Screening indicators and funds
We downloaded daily closing prices for 2099 funds for 1997 from Yahoo.
For each fund, we regressed its daily price changes separately on:
- its previous day's changes
- changes in about ten standard indices such as the S&P500 and the 30-day Treasury bill interest rate.
The purpose of this exercise was to identify:
- a few funds to use in a trading strategy
- a few indicators to use
- some reliable patterns.
Any influence the level of an indicator has on an asset price is presumably already reflected in the asset price, so we use daily changes in indicators as predictors.