A Markov Process Model of the S&P500 (SPY) inspired by QuantProgram.com. Permutations of price action events ("up", "down") are optimized for different numbers of events (n) and number of "up" events (m) so as to yield the highest Markov probabilites of price going in a certain direction. Results are interpreted with statistical significance in mind, measured through the number of occurences of each pattern.
Gregoritsch3/Markov_Process_Optimization_SPY
A Markov Process Model of the S&P500 (SPY) inspired by QuantProgram.com. Permutations of price action events (up, down) are optimized for different numbers of events (n) and number of "up" events (m) so as to yield the highest Markov probabilites of price going in a certain direction. Results are interpreted with statistical significance in mind.
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