Testing Price Series for Randomness

As part of an effort to investigate price regimes, I decided to try some simple tests of randomness in price series.

In this first exercise, I simply look at the direction of price change from one period to the next and seek to identify if the frequency of up and down days (Count) and the frequency of direction changes (Runs) are significantly different from a coin toss.

Research Program

I decided to call upon my past experience building an ISO9000-2001 Quality Management System and apply it to my R&D program. This has required some research of its own - the current standard is now ISO9000-2008. I don't have a copy of it so I am "winging it" with the intent of coercing into compliance the procedures I write now.

I feel the need for this structure. It will provide a framework for planning, managing and documenting my R&D. It will break my work down into projects with clearly defined objectives and a schedule.