Originally Posted by MrM

I would like to start a thread where we could dicuss econometrics, non-linear dynamics and chaos theory. There's a lot of info on wikipedia for the uninitiated, but I would appreciate feedback from people with a good background in these fields. I have a Master in economics myself and I only do statistical program trading and I've started playing with Matlab recently (trying to be Jim Simmons :-).

So here's my way of looking at the trading game: instead of trying to find indicators or constructing custom indicators that try to predict the future as accurately as possible on the given timeseries (like EUR/USD, 30min or so), why not try to find the ideal timeseries to trade for a simple trading system?

I guess the perfect one would be:
-A stationary process?
-with a very high Hurst exponent?
-presence of a strange attractor?
-autocorrelation in the log-returns?

And then we could just apply a very simple trendfollowing system. But because all instruments are different on all timeframes, we would need to construct a statistics application for MQL4 (or matlab) that automatically scans all timeframes of all pairs and only selects the best ones to trade for our trendfollowing system.

what do you think?