I've been just messing around with intraday data for the last couple weeks. Mostly just indexes to see if I can come up with some mildly profitable strategies on SPY and DIA. So far, I can't say I have much to show for it.
I've been reading the David Aronson book; Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals. I've only read the first two chapters at this point and skimmed some of the appendicies, but I have a general idea of where he is going from the amazon reviews. My hope is to come out of this book with a better way to vet my trading ideas.
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