|
PureBytes Links
Trading Reference Links
|
> do you really believe that supply
and demand behavior is independent of trend, cycle, and
randomness?
Supply and demand are the basis for
trend and cycle. Forget randomness.
Proof of the non-randomness fact:
research Level-II market depth.
The big moves have their origin in
institutionals/big players suddenly
<FONT color=#000080
size=2>moving their
positions, rumors/news. If
you want to know what the real
reason <FONT
color=#000080 size=2>for some big, unexpected, sudden (not true: put ANY)
move is
then <FONT
color=#000080 size=2>you will have to <FONT
color=#000080 size=2>study the Level-II and the news. The bottom line is:
everything has
a rational reason, there is
nothing random in the markets.
> If so, then again you are in a
small minority.
Never mind as long as I am right
:-)
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
wavemechanic
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, November 17, 2003 7:19
PM
Subject: Re: [amibroker] "Random prices"
(was Re: Backtest using equity curve)
<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.
<FONT
size=2>> > 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" <<A
href=""><FONT color=#000000
size=2>dmerrill@x...>>
> > 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.> > > > >> > > >
>> > > > >> > > > >
Howard
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|