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<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<FONT
color=#000000>uenal.mutlu@xxxxxxxxxxx
To: <A title=amibroker@xxxxxxxxxxxxxxx
href=""><FONT
color=#000000>amibroker@xxxxxxxxxxxxxxx
Sent: Monday, November 17, 2003 12:01
PM
Subject: Re: [amibroker] "Random prices"
(was Re: Backtest using equity curve)
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?
If you don't accept the three
compenents of a price series, then you reside in a very small minority that
dismisses the volumes that have been written about the subject. As for
the %, that is not a constant and will differ for each issue. Oh, and by
the way, do you really believe that supply and demand behavior is independent
of trend, cycle, and randomness? If so, then again you are in a small
minority.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<FONT
color=#000000>wavemechanic
To: <A title=amibroker@xxxxxxxxxxxxxxx
href=""><FONT
color=#000000>amibroker@xxxxxxxxxxxxxxx
Sent: Monday, November 17, 2003 5:40
PM
Subject: Re: [amibroker] "Random
prices" (was Re: Backtest using equity curve)
----- Original Message -----
From: <<A
href=""><FONT color=#000000
size=2>uenal.mutlu@xxxxxxxxxxx<FONT
size=2>>
To: <<A
href=""><FONT color=#000000
size=2>amibroker@xxxxxxxxxxxxxxx<FONT
size=2>>
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"
<<FONT
color=#000000 size=2>amibroker@xxxxxx<FONT
size=2>>> To: <<A
href=""><FONT color=#000000
size=2>amibroker@xxxxxxxxxxxxxxx<FONT
size=2>>> 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" <<A
href=""><FONT color=#000000
size=2>quanttrader714@xxxxxxxxx<FONT
size=2>>> > To: <<A
href=""><FONT color=#000000
size=2>amibroker@xxxxxxxxxxxxxxx<FONT
size=2>>> > 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 <A
href=""><FONT color=#000000
size=2>amibroker@xxxxxxxxxxxxxxx,
<FONT color=#000000
size=2>uenal.mutlu@x...
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" <<A
href=""><FONT color=#000000
size=2>palsanand@x...>>
> > To: <<A
href=""><FONT color=#000000
size=2>amibroker@xxxxxxxxxxxxxxx<FONT
size=2>>> > > 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 <FONT
color=#000000
size=2>amibroker@xxxxxxxxxxxxxxx,
"quanttrader714"> > > <<A
href=""><FONT color=#000000
size=2>quanttrader714@x...>
wrote:> > > > You guys are confusing randomness,
independence and stationarity> > > big time.> > >
>> > > > --- In <A
href=""><FONT color=#000000
size=2>amibroker@xxxxxxxxxxxxxxx,
"Dave Merrill" <<FONT
color=#000000 size=2>dmerrill@x<FONT
size=2>...>> > > 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¡Çs
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.> > > >
>> > > > >> > > > >> >
> > > HowardSend
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