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Just read "A Random Walk Down Wall Street" and I think the failure of
their argument is to prove their theory they tested indicators not
systems and don't realise that a small edge with aggressive money
management and risk control can give good positive returns. However, it
gave a good explanation of Alpha and Beta and has made me re-examine my
systems to make sure that the returns are not just Beta.
Their answer to bubbles or any momentum trading is that by the time the
momentum is confirmed it would be too late to get in and once in you
will lose any gains. If you do make any gains it is random luck. If you
point to anyone consistently making money they will say that in a coin
tossing competition somebody will always toss ten heads in a row.
Personally, they can believe what they like, I'm happy to quietly pick
up the 100 dollar bills from the sidewalk.
-----Original Message-----
From: Franco Gornati [mailto:francogornati@xxxxxx]
Sent: Tuesday, 9 November 2004 5:24 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: wrong Backtesting results:
quanttrader714 wrote
>Personally, I put these folks in the same category as Mr. Duell:
>
>"Everything that can be invented has already been invented."
>-- Charles H. Duell, director of the U.S. Patent Office, 1899
lol, nice pick Mark ;)
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