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This time cited from which of the doctoree and PhD books?
----- Original Message -----
From: "palsanand" <palsanand@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, November 18, 2003 6:36 AM
Subject: [amibroker] "Random prices" (was Re: Backtest using equity curve)
It is impossible to assess the quality of the knowledge we are
gathering without allowing a share of randomness in the manner it is
obtained and cleaning the argument from the chance coincidence that
could have seeped in its construction. In science, probability and
information are treated in exactly the same manner...
rgds, Pal
--- 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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