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TIME is an excellent natural indicator and can be the core element of a quant strategy.

The Pathfinder is a purely mathematical and statistical model, with no optimization parameter and no connection in its process to exogenous elements such as indicators, averages or pattern recognition models.

The purpose of the model is to identify through a data analysis whether there are time occurencies in the behaviour of the markets and whether these time occurrencies can be exploited systematically through a vertical profit creation mechanism, i.e. time-related and not price-related.

The conceptual origin of the Pathfinder and its background  methodology are based on 30 years of studies, translated in real trading and real investing on the market cyclicity and on the exploitation of the statistical repetition of certain behaviours.

Tired of lying in the sunshine staying home to watch the rain.
You are young and life is long and there is time to kill today.
And then one day you find ten years have got behind you.
No one told you when to run, you missed the starting gun.

- Pink Floyd

The first tests on these patterns were based on anectodes and commonplaces on the seasonality of the markets. They were intriguing as a result, so as to allow in many cases a well-structured blind (without money management rules) seasonal strategy on equity indices to beat a buy and hold strategy as well as many traditional breakout strategies.
Therefore, it has been decided to continue with tests to look into the specific merit of the vertical profit creation mechanism, linked to time rather than price.

TIME is an excellent natural indicator and can be the core element of a quant strategy.

The Pathfinder is a purely mathematical and statistical model, with no optimization parameter and no connection in its process to exogenous elements such as indicators, averages or pattern recognition models.

The purpose of the model is to identify through a data analysis whether there are time occurencies in the behaviour of the markets and whether these time occurrencies can be exploited systematically through a vertical profit creation mechanism, i.e. time-related and not price-related.

The conceptual origin of the Pathfinder and its background  methodology are based on 30 years of studies, translated in real trading and real investing on the market cyclicity and on the exploitation of the statistical repetition of certain behaviours.

The first tests on these patterns were based on anectodes and commonplaces on the seasonality of the markets. They were intriguing as a result, so as to allow in many cases a well-structured blind (without money management rules) seasonal strategy on equity indices to beat a buy and hold strategy as well as many traditional breakout strategies.

Tired of lying in the sunshine staying home to watch the rain.
You are young and life is long and there is time to kill today.
And then one day you find ten years have got behind you.
No one told you when to run, you missed the starting gun.

- Pink Floyd

Therefore, it has been decided to continue with tests to look into the specific merit of the vertical profit creation mechanism, linked to time rather than price.

How can we use TIME in a better (more efficient) way?

Classical concepts

  • The predominant concept of profit factor for the financial community is related to parameters such as relative/absolute value in price variation
  • On these two concepts, almost all trading and asset allocation models are constructed, but also machine learning algorithms
  • Research must then go through other ways to look for a profit-making methodology (i.e.: analyse the profit curve of a model as an asset itself…)

Vertical pattern

  • The concept of vertical pattern is only tied to time, in the sense that time is the dominant trigger of entry and exit signals

The Pathfinder is a statistical model that is based on the hypothesis of market non-randomness and thus on the behavioural repetition of inefficiency.

Time ultima modifica: 2019-09-17T13:04:06+00:00 da Chiara