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Thanks. Sorry, don't know anything about zigging or zagging.
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
palsanand
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, October 26, 2003 5:58
PM
Subject: [amibroker] Re: solving the
prediction problem
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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