Sir Bayes: all but not naïve! - Quantdare

Is it possible to classify and predict (yes, predict!) if market trends will be bullish, bear or ranged by using a method called "naïve" and based on something as simple as Bayes' theorem is? Let's see! Our main objective is to explore techniques of machine learning that can help us not only to label series in a posteriori analysis, but also to predict to which class a new value given of the serie belongs to. The Naïve Bayesian Classifier is a supervised learning method of machine learning as well as a statistical method for classification. Although this method is including in its name a word as rare as "naïve" is, it will be our tool chosen to predict different trends of a market represented by an index. Bayesian classification provides practical learning algorithms where prior knowledge and observed data can be combined.