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verifying if/which/how TA works

Joined
11/6/11
Messages
17
Points
13
hi all, i want to create automatic trading strategy for EOD trading; i have setup some environment that gathers EOD data every day and uploads it into MySQL database; I also have RStudio installed so that i can run some calculations on my server/cluster; what I lack is the strategy... which i was planning to find this way:
1. decide on the exit strategy (f.e. target 10% earn within 20 days)
2. find days in stocks history such as if I had bought an asset on this day, my exit strategy would work and I would earn 10%
3. calculate lots of different TA indicators with different parameters for history stocks
4. by using some form of clustering/feature selection find some common rules for the winning days
5. test the rules on the last several years of stocks history through classification (to generate buy signals) and check the results of such algorithm

Has anyone tried anything similar ? Do you think it might work ?
 
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