It has been quite a while since my last post, and during this time I have been investigating a couple of complimentary things: TabPFN and revisiting my Kalman-EMA filter. I say complimentary as I have used the Kalman-EMA as a feature input to TabPFN, among other features, and the results seem promising so far. For example, here are a few screenshots of equity curves on a few, selected forex pairs:
and finally, one that is not quite as good as the above.
I won't go into much detail about this now as I plan to write a post at the weekend with true, out of sample results, but I will note that the white equity curves are the equivalent of a buy and hold, the cyan and accompanying red ema is the raw signal, and the yellow, blue and green are some simple, practical trading applications.
More soon.
