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Come on, UM. Please re-read my earlier post (52237). Carefully. It
addressed every issue you've raised if only you'd open your mind.
--- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> It is even then not true. Do you really believe that for
> example the price in the range 24 to 26 of the below
> said stock is random? That is: will the price be jumping
> randomly in that area? No, Sir. The price will be "build" and
> it will "move" but not randomly jump. As said: prices are
> driven only by supply and demand, and not by any random
> event. Since you seem to believe in randomness in stock
> prices: to what degree (%) do you think are price moves random?
>
> ----- Original Message -----
> From: wavemechanic
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Monday, November 17, 2003 5:40 PM
> Subject: Re: [amibroker] "Random prices" (was Re: Backtest using
equity curve)
>
>
>
> ----- Original Message -----
> From: <uenal.mutlu@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, November 17, 2003 10:46 AM
> 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.)?
>
> I don't think anyone is saying that a price series is completely
random, but rather that a random series can look like a price series.
Any price series is produced by contributions from three sources:
trending, cyclical, and random.
>
> >
> > 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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