The work aims to explore and better understand the interplay between different technical trading strategies from a data-informed perspective. The estimates of trading strategy success, cost of trading and slippage are considered along with an offline benchmark portfolio algorithm for performance comparison. The (low frequency) daily sampled strategies fail the arbitrage tests after costs, while the (high frequency) intraday sampled strategies are not falsified as statistical arbitrages after costs. on both daily sampled and intraday time-scales. A key contribution is that the overall aggregated trading strategies are tested for statistical arbitrage using a novel hypothesis test proposed by Jarrow et al. The resulting population time-series are investigated using unsupervised learning for dimensionality reduction and visualisation. The learning algorithm is used to determine the relative population dynamics of technical trading strategies that can survive historical back-testing as well as form an overall aggregated portfolio trading strategy from the set of underlying trading strategies implemented on daily and intraday Johannesburg Stock Exchange data. We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cost portfolio strategies.
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