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Richard,
You have stated the null hypothesis - thattrades
occur in a random sequence. To test the alternative hypothesis that their
was a pattern to the trades you would calculate the z statistic for the observed
sequence of trades and compare the calculated z with the tabulated z for a
predetermined level of significance. 1 to 5 percent is good. Ifthe
calculated z statistic is outside the expected range then you would have reason
to suspect that the sequence of trades was non-random. This of course
assumes that the trades follow a binomial distribution curve, which does fit
market behavior well, but it does give an idea of how random the trades
are.
Regards,
Ed
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Richard
Alford
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, June 29, 2002 10:06
AM
Subject: Re: [amibroker] Trading system
development and simulations
If the process is random (as the game likely is)
there is no such thing as a "streak", specifically it is a Markov processwith
no history feedback. It would be interesting to understand just what
Tharp's game teaches.
Some think/hope/assume/pray/etc, btw, that there
is information in the time history of an security. A "system" that
exploits this history and get to conditions which are favorable may indeed
have a "streak".
<A
href="">www.bjmath.com has some interesting
articles. The BJ is BlackJack, which has well know properties that can
tilt the odds towards a player at times.
Cheers
Richard
----- Original Message -----
<BLOCKQUOTE
>
<DIV
>From:
<A title=e.winters@xxxx
href="">E Winters
To: <A title=amibroker@xxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, June 28, 2002 6:02
PM
Subject: Re: [amibroker] Tradingsystem
development and simulations
David,
Van Tharp has a demo of his trading program on
his web site. If you agree to get a free copy of his newsletter and
register (he does send announcements about his courses to registered users)
you can download it and try it out. Look for the free trading game box
on the main page at <A
href="">www.iitm.com
One theory is based on the theory of
runs. When you are on a winning streak you should risk more per trade
until you have a loser. Try adding to winning streaks and see howit
improves trading.
Regards,
Ed
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
David
Holzgrefe
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, June 28, 2002 5:41
PM
Subject: Re: [amibroker] Trading
system development and simulations
AL an interesting article , Has anyone tried
his trading game ?? what did they learn from it
David
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=avcinci@xxxx
href="">Avcinci
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, June 29, 2002 6:32
AM
Subject: [amibroker] Tradingsystem
development and simulations
Here is a very interesting article I got from Tharp's forum by
Frank Gallucci. It is about trading system development and
simulating. It's a good read: <A
href="">http://www.iitm.com/Weekly_update/simulations1.htm
Al Venosa
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