I have designed new system which makes average 10% monthly, and backtested for 10 years on daily prices in financial markets.
It is working fine, but my problem is that I cant find any supporting information or any research related to the topic, which I will roughly explain below.
I look at financial data only as fall (F) or rise (R), something like coin flipping. Have found that series like FFF....F or RRR....R are not distributed randomly. It looks like markets have "memory" or some specifics in structure which makes them different from coin flipping.
Unfortunately spend almost 2 years on that topic and could not find any useful information.
If anybody happen to came across anything related to this, could be glad to hear from you.
Thanks in advance
It is working fine, but my problem is that I cant find any supporting information or any research related to the topic, which I will roughly explain below.
I look at financial data only as fall (F) or rise (R), something like coin flipping. Have found that series like FFF....F or RRR....R are not distributed randomly. It looks like markets have "memory" or some specifics in structure which makes them different from coin flipping.
Unfortunately spend almost 2 years on that topic and could not find any useful information.
If anybody happen to came across anything related to this, could be glad to hear from you.
Thanks in advance
