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That doesn't make it predictable ...
--- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> No, I wouldn't. Because they have their origin and reason.
>
>
> ----- Original Message -----
> From: "Fred" <fctonetti@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, November 17, 2003 5:50 PM
> Subject: [amibroker] "Random prices" (was Re: Backtest using equity
curve)
>
>
> Without even touching on the others, you wouldn't call the News a
> collection of random i.e. unpredictable events ?
>
> --- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> > Why should there be a random component in price movement?
> > Supply and demand (plus News) drives the price.
> >
> >
> > ----- Original Message -----
> > From: "Tomasz Janeczko" <amibroker@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Monday, November 17, 2003 5:18 PM
> > Subject: Re: [amibroker] "Random prices" (was Re: Backtest using
> equity curve)
> >
> >
> > > Hello,
> > >
> > > No, neither I nor quanttrader are saying that prices
> > > are pure random (white noise).
> > >
> > > We are just saying that there is random component
> > > in price movement.
> > >
> > > Did you hear about deterministic chaos ?
> > >
> > > Suggested reading:
> > > Stocks & Commodities V. 9:2 (49-52): Of Trends And Random Walks
> by E. Michael
> > Poulos
> > >
> > > Stocks & Commodities V. 7:11 (391-395): Chaos theory and market
> behavior by
> > Bernd Anders
> > >
> > > Stocks & Commodities V. 8:8 (319-322): Making Money With Chaos
by
> Hans Hannula,
> > PhD, RSA, CTA
> > >
> > > Stocks & Commodities V. 9:9 (361-365): Nonlinearity, Chaos
Theory
> and the DJIA
> > by Victor E. Krynicki, Ph.D.
> > >
> > > Stocks & Commodities V14:6(258-261): Statistics Of Chaotic
> Markets by Hans
> > Hannula, Ph.D., C.T.A.
> > >
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > > ----- Original Message -----
> > > From: <uenal.mutlu@xxxx>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Monday, November 17, 2003 4:46 PM
> > > Subject: Re: [amibroker] "Random prices" (was Re: Backtest using
> equity curve)
> > >
> > >
> > > > I naturally disagree :-)
> > > > So, you and quanttrader are really saying that
> > > > the stock prices are indeed really random?!
> > > > So, then why use T/A or AB at all?
> > > > Why on hell would anybody invest in random things (except in
> lotto etc.)?
> > > >
> > > > Ok, here is a practical example: imagine a stock
> > > > closed at 25 yesterday. Do you really believe that
> > > > the intraday price of this stock today will make
> > > > random moves between 0 and say 50 ?
> > > > Intraday it will move around 25, but will definitely not make
> > > > fe. something like the following: 25, 1, 50, 25, 10, 40, 0, 1,
> 50
> > > > If this practically is not possible with this stock then
> > > > it definitely is not random. IMHO a basic fact.
> > > >
> > > >
> > > >
> > > > ----- Original Message -----
> > > > From: "Tomasz Janeczko" <amibroker@xxxx>
> > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > Sent: Monday, November 17, 2003 3:49 PM
> > > > Subject: Re: [amibroker] "Random prices" (was Re: Backtest
> using equity
> > curve)
> > > >
> > > >
> > > > > Uenal,
> > > > >
> > > > > I fully agree with quanttrader.
> > > > >
> > > > > Even code you supplied can be modified to produce chart that
> is random too
> > > > > but looks much closer to 'real' prices.
> > > > >
> > > > > Graph = 100+ Cum( -1 + Random() * 2.0 );
> > > > >
> > > > > Plot(Graph, "Random graph", colorBlue);
> > > > >
> > > > > Best regards,
> > > > > Tomasz Janeczko
> > > > > amibroker.com
> > > > >
> > > > > Best regards,
> > > > > Tomasz Janeczko
> > > > > amibroker.com
> > > > > ----- Original Message -----
> > > > > From: "quanttrader714" <quanttrader714@xxxx>
> > > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > > Sent: Monday, November 17, 2003 3:39 PM
> > > > > Subject: [amibroker] "Random prices" (was Re: Backtest using
> equity curve)
> > > > >
> > > > >
> > > > > This proves nothing. Your model is flawed. Generate a
chart
> with one
> > > > > dimensional Brownian motion and there's not a person on this
> board who
> > > > > would be able to tell it from a "real" price chart. An
> omniscient
> > > > > being could create perfect deterministic models of the
> markets but for
> > > > > mere mortals, there's significant randomness caused by an
> incredibly
> > > > > complex mix of competing forces that "nudge" prices in
> different
> > > > > directions, from institutional purchases to Johnny Jones
> cashing in to
> > > > > pay for his daughter's wedding to daytraders, etc., etc.,
etc.
> > > > > Certain forces will prevail and/or be in synch to varying
> degrees over
> > > > > time. But even in a totally random process, anything that
> can happen,
> > > > > will happen if you wait long enough.
> > > > >
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> > > > > > // generate random series in the range 0 to 100 and plot
it
> > > > > > Graph = Random() * 100;
> > > > > > Plot(Graph, "Random graph", colorBlue);
> > > > > >
> > > > > > Does any real chart look like such a random chart: NO.
> > > > > > This proves the basic fact that nothing in the markets
> > > > > > is or was ever random.
> > > > > > UM
> > > > > >
> > > > > >
> > > > > >
> > > > > > ----- Original Message -----
> > > > > > From: "palsanand" <palsanand@xxxx>
> > > > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > > > Sent: Monday, November 17, 2003 1:19 AM
> > > > > > Subject: [amibroker] Re: Backtest using equity curve
> > > > > >
> > > > > >
> > > > > > In his book "The Profit Magic of Stock Transaction
Timing",
> J.M.
> > > > > > Hurst proves that market movement is not random, and by
> analyzing a
> > > > > > large "stable" of underlying instruments one could find
> excellent
> > > > > > opportunities for profit each and every day. The movement
> is not
> > > > > > random but non-stationary because markets do not move
> without a
> > > > > > purpose or a goal, they move because of an imbalance
> between supply
> > > > > > (sellers) and demand (buyers) with the price tending to
> equalize it.
> > > > > > However the outcomes are random, i.e, unknown and the
> probability of
> > > > > > winning is undetermined, i.e., not a constant.
> > > > > >
> > > > > > Identifying persistent price patterns helps one to
> determine the
> > > > > > dependance of the outcomes. The existence of a pullback
or
> a rally
> > > > > > situation is dependant on the existance of a previous
> uptrend or a
> > > > > > downtrend and so is the existance of a trend reversal.
> What's real
> > > > > > price movement in response to a clear signal and what's
> just random
> > > > > > noise? Figuring out the difference is vital and according
> to John F.
> > > > > > Ehlers in a recent article in S & C Magazine such a
> distinction can
> > > > > > be important to trading. If one could avoid periods when
> the market
> > > > > > has no clear trend (just enjoy being flat), one could
avoid
> whipsaws
> > > > > > and get cleaner trades. If one could identify periods that
> were
> > > > > > filled with noise and no clear signals in either
direction,
> one
> > > > > could
> > > > > > also switch trading tactics to suit the situation, for
> e.g., day-
> > > > > > trading instead of position-trading. At the very least,
one
> would
> > > > > > know what situation one faces.
> > > > > >
> > > > > > rgds, Pal
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
> > > > > > <quanttrader714@xxxx> wrote:
> > > > > > > You guys are confusing randomness, independence and
> stationarity
> > > > > > big time.
> > > > > > >
> > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill"
> <dmerrill@xxxx>
> > > > > > wrote:
> > > > > > > > agreed. if the fact that a trading system did well in
> the past
> > > > > > has no
> > > > > > > > bearing whatsoever on whether it does well in the
> future, how
> > > > > can
> > > > > > we
> > > > > > > know
> > > > > > > > anything at all about the future performance of a
> proposed
> > > > > trading
> > > > > > > system?
> > > > > > > >
> > > > > > > > dave
> > > > > > > >
> > > > > > > > The gambler”Ēs fallacy is a fallacy because the
> gambler
> > > > > ignores
> > > > > > the
> > > > > > > > independence of the outcomes and looks for patterns
> that do not
> > > > > > > exist. If
> > > > > > > > we have designed trading systems based on recognition
of
> > > > > patterns
> > > > > > that
> > > > > > > > precede profitable trading opportunities, and if those
> patterns
> > > > > > are
> > > > > > > > persistent, then we no longer have random, independent
> outcomes.
> > > > > > Our
> > > > > > > > trading systems do have serial dependencies and upward
> sloping
> > > > > > equity
> > > > > > > > curves. So analysis of the equity curve provides an
> indication
> > > > > > of the
> > > > > > > > health of the trading system.
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > Howard
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