicable to other international markets as well.