Strategy: "Trading USDCHF ļ¬ltered by Gold dynamics via HMM coupling".

Description:

A strategy which involves modeling USDCHF and gold as a coupled hidden Markov model (CHMM). We trade using the next most probable RSI and CCI indicator values as predicted by the CHMM. Through intermarket analysis and the Markov property implicit in the model, we hope this model yields profitable results.

 

Click here to download my paper.

UPDATE: Thank you for your interest in the code. I'm still in the midst of using C# to create program with a U.I. that illustrates the workings of the model and displays PnL when using it to trade. Please come back in the week of November 4th. In the meantime, you can view the above document for the full technical description of the model.