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Hi,
I agree. You are a good teacher. I'm afraid I don't have anything
much to add.
I was wondering whether you are somebody else use the smoothed BBB
and Zig-Zag trend systems in the Amibroker members only section. It
seems I can't discuss any information about it here in this forum,
but can I ask how useful it had been for users? Thanks.
Regards,
Pal
--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> Pal, you said earlier "...Statistics is meaningless in the context
that you can come out with statistics to disprove anything." So, I
misspoke. You were talking about disproof, whereas I was speaking of
proof (mathematically, one is 1 minus the other). But no matter. Let
me go one step further. Suppose the null hypothesis is A is not equal
to B. Put in terms of trading parlance, the null hypothesis might be
when the short MA of C crosses above the long MA of C, prices will
not rise. In order to disprove that hypothesis, I have to try to
prove that A = B (the alternate hypothesis); in other words, I have
to prove that when the short MA of C crosses above the long MA of C,
the price rises. So, I design an experiment (a backtest) to get as
much information to prove that A = B. If I obtain sufficient data to
show that A is not equal to B (i.e., the MA cross does not signal a
price rise) and can say so at the 95 or 99% confidence level, I think
I have disproven in a statistical sense the null hypothesis at some
level of confidence PROVIDED my sampling was representative and the
sampling size was sufficiently high to generate the proper amount of
statistical confidence. I will have demonstrated my point with an
error of 5% or 1%. And of course, I must first establish that my
dataset is normally distributed, otherwise my 'proof' is faulty. This
analysis does not by any means constitute proof with certainty, which
is impossible because one cannot sample the entire uinverse of data
available. It only establishes a degree of confidence based on a
sampling of a limited population of price data and the inherent error
associated with it. Sample size is critical to any statistical
analysis. The higher, the better. That's all statistics does. You may
still act on the MA cross by buying, but you have been warned that if
you do, the probability is very high that you will lose. There are
all kinds of other things I haven't even touched on, such as sampling
from a population of correlated stocks, or sampling only during a
bull market, etc., etc. Nothing is certain in the game of prediction.
>
> Al Venosa
> ----- Original Message -----
> From: palsanand
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, October 26, 2003 4:55 PM
> Subject: [amibroker] Re: solving the prediction problem
>
>
> Hi,
>
> I was speaking only of absolute proof and it solely belongs in
the
> realm of physical law or mathematical theorem, not statistics.
>
> Regards,
>
> Pal
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx>
wrote:
> > Pal,
> >
> > Sorry, but I have to take the side of MarkF2 on this one. Yes,
I
> agree, you can prove anything you want with statistics, but only
if
> you use it improperly, which most people who have a vested
interest
> in something or are not objective in their analysis of an
empirical
> observation do (understand, I am not accusing you of anything;
I'm
> just stating a fact). If you use inferential, parametric
statistics
> on data that are not even close to being normally distributed,
you
> can prove anything. But your proof is flawed because you have
misused
> a basic underlying assumption that the particular statistical
test
> was designed to indicate. You speak of proof being only in the
realm
> of physical law or mathematical theorem. Perhaps true if you
speak of
> absolute proof. However, in statistics, all 'proofs' are based on
> measurement error, and there is nothing on this planet that can
be
> measured error-free (except mathematical principles such as the
area
> of a triangle or the Pythagorean Theorem). In trading, the errors
are
> huge, sometimes infinite, because price behavior is so variable;
so
> in order to try to 'prove' anything statistically, you have to
> minimize that error as much as possible. How does one minimize
error
> when prices are determined by such a huge universe of human
beings,
> all with different outlooks on future behavior and all biased to
some
> degree by their own non-objective views? You can't. You can only
> generate probabilities and confidence based on those
probabilities,
> and that is the heart of statistical analysis. So, statistics is
not
> meaningless at all and in fact is a very valuable tool in this
> complicated trading business of ours. Use it properly, and you
will
> be rewarded. Use in unwisely, and you will lose big.
> >
> > Al Venosa
> > ----- Original Message -----
> > From: palsanand
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Sunday, October 26, 2003 3:41 PM
> > Subject: [amibroker] Re: solving the prediction problem
> >
> >
> > I do not dispute the usefulness of statistics, only in the
use of
> it
> > to prove something, which anybody who has a good grasp of
> statistics
> > in this planet knows, which apparently you don't.
> >
> > Regards,
> >
> > Pal
> > --- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx>
> wrote:
> > > What planet are you from? Statistics *is* a branch of
applied
> > > mathematics and, IMHO, the single most useful for trading.
> > >
> > > "Each of us has been doing statistics all his life, in the
> sense
> > that
> > > each of us has been busily reaching conclusions based on
> empirical
> > > observations ever since birth." -- William Kruskal
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "palsanand"
<palsanand@xxxx>
> > wrote:
> > >
> > > > Like I said earlier, Statistics is meaningless in the
context
> > that
> > > > you can come out with statistics to disprove anything.
Proof
> > > > requires a law or a theorem. Only Mathematics can prove
or
> > > disprove
> > > > and that is one reason it is the greatest of all sciences.
> >
> >
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