K-Means clustering algorithm

Discussion in 'Trading' started by scalony, Mar 31, 2014.

  1. scalony

    scalony

    Have anybody tried employing K-Means clustering algorithm for trading?

    Here is my idea:
    1. First build features vector from your price data and indicators.
    2. Run K-Means algorithm and group your data into several groups
    3. Then observe what was happening after each group and calculate some metric to indicate whether market was rising or falling
    4. Use The results above to make your trading decissions.