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Your "proof of the non-randomness fact" is about as solid as your last
"proof." Did you ever bother to look up deterministic chaos (that
Tomasz pointed out to you in Message 52251)? Basically it's when a
process is deterministic in principle but unpredictable in practice.
Like roulette. But mere humans call it random because for all
practical purposes it is. The markets are more complicated than
the physics of roulette. However, there's no opportunity in roulette
(unless you cheat, discover a biased wheel, are lucky or are the
house) while there are tremendous opportunites in the markets. This
IMO is because the markets, while more complex, are conscious.
Although there are untold competing forces nudging price around at any
given time, there are also times when some forces dominate and/or
align because of this consciousness. And that's where TA and AB come
in. Opportunity, served fresh daily.
--- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> > 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
> moving their positions, rumors/news. If you want to know what the
real
> reason for some big, unexpected, sudden (not true: put ANY) move is
> then you will have to 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 :-)
>
> ----- Original Message -----
> From: wavemechanic
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Monday, November 17, 2003 7:19 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 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.
>
>
>
> ----- 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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